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Robots Unleashed - a beginners algotrading journey


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Robots Unleashed - a beginners algotrading journey

  #111 (permalink)
 
vmodus's Avatar
 vmodus 
Somewhere, Delaware, USA
 
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@FastNCurious, your journal has been taken over.

Seriously, though, great discussion everyone! I spent nearly a year working on various Renko ideas. Here are some thoughts from my time in the trenches:
TradeStation:
  • Nearly impossible to get accurate results because we never see the 'true open' of the bar
  • Only six months of tick data available limits the utility of a back-test on any tick-based chart
  • Momentum bars are the closest you will get to a Renko bar with true open, high, low and close, and they can be accurately back-tested
  • The repainting of the charts will often screw up your test, as noted earlier in this journal
MultiCharts:
  • Same data limitations (6 month), unless you have access to tick data from another source. Years of tick data may equate to terabytes of data.
  • FlexRenko allows you to get true open, plus wicks, etc.
  • FlexRenko can replicate the TradeStation Momentum bars
Once you take that beautiful system from TS and move it over to MC, and are looking at the FlexRenko configured properly, then you will see how good or bad your system is. Typically the results will be no better or worse than time based charts. Price data, irrespective of time, is fractal in nature. A higher high will always be a higher high, etc.

@kevinkdog, yeah point-and-figure and Kagi charts all suffer the same issues as Renko in TS. My wife spent a little time exploring Kagi charts and algos last year, but came to the same conclusion as she did with Renko.

Momentum bars may be the way to go, despite the limitations. I have been incubating a system for almost a year based on a Momentum chart and it continues to work, so I think there is hope for this type of tick-based chart.

~vmodus

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  #112 (permalink)
 
FastNCurious's Avatar
 FastNCurious 
saint louis MO
 
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vmodus View Post
@FastNCurious, your journal has been taken over.


Well you are a much more thorough journal poster than I ever was so your posts are always welcome and appreciated. I appreciate the note about momentum bars and I have looked at those recently and they seem like they would be helpful to test out ideas on. My question for you @vmodus would be this…. have you done much testing with renko bars with entries and exits being at the close of the current bar?

It seems like this would work for accuracy in backtesting, albeit I have yet to find a strategy better than break even.

As for these bars in general I will only be using time based bars for the foreseeable future. My thoughts are very much like yours. I need simplicity and when I test ideas I don’t want to be waiting forever to download 6 months of data when I can get time based 10 years back or more in less than half the time.

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  #113 (permalink)
 
vmodus's Avatar
 vmodus 
Somewhere, Delaware, USA
 
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FastNCurious View Post
have you done much testing with renko bars with entries and exits being at the close of the current bar?

It seems like this would work for accuracy in backtesting, albeit I have yet to find a strategy better than break even.

Hahaha...if it is Renko, I have done it.

To answer your question, by platform:
TS > No
MC > Yes, if you set your chart correctly (FlexRenko), but then the chart has wicks, etc.

With respect to your work on development of strategies, I suggest focusing on building systems on daily timeframes, before trying intraday. Yeah, it is boring, but successful daily systems are a lot easier to develop than intraday systems.

~vmodus

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  #114 (permalink)
 
FastNCurious's Avatar
 FastNCurious 
saint louis MO
 
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@MCL is here! I may wait a month or so but I have really been waiting for this with anticipation because the @CL symbol can put a huge dent in my account on a bad day. I really hope the liquidity is there. Currently trading the @QM symbol has been not that great. Sometimes it seems there is 2 ticks or more of slippage and the tick size is bigger than the major contract! Who ever thought this was a good idea was not to intelligent.

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  #115 (permalink)
 
SMCJB's Avatar
 SMCJB 
Houston TX
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Agree never really understood QM. At half the size of CL it doesn't give the granularity you would like (E7 (USDEUR), J7 (USDJPY), QO (GC), QI (SI) are all half size contracts as well so guess that was the trend years ago) and the tick size is horrible - it's larger than the full size. The uneven tick also means there are times where the arb guys won't make it 1 tick wide (ie CL is 73.47/73.48 then QM is 73.45/73.50) making the slippage even worse. The QM contract (NG) has the same tick size issue, but it's a quarter size so gives more granularity. Why is QM quarter size and not half size, because thats the size of the ICE NG contract!

MCL not surprisingly looks like it will be a success. Bid/Ask appears to be consistently 1 or 2 ticks, which is slightly worse than CL (which is normally 1 tick) but that's still a lot better than QM on an absolute and relative basis.

I doubt MCL has the amazing success MES etc had, but still think it will be successful. The big difference between something like CL and ES/NQ/GC/SI/BTC is the role of spreads in the market. The cost structure makes spreads in MCL significantly more expensive than in CL so i doubt that part of the market will transition in any way to MCL, which could be a limiting factor for MCL.

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  #116 (permalink)
 
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 FastNCurious 
saint louis MO
 
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Today something kind of scary happened with @MCL. When the market closed today at 5pm EST it closed at $72.90 and then opened up at 6pm and in a matter of 2 min it locked in a low of $63.57. That is > $9 swing in two min.

When I saw this I immediately went to look at @CL to check to see if the drop was over there and it was not at all. I made a judgment call and decided to put on a discretionary trade. My thought was that this has got to be some kind of market glitch or something. I went ahead and bought 2 contracts at $66 and then held on for it to return to a price that resembled @CL. Less than 15 min later I was up $1200 on @MCL and got out.

That is the largest price swing I have seen since I've been trading Crude Oil.

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  #117 (permalink)
 kevinkdog   is a Vendor
 
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FastNCurious View Post
Today something kind of scary happened with @MCL. When the market closed today at 5pm EST it closed at $72.90 and then opened up at 6pm and in a matter of 2 min it locked in a low of $63.57. That is > $9 swing in two min.

When I saw this I immediately went to look at @CL to check to see if the drop was over there and it was not at all. I made a judgment call and decided to put on a discretionary trade. My thought was that this has got to be some kind of market glitch or something. I went ahead and bought 2 contracts at $66 and then held on for it to return to a price that resembled @CL. Less than 15 min later I was up $1200 on @MCL and got out.

That is the largest price swing I have seen since I've been trading Crude Oil.

I'm thinking all those trades might be broken. I've heard that from 2 brokers . We will see.

Clearly, it was not real market movement, but likely someone gaming the system in some way, running stops.

Please let us know if this trade sticks, or if it is broken. My money is on "broken."

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  #118 (permalink)
 
FastNCurious's Avatar
 FastNCurious 
saint louis MO
 
Experience: Intermediate
Platform: TradeStation
Trading: NQ, ES, YM, CL, GC
Posts: 149 since Oct 2017
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What would a broken trade mean anyway? I've never had that happen before....does it mean they take the trade back? Like it never happened?



In real time I saw the matrix and it showed orders being hit but they were so spotty. Huge slippage occurred. Greater than 20 ticks. I entered on a limit order and it got filled when I moved my order to the ask price. I hope it sticks. I guess I will know tomorrow sometime...?

It reminded me of the night trump got elected and how the market sold off drastically I think roughly 900 points in the dow only to finish the next day up over 200 points.

Crazy swing only this one happened in less than 15 min total

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  #119 (permalink)
 kevinkdog   is a Vendor
 
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FastNCurious View Post
What would a broken trade mean anyway? I've never had that happen before....does it mean they take the trade back? Like it never happened?



In real time I saw the matrix and it showed orders being hit but they were so spotty. Huge slippage occurred. Greater than 20 ticks. I entered on a limit order and it got filled when I moved my order to the ask price. I hope it sticks. I guess I will know tomorrow sometime...?

It reminded me of the night trump got elected and how the market sold off drastically I think roughly 900 points in the dow only to finish the next day up over 200 points.

Crazy swing only this one happened in less than 15 min total


Yes, the exchange can "break" trades that they deem inappropriate/invalid. These certainly fall into that category. since no other Crude Oil price (especially CL) had this activity.

You made a smart trade given the circumstances, but I'll be shocked if it stands.

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  #120 (permalink)
 
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 SMCJB 
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FastNCurious View Post
Today something kind of scary happened with @MCL. When the market closed today at 5pm EST it closed at $72.90 and then opened up at 6pm and in a matter of 2 min it locked in a low of $63.57. That is > $9 swing in two min.

When I saw this I immediately went to look at @CL to check to see if the drop was over there and it was not at all. I made a judgment call and decided to put on a discretionary trade. My thought was that this has got to be some kind of market glitch or something. I went ahead and bought 2 contracts at $66 and then held on for it to return to a price that resembled @CL. Less than 15 min later I was up $1200 on @MCL and got out.

That is the largest price swing I have seen since I've been trading Crude Oil.

Similar thing happened in the Micro Bitcoin on the Open Sunday 4th. Micro opened $1500 below where the full sized open. Usually the Micro's track very very closely the more liquid contract because market makers/HFT keep the two in line. When things like this happen, its probably because the market maker isn't there and an order comes in that blows through the order book due to illiquidity.


kevinkdog View Post
Yes, the exchange can "break" trades that they deem inappropriate/invalid. These certainly fall into that category. since no other Crude Oil price (especially CL) had this activity.

You made a smart trade given the circumstances, but I'll be shocked if it stands.

Each commodity has
a) a non-reviewable range (NRR or non-cancel range on ICE, NCR)
b) on CME a fee to cancel a trade (but not on ICE).
For MCL the NRR is $0.50 and the fee is $1000 PER TRADE!

So even if the trades were a $1.50 off market, that's only $150 so it would need to be an 8 lot trade, to justify the cancellation fee. Obviously with the full size it would be a different picture.

I've never had a trade changed or broken on me on CME but it has happened to me a lot on ICE. With ICE they normally don't cancel the trade but change the price. So the off market trades would be modified to be $0.50 off market not $1.50. Worth noting because if your taking your quick profit, you need to lock in at least that price, otherwise on a reprice you could be left with a loss.

If you check the CME website their is a service you can sign up for that will notify you of all cancelled trades. It is very very few.

By the way @FastNCurious. Great Trade!

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