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Robots Unleashed - a beginners algotrading journey


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Robots Unleashed - a beginners algotrading journey

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  #1 (permalink)
 FastNCurious 
saint louis MO
 
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Well today is my first entry on my algotrading adventure. What an amazing and exciting time! Like any beginning trader I am filled with butterfies. Instead of expounding about my feeling on the matter I will dig right into what happened today. I just got back from vacation and set up my 5 current trading bots that are for sim trading only at this point because capital is sparse. I still want to run them in the background to make sure I am well practiced in managing the bots when I go live. I currently am using my own version of some bots I aquired from an online source. They are of the brand of (Mean Reverting) and (breakout) trading on the indexes as well as a couple of others thats seem to have something to do with overall (Moneyflow in vs out) trading setups.

Today I have 5 trades open but only one entered today. I am beginning the journal with trades entered as of today.

1200226 0840 +1 ESH20 @ 3160.5 breakout trade

I will edit posts as the orders are closed to keep track of trades

As a side note I noticed a nice sell off into demand in the last couple of days and decided to put on a discretionary trade in my live account.

1120225 2300 +1 MESM20 @3148.25 sell off into 55 day low demand zone
StopLoss set to 3017.25 655 risk
Target is all time High for now but will assess as trade progresses. I may take profit early if money feels good!

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  #3 (permalink)
 FastNCurious 
saint louis MO
 
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jburke75 View Post
Well today is my first entry on my algotrading adventure. What an amazing and exciting time! Like any beginning trader I am filled with butterfies. Instead of expounding about my feeling on the matter I will dig right into what happened today. I just got back from vacation and set up my 5 current trading bots that are for sim trading only at this point because capital is sparse. I still want to run them in the background to make sure I am well practiced in managing the bots when I go live. I currently am using my own version of some bots I aquired from an online source. They are of the brand of (Mean Reverting) and (breakout) trading on the indexes as well as a couple of others thats seem to have something to do with overall (Moneyflow in vs out) trading setups.

Today I have 5 trades open but only one entered today. I am beginning the journal with trades entered as of today.

1200226 0840 +1 ESH20 @ 3160.5 breakout trade

I will edit posts as the orders are closed to keep track of trades

As a side note I noticed a nice sell off into demand in the last couple of days and decided to put on a discretionary trade in my live account.

1120225 2300 +1 MESM20 @3148.25 sell off into 55 day low demand zone
StopLoss set to 3017.25 655 risk
Target is all time High for now but will assess as trade progresses. I may take profit early if money feels good!

Took my first stop out of the Journal and it kinda hurt because the trade was going so well at first.
1200226 1030 -1 ESH20 @ 3134.5 $1300 Loss

I'm beginning to think my stop loss maybe too tight but I will trust the walkforward analysis and do a retest of walkforward analysis to double check the StopLoss value is set correctly. One stopout is not a big deal but I do need to work on defining when it is time to stop a strategy from doing more unnecessary damage to account. At this time i am thinking of 7 consecutive losses would be time to pull the plug.

I started with roughly 100,000 in the account. after several losses I am down to 97,000 est acct equity.

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 sixtyseven 
Golden Bay, New Zealand
 
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jburke75 View Post
I currently am using my own version of some bots I aquired from an online source. They are of the brand of (Mean Reverting) and (breakout) trading on the indexes as well as a couple of others thats seem to have something to do with overall (Moneyflow in vs out) trading setups.

As a side note I noticed a nice sell off into demand in the last couple of days and decided to put on a discretionary trade in my live account.


jburke75 View Post
and it kinda hurt because the trade was going so well at first......I'm beginning to think my stop loss maybe too tight but I will trust the walkforward analysis and do a retest of walkforward analysis to double check the StopLoss value is set correctly. One stopout is not a big deal but I do need to work on defining when it is time to stop a strategy from doing more unnecessary damage to account. At this time i am thinking of 7 consecutive losses would be time to pull the plug.

You do have to start somewhere, and I'm so glad you are on SIM.

Firstly, the chances that online acquired strategies are worth more than you paid for them is highly doubtful.
Secondly, you don't seem that sure of what the strategy is targeting, or how it completely work
Thirdly, you need to do a lot more research as to how "random" algo strategies can be - even good ones, and the metrics of each system so you know how many losses is normal.
Fourthly, you purport to be an algo trader, yet on your first day, start throwing out discretionary trades
Fifthly, you are questioning the merits of the systems (stop loss size) on your first day out.

Algo trading is way less mentally tough than discretionary trading, but it it is still no walk in the park. You have to have everything set up, and tested to heck so you know exactly when you decide to stop the system. It is death if you start tinkering once it is LIVE - as you are curve fitting and almost asking for more losses to follow. Algo trading will have horrendous trades where they come within an inch of your target, and then hit your stop loss. Embrace that. Algo trading is a series of trades, not a single trade, as the cliche goes.

Your stop loss of 26 points, on a day that had an implied range of 60 odd based on the VIX, assuming this is a day trade, is a huge stop loss. Hopefully those strategies adjust for volatility, i.e the same trade wouldn't also have a 26 point stop when the daily range is in the 30's.

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 FastNCurious 
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sixtyseven View Post
You do have to start somewhere, and I'm so glad you are on SIM.

Firstly, the chances that online acquired strategies are worth more than you paid for them is highly doubtful.
Secondly, you don't seem that sure of what the strategy is targeting, or how it completely work
Thirdly, you need to do a lot more research as to how "random" algo strategies can be - even good ones, and the metrics of each system so you know how many losses is normal.
Fourthly, you purport to be an algo trader, yet on your first day, start throwing out discretionary trades
Fifthly, you are questioning the merits of the systems (stop loss size) on your first day out.

Algo trading is way less mentally tough than discretionary trading, but it it is still no walk in the park. You have to have everything set up, and tested to heck so you know exactly when you decide to stop the system. It is death if you start tinkering once it is LIVE - as you are curve fitting and almost asking for more losses to follow. Algo trading will have horrendous trades where they come within an inch of your target, and then hit your stop loss. Embrace that. Algo trading is a series of trades, not a single trade, as the cliche goes.

Your stop loss of 26 points, on a day that had an implied range of 60 odd based on the VIX, assuming this is a day trade, is a huge stop loss. Hopefully those strategies adjust for volatility, i.e the same trade wouldn't also have a 26 point stop when the daily range is in the 30's.


Thanks for the input. The stategies are not paid for at all. They are fairly simple trading strategies that are not meant for intraday trading. They would be more for swing trading. This is serving as a journal to keep track of all my trades both sim and live. The algo part is all sim until I have capital and a proven track record. I really don't want to talk specifics of the strategies at this point. I do have a good idea of how they work. I am vague on purpose because I don't need help trying to develop them at this point. I'm simply trying them out because the back testing and walk forward testing results meet my requirements to be considered for live trading. Maybe I'm jumping the gun a bit but some sim trading can help me develop confidence or lack thereof in a strategy.

The reason I decided to report my live discretionary trade was simply for journaling purposes. I'm just keeping track of the trade. I plan to use this journal to keep track of all trades from here on out.

As of now I don't have any strategies that adjust for volatility. Something to consider for sure. But I'm not messing with anything on the strategy other than doing a manual walkforward optimization again to make sure my values are correct. I'm am definitely not curve fitting at all. If a strategy doesn't show good results with very minimal optimization I throw it out.

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 FastNCurious 
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Today was an eye opening day and it really showed me how much I have to learn about this amazing thing called ALGO Trading.

I have been reading Kevin Davey's book Confessions and currently doing some preliminary tests with some new ideas to see what I can find. Also I have been researching like crazy how to perform professional analysis with Tradestation. I feel like I'm learning a lot but a little overwhelmed.

I have this problem though; I am trying to compare manual walk forward optimization results with the ones that can be automated thru tradestation. I know I'm doing something wrong because the results are way different. If anyone reads this and has had this problem please let me know if you found a solution. In the mean time I will continue to research to solve this problem.

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 FastNCurious 
saint louis MO
 
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Currently I have been working on doing some walk forward optimization with a new program I purchased. It really simplifies the Walk Forward process. After doing it by hand for a few weeks I figured it is time to let the program do the heavy lifting so I can focus my time more on other coding projects.

Given the current market turmoil I am realizing that some of my strategies just don't work good with high volatility. The crazy swings run my stops fairly quickly so I am working on implementing an ATR switch that can turn the strategy off in these crazy times.

However, one of my strategies is an always in the market strategy and it went short at the top of this market and it is my biggest winner and has thankfully kept me in profit even though I have had significant draw downs in at least 3 other strategies.

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TradingGuy
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Quoting 
I am trying to compare manual walk forward optimization results with the ones that can be automated thru tradestation.

Are you using the separate WFO (formerly known as The Grail) or the WFO off of the strategy format dialogs? The stand-alone WFO is much more robust.

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 kevinkdog   is a Vendor
 
 
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jburke75 View Post
Today was an eye opening day and it really showed me how much I have to learn about this amazing thing called ALGO Trading.

I have been reading Kevin Davey's book Confessions and currently doing some preliminary tests with some new ideas to see what I can find. Also I have been researching like crazy how to perform professional analysis with Tradestation. I feel like I'm learning a lot but a little overwhelmed.

I have this problem though; I am trying to compare manual walk forward optimization results with the ones that can be automated thru tradestation. I know I'm doing something wrong because the results are way different. If anyone reads this and has had this problem please let me know if you found a solution. In the mean time I will continue to research to solve this problem.

I have run walkforward tests with 3 different approaches:

1. Manual walkforward
2. StratOpt WFP walkforward tool (my preferred option)
3. Tradestation WFO tool

None of them agree with each other. They all make different assumptions, and do calculations slightly differently, so I would not expect them to be exactly the same.

I think the key is to use the same method in live trading as you did during development. Don't use Stratopt in backtest, but then manually do it live - for example.

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 FastNCurious 
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TradingGuy View Post
Are you using the separate WFO (formerly known as The Grail) or the WFO off of the strategy format dialogs? The stand-alone WFO is much more robust.

I am using StratOpt WFP now and I have given up trying to match optimizations using different methods. I have been playing around with ratio optimization in strat opt but I am afraid to trust it because I feel this would be curve fitting.

I spoke with the developer of strat opt WFP and he primarily uses it to create intraday trading strats. He has told me that an in sample period of around 10 trades is a good place to start.

At this point I am a beginner at all this and Iím basically playing with strategies given to me courtesy of Kevin Davey. All of the strategies have been swing trading thus far. Iím hoping to start developing ideas on intraday trading strats to trade the ES or the US or TY.

Any thoughts on in sample vs OOS ratios in terms of actual trade signals for each?

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 kevinkdog   is a Vendor
 
 
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jburke75 View Post
I am using StratOpt WFP now and I have given up trying to match optimizations using different methods. I have been playing around with ratio optimization in strat opt but I am afraid to trust it because I feel this would be curve fitting.

I spoke with the developer of strat opt WFP and he primarily uses it to create intraday trading strats. He has told me that an in sample period of around 10 trades is a good place to start.

At this point I am a beginner at all this and Iím basically playing with strategies given to me courtesy of Kevin Davey. All of the strategies have been swing trading thus far. Iím hoping to start developing ideas on intraday trading strats to trade the ES or the US or TY.

Any thoughts on in sample vs OOS ratios in terms of actual trade signals for each?

Don't use ratio opt (Cluster analysis in TS WF) to find the best IN/OUT period - you are right , that is just curve fitting.

Everyone wants to create intraday strats, but those are really hard to do. Much more difficult than swing strats...

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TradingGuy
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jburke75 View Post
I am using StratOpt WFP now and I have given up trying to match optimizations using different methods. I have been playing around with ratio optimization in strat opt but I am afraid to trust it because I feel this would be curve fitting.

I spoke with the developer of strat opt WFP and he primarily uses it to create intraday trading strats. He has told me that an in sample period of around 10 trades is a good place to start.

At this point I am a beginner at all this and Iím basically playing with strategies given to me courtesy of Kevin Davey. All of the strategies have been swing trading thus far. Iím hoping to start developing ideas on intraday trading strats to trade the ES or the US or TY.

Any thoughts on in sample vs OOS ratios in terms of actual trade signals for each?

I've not used StratOpt, so I can't comment on it. Bought the Grail when it was standalone, it has since become part of TS. A test sample of 10 trades seems very low to me for an intraday system. I look for far more over differing market conditions.

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 FastNCurious 
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So today marks 1 week of trading data after restarting my sim account to reflect realistic returns based on 6 strategies I have going on different futures markets. still working on finding more that can fit into my portfolio. Right now I have no money to trade with really so I'm putting all my time into building strategies that are tested and that I am ready to go live with when the time comes.

My first week was amazing. with a 15000 starting balance I quickly shot up to 16,300 only to fall back down to reality when I went back to 15,260 RTAE. The big winner was in micro crude oil and it was also the big loser for this week. I guess that is to be expected.

I have been focusing my development on trying to find a swing trade strat for Corn or wheat. I also want to work on a strat for MNQ. I figure I can possible have 7-10 strategies going with a 15000 real acct when the time comes but I don't want to lose money anymore so I'm testing everything out with sim first.

The coronavirus has forced me to stay home and get some actual work done both around the house and on Tradestation. I found that I strategy I was using for gold also works for corn but I'm having trouble with the walk forward optimization. My in sample period and out of sample period seems to be throwing my strat for a loop with minor fluctuations in Period choice. I know I can't use ratio optimization because that is just curve fitting. Anyone have any good concepts to share on In sample/Out sample period choices?

I had one guy tell me that an in sample period containing roughly 10 trades per input was a good place to start. Part of my problem is the strat is for a daily chart on corn and it only takes roughly 7 trades per year.

Well that is all for now. time to get back to some code writing or rather some code copying from Kevin Davey's book Entry and Exit Confessions of a Champion Trader.

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 FastNCurious 
saint louis MO
 
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It has been a long time since my last entry. So much has happened. I have officially gone live with three strategies albeit only two are active now because the markets ATR has turned one of my strats off. I feel pretty confident in my strategy development process now that Iíve taken Kevin Daveyís course. I still have many videos to watch but I have a good understanding of how to go about it now.

Around the time of my last entry I was developing strats with StratOpt WFP and simply looking for a nice equity curve. My results produced some strategies that were very volatile. While the returns were great the draw downs were huge and fast and I learned a valuable lesson before going live.

Since taking the course I have tested fully each of my strays that I made and everyone I made failed. Only a few that were handed to me by Kevin passed testing and now Iím using those to trade live. Itís been a while since Iíve traded live and the emotions are definitely high but I feel I am in a good place now and Iím able to not check my trades every other min.

As of now I have one trading MES using a variation of Art Collins 5 min morning breakout Strat with an ATR switch because ever since COVID broke the markets the ATR of the ES has been well over 55 points! With out this simple switch the strat would have lost nearly every trade since late February.

Another strat is running M2K moneyflow function in trade station. I went live with that just the other day and I jumped into a short position after the strat position had been way negative for the past several weeks. I shorted at 1508 and at one point I was up over $900 I think on 1 lot. Now it is only up 400 or so but I feel good about letting that strat do itís thing.

The final one I went live with today is Kevin Daveyís strat on NG that really never loses. Sounds crazy right but it really hasnt Lost once given all the historical data. Itís not a home run strategy but I think as a part of something bigger (still in the works) it will do nicely.

I really want to be able to trade multiple strats on one market. This has been done but I donít quite know how to code it yet. I know it has something to do with adding up the coded long and short entries and trading the sum of the open positions. If anyone can help with this coding project I would greatly appreciate it.

Thatís all for now! Time to hit the hay!

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 FastNCurious 
saint louis MO
 
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A lot has happened since my last entry.

It has been an amazing day really for my understanding of trading. I figured out how to code an idea I got from one of my newsletters and its always nice when you figure out the correct code to make a idea work in real life. I learned a bit about how tradestation understands month(date) statements and how it evaluated if a statement is true or false.

You really have to think about the statements almost backwards or from the inside out to make the computer do what you want it to do.

I now am currently trading live 6 strategies that trade different markets. Overall I am up and that is good but currently in one of my largest drawdowns after a nice peak two weeks ago. Emotions are high but I am able to detach myself from the outcome much better now than a few months ago.

Also, I have been working on applying Dave Fishers Monthly Strategy Tracking Spreadsheet to every strategy that I am tracking. Very useful and so glad he took the time to create this. I knew I was going to have to tackle this idea of tracking strategies and Dave has made it so that all I hit is an update button and wala --the performance is easily assessed from a monthly perspective. At first I was working on a weekly data file that updated automatically but when I found what he has made available my life is so much easier.

I am having a rough October(equity account wise) but I know some breathing room is just around the corner.

At least I hope!!

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 FastNCurious 
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I have been reading Art Collins Beating the Financial Futures Market. I am finally learning how he puts together systems that show bias and finding combinations that create a greater return than the sum of it parts based on ROA. I finally successfully created a strategy from his idea and the numbers seem to match well enough.

I would like to work through several biases and then add them together in different ways to try and receive a better ROA. Right now I need to work on the logic code I would use to add biases kind of like card counting. each buy signal would have a value of +1 and sell signal -1.

I'm sure it isn't too complicated really but I have never done it before. I will be working on this idea as I go on vacation.

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 vmodus 
Legendary Systematic Algo Trader
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Hey @jburke75, I just stumbled on your journal. Like you, I am an algo/systems trader. If you haven't read Kevin Davey's ( @kevinkdog ) book, Building Winning Algorithmic Trading Systems, I highly recommend reading it. It revolutionized our strategy development, testing and deployment processes. If nothing else, you can check out his YouTube channel, where he has a lot of good stuff for us algo traders.

I've also been listening to the Top Traders Unplugged podcast lately, so I recommend that. They cover a lot of different topics related to systems trading.

I keep a journal, too, of my algo adventures, if you're interested: .

I look forward to reading more of your adventures!

~vmodus

Enjoy everything!
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 kevinkdog   is a Vendor
 
 
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vmodus View Post
Hey @jburke75, I just stumbled on your journal. Like you, I am an algo/systems trader. If you haven't read Kevin Davey's ( @kevinkdog ) book, Building Winning Algorithmic Trading Systems, I highly recommend reading it. It revolutionized our strategy development, testing and deployment processes. If nothing else, you can check out his YouTube channel, where he has a lot of good stuff for us algo traders.

I've also been listening to the Top Traders Unplugged podcast lately, so I recommend that. They cover a lot of different topics related to systems trading.

I keep a journal, too, of my algo adventures, if you're interested: .

I look forward to reading more of your adventures!

@vmodus @jburke75

Actually you guys also have something else in common regarding me, if you catch my drift...

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 FastNCurious 
saint louis MO
 
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kevinkdog View Post
@vmodus @jburke75

Actually you guys also have something else in common regarding me, if you catch my drift...

100% we do! 😆. Iíve also found your journal helpful @vmodus. I would be interested in collaboration but I understand you already have a partner based on your journal. Like you Kevin has been instrumental in my Algo trading success.

October has been rough month for breakout strats which currently as a new trader I am heavily focused on. I realize now I need to implement more mean reverting and bull bear regime strats. To compensate for periods like this.

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 vmodus 
Legendary Systematic Algo Trader
Somewhere, Delaware, USA
 
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@vmodus @jburke75

Actually you guys also have something else in common regarding me, if you catch my drift...

I suspected as much!

~vmodus

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 vmodus 
Legendary Systematic Algo Trader
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100% we do! 😆. Iíve also found your journal helpful @vmodus. I would be interested in collaboration but I understand you already have a partner based on your journal. Like you Kevin has been instrumental in my Algo trading success.

October has been rough month for breakout strats which currently as a new trader I am heavily focused on. I realize now I need to implement more mean reverting and bull bear regime strats. To compensate for periods like this.

I don't have any free time for collaboration, as I juggle trading and client work, but you can always PM me with questions or just hit me up on my journal. I'm open to collaboration later once things free up a bit.

Have a great weekend!

~vmodus

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 FastNCurious 
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Currently developing different ways to initiate a buy on either a certain date of the month or possibly some trading day of the month. the difference being that one strategy may use a specific date of the month. Say I pick the 5th of every month sometime the 5th will fall on a weekend and thus the next trading day may get filled. This is one idea that has been proposed to me recently but I am not sure how to code that in tradestation yet.

I have however developed a strategy to buy on the 5th trading day of the month. Still I am struggling to wrap the idea of the code in my head.

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 FastNCurious 
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I just had a realization that I need to stay in touch with TS anytime I notice problems with strategy orders. I just got off the phone with them because this is the second or third time I had a strategy order rejected because the order is being sent milliseconds before the open of the market. Apparently you can add a few seconds to delay the order from being sent so you can make sure that the order is sent during market hours.

If anyone is reading this and knows how to do this I would be interested in learning.

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 vmodus 
Legendary Systematic Algo Trader
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I just had a realization that I need to stay in touch with TS anytime I notice problems with strategy orders. I just got off the phone with them because this is the second or third time I had a strategy order rejected because the order is being sent milliseconds before the open of the market. Apparently you can add a few seconds to delay the order from being sent so you can make sure that the order is sent during market hours.

If anyone is reading this and knows how to do this I would be interested in learning.

I think you can find this in the EasyLanguage section of FIO. I vaguely remember answering this question a while back.... Anyhow, do a search and see what you can find. I will look in my archives.....

~vmodus

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 vmodus 
Legendary Systematic Algo Trader
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Adding this condition to your buy and/or sellshort statement may solve your problem:

 
Code
Condition99 = BarStatus(1) = 0 ; // if this is the first tick of a new bar, then true, otherwise false
What this will do (hopefully) is wait for the first tick of the bar to appear, before sending your order. Try this in SIM first and make sure it is doing what you want. You can look in the Dictionary for more details on BarStatus.

For future reference, you will be better served posting your question as a separate topic over in the EasyLanguage thread. It will generally help get your question answered faster and it helps other users browsing over there. I only saw this because I follow your journal.

Let me know how it goes!

~vmodus

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 FastNCurious 
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I just realized at the end of his book Art has all the code to create these strategies and right after I wrote the code for the first strategy I decided to check the back of the book and it was right there staring me in the face. My way of coding it was pretty much exactly how he wrote it. That part was encouraging.

Someone recently burst my bubble and told me that the strategies in the book don't work anymore. Still I think good concept can be learned from back testing so many combinations of different ideas.

If nothing else I learned a lot about coding. We all want the holy grail found in a book somewhere that very few people are using. Does it even exist? I think more than anything it is combining different ideas and diversifying among various strategies in uncorrelated asset that is the real Holy Grail. As in life, It is never one thing in trading that makes all the difference. Life is more nuanced than that. I hope to really be building new ideas soon. I have a bit more capital now that I have 5 months under my belt. So far I have recorded a 31% profit and 100% ROA. This would be my net profit/worst drawdown. I think this is pretty good for just starting out at this thing. However, I fear that those result are just a statistical anomaly. Time will tell.

I have so many ideas that are popping up I don't have time to test them all.
I can see how collaboration is key in developing strategies. Full time research is needed to produce the product you want but so far a small portfolio has performed quite well. This may be due to concentrated holdings.

I have a strategy that buys every index in small quantity upon a sell off in or around oct and holds until May the following year. That has produced a huge return and I am hoping it will rise to my target. Because this is simply a buy and hold for half a year strategy I manage that trade manually as I refuse to take a loss on original investment once being hugely profitable. I may try to code this into my current entry and exit rules. My intuition tells me that this will not produce as good of results as just leaving it alone.

This strategy is about as simple as it gets. The problem I am seeing is that this strategy by itself completely fell apart the last two years. While these last two years have not been normal by any means I am betting that the market will not treat this strategy the same two years in a row. 90% of historical data suggest a strongh bias to the long side from Nov-May.

One thing I have considered is adding a profit target to the strategy as well as a stop Loss. I will try both and report back.

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 FastNCurious 
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I am noticing a pattern with TS 9.5. Every once in a blue moon a strategy order will not get sent and follow through until I click on the chart. I have an indicator that says my strategy position doesn't match my real life position. It is a paint bar indicator for KJD but when I notice it is red I click on the chart to figure out what is going on and right after I click the chart the order gets sent to the market as long as the markets are open.

I inspected the code and made sure to use coding to ensure the orders are received by the market after the market opens.

I really am stumped at this point.

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I am noticing a pattern with TS 9.5. Every once in a blue moon a strategy order will not get sent and follow through until I click on the chart. I have an indicator that says my strategy position doesn't match my real life position. It is a paint bar indicator for KJD but when I notice it is red I click on the chart to figure out what is going on and right after I click the chart the order gets sent to the market as long as the markets are open.

I inspected the code and made sure to use coding to ensure the orders are received by the market after the market opens.

I really am stumped at this point.

Is this with a VPS, by chance? I know someone else with that issue with VPS - the order gets sent once they log into the VPS. Sounds similar to your experience.

One solution might be to make sure you run TS 9.5 as an administrator. You can right click on the desktop icon and select "run As Administrator"

See if that helps. Also, if it does not, keep a log with details (screenshots).

I can collect your info, and info from others, I'll then approach TS upper mgmt to get it resolved. Upgrading to TS 10 MIGHT solve it too (I don't know).

I have never experienced this issue, by the way.

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 vmodus 
Legendary Systematic Algo Trader
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kevinkdog View Post
Is this with a VPS, by chance? I know someone else with that issue with VPS - the order gets sent once they log into the VPS. Sounds similar to your experience.

One solution might be to make sure you run TS 9.5 as an administrator. You can right click on the desktop icon and select "run As Administrator"

See if that helps. Also, if it does not, keep a log with details (screenshots).

I can collect your info, and info from others, I'll then approach TS upper mgmt to get it resolved. Upgrading to TS 10 MIGHT solve it too (I don't know).

I have never experienced this issue, by the way.

Just my 25 cents.... we've never had a problem through our VPS (Azure VM), running TS 10. The only problem we've had on the VPS is that if we connect using a PC with High DPI (e.g. Surface Book), that will sometimes kill TS (not errors.... flat out kill it like it wasn't even running).

Not to hijack @jburke75 's journal, but is TS Support still actively supporting 9.5?

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 kevinkdog   is a Vendor
 
 
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Just my 25 cents.... we've never had a problem through our VPS (Azure VM), running TS 10. The only problem we've had on the VPS is that if we connect using a PC with High DPI (e.g. Surface Book), that will sometimes kill TS (not errors.... flat out kill it like it wasn't even running).

Not to hijack @jburke75 's journal, but is TS Support still actively supporting 9.5?

They have said no more updates to 9.5, but they still investigate 9.5 issues (especially if they spill over to 10).

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 FastNCurious 
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kevinkdog View Post
Is this with a VPS, by chance? I know someone else with that issue with VPS - the order gets sent once they log into the VPS. Sounds similar to your experience.

One solution might be to make sure you run TS 9.5 as an administrator. You can right click on the desktop icon and select "run As Administrator"

See if that helps. Also, if it does not, keep a log with details (screenshots).

I can collect your info, and info from others, I'll then approach TS upper mgmt to get it resolved. Upgrading to TS 10 MIGHT solve it too (I don't know).

I have never experienced this issue, by the way.

This is not a vps but I will try your method of started TradeStation in administrator mode

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This is not a vps but I will try your method of started TradeStation in administrator mode

If Admin mode does not fix it, try upgrading to TS 10, and see if that cures it. If not, let me know.

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 FastNCurious 
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vmodus View Post
Just my 25 cents.... we've never had a problem through our VPS (Azure VM), running TS 10. The only problem we've had on the VPS is that if we connect using a PC with High DPI (e.g. Surface Book), that will sometimes kill TS (not errors.... flat out kill it like it wasn't even running).

Not to hijack @jburke75 's journal, but is TS Support still actively supporting 9.5?

I will never update until I absolutely have to. 9.5 is fine for now. Just canít trade blindly. You have to Make sure the programs are cooperating. I was just curious if anyone has had this exact thing happen where orders are sent when clicking the chart. Maybe it only occurs after restarting TS and not refreshing the chart. I will test this out.

9.5 is what I will keep for now. Until I get a laptop and can test 10.0 out. Ultimately I want a computer specifically for testing and one for trading live. Right now I do both on my desktop I built.

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 FastNCurious 
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I just watched Andrea Unger video of how to trade energies

sum up his video with this:


CL responds well to trend following and counter trend strategies.
RB and HO are good for intraday breakout and trend following systems
NG is good for mean reverting counter trend strategy

stop losses are roughly around 1000 - 1500

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 vmodus 
Legendary Systematic Algo Trader
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jburke75 View Post
I just watched Andrea Unger video of how to trade energies

sum up his video with this:


CL responds well to trend following and counter trend strategies.
RB and HO are good for intraday breakout and trend following systems
NG is good for mean reverting counter trend strategy

stop losses are roughly around 1000 - 1500

Thanks. This confirms my recent study of these four, specifically. RB and HO seem to work well with the same strategies. Is this video available to the general public? I would like to watch.

~vmodus

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 FastNCurious 
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vmodus View Post
Thanks. This confirms my recent study of these four, specifically. RB and HO seem to work well with the same strategies. Is this video available to the general public? I would like to watch.

https://ungeracademy.com/blog/trade-the-energy-market

I think he has several free videos there. Good stuff and glad most come with a transcript because itís hard to make out every word.

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 vmodus 
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jburke75 View Post
https://ungeracademy.com/blog/trade-the-energy-market

I think he has several free videos there. Good stuff and glad most come with a transcript because itís hard to make out every word.

Awesome, thank you very much! I have wanted to read his book for a while, but it is written in Italian and my Italian is pretty rough. I see that Wiley is publishing an English language translation slated for publication next year, and according to the reviews, the first part of it is geared towards system traders. I've pre-ordered, but probably won't see it until June.

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 SMCJB 
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jburke75 View Post
I will be in Cleveland in April as well (donít know which week yet) and I hope to see you there! You are ending your algo journal journey and I am just starting mine. I take my keys from you in many ways. I even named my journal after yours with a robot theme. What a great example you have laid out for us beginners. So much to learn from each other. I hope you keep it alive even if itís a once a month check in.

I'll be there as well and trying to coordinate with @vmodus to be there at the same time. The last one was excellent.

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 SMCJB 
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kevinkdog View Post
I have run walkforward tests with 3 different approaches:

1. Manual walkforward
2. StratOpt WFP walkforward tool (my preferred option)
3. Tradestation WFO tool

None of them agree with each other. They all make different assumptions, and do calculations slightly differently, so I would not expect them to be exactly the same.

I think the key is to use the same method in live trading as you did during development. Don't use Stratopt in backtest, but then manually do it live - for example.


jburke75 View Post
I spoke with the developer of strat opt WFP and he primarily uses it to create intraday trading strats. He has told me that an in sample period of around 10 trades is a good place to start.

I can see how walkforward testing is great for intraday systems, and theoretically should yield the same results no matter how you do it. The problem comes when you start using walkforward testing on swing systems. How do you treat an open trade at the end of the walkforward period? If you close it at the end of the period you might get different optimization results than if you close it when the system would close it. Another issue with walkforward is trade count. They less trades you have in each walkforward period the less significant the results are. I have a tendency to develop systems that have low trade counts - and the resulting walkforward results are extremely unstable.

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 SMCJB 
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jburke75 View Post
Currently developing different ways to initiate a buy on either a certain date of the month or possibly some trading day of the month. the difference being that one strategy may use a specific date of the month. Say I pick the 5th of every month sometime the 5th will fall on a weekend and thus the next trading day may get filled. This is one idea that has been proposed to me recently but I am not sure how to code that in tradestation yet.

I have however developed a strategy to buy on the 5th trading day of the month. Still I am struggling to wrap the idea of the code in my head.

Something like this will only trade on the 5th trading day of the month
If month(current bar) > month(last bar) then counter = 0 else counter = counter + 1
If counter = 5 then run your trade code

jburke75 View Post
I just realized at the end of his book Art has all the code to create these strategies and right after I wrote the code for the first strategy I decided to check the back of the book and it was right there staring me in the face. My way of coding it was pretty much exactly how he wrote it. That part was encouraging.

Someone recently burst my bubble and told me that the strategies in the book don't work anymore. Still I think good concept can be learned from back testing so many combinations of different ideas.

So I assume you mean this...
Beating the FINANCIAL FUTURES MARKET: Combining Small Biases Into Powerful Money Making Strategies

Well he also wrote this
Beating the Financial Futures Market: 2017 Almanac
which updates the results of the original strategies. While not all terrible most of the strategies no longer work as they used to but I think all did make money over the 11 year period between the original and the Almanac.

Linking these two books though, I see he has now added
BEATING THE FINANCIAL FUTURES MARKET: The 2020 Almanac
which I haven't read, so maybe some of them started working again. i did just order it though.

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SMCJB View Post
I can see how walkforward testing is great for intraday systems, and theoretically should yield the same results no matter how you do it. The problem comes when you start using walkforward testing on swing systems. How do you treat an open trade at the end of the walkforward period? If you close it at the end of the period you might get different optimization results than if you close it when the system would close it. Another issue with walkforward is trade count. They less trades you have in each walkforward period the less significant the results are. I have a tendency to develop systems that have low trade counts - and the resulting walkforward results are extremely unstable.

Good points. Each walkforward tool makes different assumptions. You definitely will get different results if you close trades at end of each period. I keep them open in real trading, so I prefer a walkforward analysis that replicates that.

For number of trades, I look more at the overall period of time with walkforward analysis as being more important. But if you have say 5 trades a year, and choose to reoptimize every 6 months, you could run into stability problems as you suggest.

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 FastNCurious 
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Today is kind of a blah day for my trading systems it seems. The markets have been trying to figure out a direction. I am learning that many of my strategies only do well when the market is roaring in one direction. I must have mean reverting ideas to implement so I can bang out a profit during quiet times in the market. This is my primary focus right now in terms of testing ideas.


I am also totally kicking myself for leaving money on the table by incubating a strategy that I received. It has outperformed lately and I am kind of disappointed in myself for not turning it loose. My fear of max loss kept me on the sidelines for now which I know is the right move but the gambler in me wants to risk more. Luckily I have a strict method for strategy development. I wish there was a market for fine tuning other markets such as agriculture. If there were a micro ag or soft market I would definitely be in the market right now.

As of right now my account cant take a 10K max drawdown if I'm having another big drawdown in another strategy. This is my focus also. I want to make sure that the strategies I use have a total max drawdown such that 2x max drawdown = minimum acct balance. Obviously I am working with a smaller account so risk of ruin is higher.

Today I will be testing my mean reverting idea. I may have found something that shows promise but we have much more testing to do.

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 SMCJB 
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kevinkdog View Post
You definitely will get different results if you close trades at end of each period. I keep them open in real trading, so I prefer a walkforward analysis that replicates that.

I believe Greg has said that StratOp closes them.


jburke75 View Post
Today is kind of a blah day for my trading systems it seems. The markets have been trying to figure out a direction. I am learning that many of my strategies only do well when the market is roaring in one direction. I must have mean reverting ideas to implement so I can bang out a profit during quiet times in the market. This is my primary focus right now in terms of testing ideas.

An important trading skill is to know when not to trade. If your trading frequently you need to be taking advantage of small moves. This is very dependent upon costs and fill quality (ie slippage) and is the domain of the more sophisticated systems/traders. If your trading less frequently your taking advantage of good setups. The lower the quality of your setups, the worse your trading results. Not trading is a good thing at times.

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 FastNCurious 
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vmodus View Post
Awesome, thank you very much! I have wanted to read his book for a while, but it is written in Italian and my Italian is pretty rough. I see that Wiley is publishing an English language translation slated for publication next year, and according to the reviews, the first part of it is geared towards system traders. I've pre-ordered, but probably won't see it until June.

I would be interested in it as well. Maybe after you read it give my journal a short review of it. I'd really appreciate it.

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I would be interested in it as well. Maybe after you read it give my journal a short review of it. I'd really appreciate it.

What book is this?

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 FastNCurious 
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Andrea Unger's book that is currently only available in Italian. Not sure what book it is.
I went looking for this mysterious book and found these. A list of Andrea Unger's recommended reading:

I wanted to make a personal note because I have already read two of these book and this confirms I am on the right path.

Larry William's -
Long-term Secret to Short-term Trading

Kevin Davey's Algo Trading Books-
Introduction to Algo Trading and Winning Algorithmic Trading Systems

Perry Kaufman and Thomas Stridsman
Trading Systems That Work and Trading Systems and Money Management

Howard B. Bandy's Trading Books

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 FastNCurious 
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I found this online searching:

Trattato di Money Management: La gestione professionale del rischio (Italian Edition)

This may be it but I don't know. @vmodus would know.

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I found this online searching:

Trattato di Money Management: La gestione professionale del rischio (Italian Edition)

This may be it but I don't know. @vmodus would know.

Yes, English version comes out in June. It should be worth reading. I have been asking Andrea for English version for years! Maybe I helped wear him down, because for a long time he did not want to do it!

Kevin

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 vmodus 
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I would be interested in it as well. Maybe after you read it give my journal a short review of it. I'd really appreciate it.

Sure, will do.

~vmodus

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 FastNCurious 
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I am not completely sure where I found this but I'm sure it was either here or the other forum I belong to but these markplex free tradestation tutorials are actually quite useful as they answer some of the common questions I have had in the recent past.
All the answers are out there waiting to be discovered by those who ask.

I also got online access to Stocks and Commodities Magazine last night as my early Christmas present. I've had some fun today with trying out a few new custom indicators from Ehlers. I have been thinking about how to apply them to a strategy. It seems the NET custom indicator has the ability to predict an imminent major market reversal. I was thinking about using it as a filter for a momentum strategy with fairly loose stop loss. I think this would take part in major moves while stopping out occasionally with small losses.

Now I am at the drawing board trying to turn a custom indicator into a function that can be used as a trigger or filter for entry. I have a good idea conceptually of how to do it. I believe I first need to turn the indicator into a function that can be called upon by my strategy. I will be putting something together tonight and see how this goes. I'm sure this will all be for naught but the exercise is good for a beginner like myself.

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 SMCJB 
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I've had some fun today with trying out a few new custom indicators from Ehlers.

I was playing with Ehlers "Truncated Indicators" (TASC 2020-07) recently and was surprised how much the indicators changed, and appeared more responsive when you truncate/remove the very old price memory. I also recently programmed up his system from " Rocket Science for Traders: Digital Signal Processing Applications" and ran it through Multiopt with very disappointing results.


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Now I am at the drawing board trying to turn a custom indicator into a function that can be used as a trigger or filter for entry. I have a good idea conceptually of how to do it. I believe I first need to turn the indicator into a function that can be called upon by my strategy.

Correct. Write it as a function, then have both the indicator and strategy call the function.

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 vmodus 
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I was playing with Ehlers "Truncated Indicators" (TASC 2020-07) recently and was surprised how much the indicators changed, and appeared more responsive when you truncate/remove the very old price memory. I also recently programmed up his system from " Rocket Science for Traders: Digital Signal Processing Applications" and ran it through Multiopt with very disappointing results.

Correct. Write it as a function, then have both the indicator and strategy call the function.

One of the most import concepts in software development is code resuability, thus the purpose and utility of functions.

Speaking of Ehler's, I have a ton of his code if either of you are interested, particularly in functions. Let me know and I can package it up.

I have done a ton of work on his various cycle concepts, but most have ended in dead ends. I have had very little success implementing his ideas into strategies. The best success we have had is with his TrendFlex/Reflex indicator on HO. It was in TASC earlier this year.

~vmodus

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 FastNCurious 
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One of the most import concepts in software development is code resuability, thus the purpose and utility of functions.

Speaking of Ehler's, I have a ton of his code if either of you are interested, particularly in functions. Let me know and I can package it up.

I have done a ton of work on his various cycle concepts, but most have ended in dead ends. I have had very little success implementing his ideas into strategies. The best success we have had is with his TrendFlex/Reflex indicator on HO. It was in TASC earlier this year.

I would be interested but please donít spend a ton of time on it. I guess this code is straight out of Tasc? Various articles? My attention in my trading ideas would be simply to use these as filters for an entry with an edge to possibly filter out losing trades. I can see how this endeavor would seem like trying to find a needle in the hay stack.
I often wonder if these writers are actually using their ideas in their own trading? I will also take a look specifically at the trendflex/reflex indicator you mentioned

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 FastNCurious 
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Quick check in on the algo trading front. 6 months into live acct trading and I currently have 9 strategies that have passed incubation and are making new highs as we speak. I recognize that these moments are fleeting because most of the time is spent in some form of draw down. That being said I canít be happier with performance. Iím waiting for something bad to happen to bring me back to reality but so far nothing like that has occurred.

I have had a max drawdown of equity of $5000. But the trend is up over all. My fear at this point is my worst drawdown ahead. And what happens if I have 2-3 strategies that reach new max drawdown levels? That would break the account easily. I think this is where having 15-20 strategies will be beneficial to the trader because of diversification.

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 vmodus 
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I would be interested but please donít spend a ton of time on it. I guess this code is straight out of Tasc? Various articles? My attention in my trading ideas would be simply to use these as filters for an entry with an edge to possibly filter out losing trades. I can see how this endeavor would seem like trying to find a needle in the hay stack.
I often wonder if these writers are actually using their ideas in their own trading? I will also take a look specifically at the trendflex/reflex indicator you mentioned

John Ehlers trades most of his ideas, from what I understand. Generally his TASC stuff is part of a larger whole, which is all around signal processing and cycle analytics. In other words, rocket science.

If you come across one of his ideas and need code, just let me know. I probably have it.

~vmodus

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 FastNCurious 
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Well the month of January officially sucks for my algos. Things were going so well for such a long time. I knew something like this was on the horizon and today I took a beating that has caused me to just pull the plug for a bit to breath. I can't watch as the market keeps ripping away profit like it was smoke in the wind. I have noticed that when things go wrong they tend to go wrong in several different areas making it much harder to bare.

I have decided to take a breather from my algos just for a few days to assess the situation and make some adjustments. The good news is I locked in a healthy profit from my start date and now is the time to make adjustments to my risk profile. I was approaching my max risk drawdown of 25% which was quite brutal. The sad part is that each of my strategies are doing what they are supposed to do and none have reached a max drawdown level. They just all seem to have pulled back at the same time or at least within a few days of each other. I just can't take that kind of beating anymore. I definitely need to focus on correlation now more than ever. I have been putting it off for quite a while. I tend to just wing it a bit as the gambler in me wants to be in a trade at all times.

It is very hard to trade with an undercapitalized account. I figure my minimum account balance should be roughly 100K but I'm a long way off from there.

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 SMCJB 
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Similar thing happened to me when I first started Algo trading like this. Over a period of many months mostly wins accumulated into a nice profit, and then in a matter of a few weeks I wiped most of it out. As you say everything seemed to lose at the same time.

I actually talk about correlation of systems in my iSystems journal in this post here. (Note my comment above wasn't about iSystems, it was about algo trading with Tradestation). Amazing how correlation can help and hurt you.

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To illustrate this let me use a simple example of 4 systems, that each make the same amount of money. In this example Sharpe is just Average/Std Dev,



Now let's combine these 4 systems into 6 different portfolio's that each contain 2 systems each.



Not surprisingly all portfolio's make the same amount of money. The portfolio with the best Sharpe ratio is the portfolio that combines systems 2 and 4 and almost goes straight up. That might seem obvious since the two individual systems with the best Sharpe ratio's were 2 and 4. But the 2nd best portfolio is the combination of 1 and 4, and system 1 has the worst Sharpe ratio. The worse portfolio is 1 and 2, which may surprise people given that 2 has one of the best Sharpe's and is also included in the best portfolio.

So why is this?

Correlation.

Positive correlated systems amplify movements, while negative correlated ones mute them. So as long as systems have positive expectations you want to have uncorrelated systems rather than correlated ones. (Which is why I mentioned the correlations of my 6 systems in one of my first posts!)



As you can see the portfolios with the highest Sharpes were the portfolios that combined uncorrelated systems, while the portfolio's with the worst Sharpes combined correlated systems!

And related....


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Friday 29th September - Understanding what went wrong this Month ☹

This month has - to be blunt - been almost disastrous. After the nice $4k profit in August I somehow managed to lose about $10k in September, meaning I'm now down about $6k. Given that this portfolio of 8 systems largest drawdown ever, which was also a single month, was approximately $4.7 that's rather eye opening.

Looking at each system individually none of them are performing terrible, but 7 of the 8 eight had really bad months. Profit in terms of standard deviations away from expected were +0.51, -0.84, -0.97, -1.07, -1.2, -1.23, -1.36, -1.71 which isn't pretty. Since in average month we would expect about 5 systems to win, and 3 to lose, the summed up results are magnified and the portfolio performed 2.48 SD's below expectation!

So we had a bad month, and the killer was correlation. I think this chart sums up the problem in September. While the blue/89 months/all data does include a lot of backtest data, for the orange/12 months all 8 systems were live. As might be expected the live data distribution is shifted to the left, but still a result of 1 is a significant outlier.



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I should have probably mentioned that for the average system I can be 0.478 SD's below expectation and still be breakeven which probably makes those numbers look slightly less horrific. The portfolio can be 1.14 SD's below expectation and still be breakeven.

When correlations all go to 1... life gets tough.

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Well the month of January officially sucks for my algos. Things were going so well for such a long time. I knew something like this was on the horizon and today I took a beating that has caused me to just pull the plug for a bit to breath. I can't watch as the market keeps ripping away profit like it was smoke in the wind. I have noticed that when things go wrong they tend to go wrong in several different areas making it much harder to bare.

I have decided to take a breather from my algos just for a few days to assess the situation and make some adjustments. The good news is I locked in a healthy profit from my start date and now is the time to make adjustments to my risk profile. I was approaching my max risk drawdown of 25% which was quite brutal. The sad part is that each of my strategies are doing what they are supposed to do and none have reached a max drawdown level. They just all seem to have pulled back at the same time or at least within a few days of each other. I just can't take that kind of beating anymore. I definitely need to focus on correlation now more than ever. I have been putting it off for quite a while. I tend to just wing it a bit as the gambler in me wants to be in a trade at all times.

It is very hard to trade with an undercapitalized account. I figure my minimum account balance should be roughly 100K but I'm a long way off from there.

Sounds like you are doing the sensible thing right now, instead of letting the gambler in you take over.

This may have been the first bad drawdown you've experienced, but unfortunately it will not be the last.

I remember a number of years ago, I looked at winning days vs losing days. I found during one year, I lost a lot more days than I won. But overall I had a good year, even though it seemed like I was almost always in a drawdown.

You'll recover, and be a bit stronger mentally because of this!

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 SMCJB 
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I remember a number of years ago, I looked at winning days vs losing days. I found during one year, I lost a lot more days than I won. But overall I had a good year, even though it seemed like I was almost always in a drawdown.

Those few (really) good days are also inevitably what turns my years from being blah to respectable. I think in my NG trading last year, my best day was 12% of my year! That's why I've always been amazed at the make $X by 10 am and then go and play golf mentality. The days I've made $X by 10am are the days I'm glued to the screens. The days where I haven't made it by 10am are the days you should be playing golf! (In reality I'm glued to the screens all day every day. Lot more fun than playing golf!)

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 FastNCurious 
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Already recovering nicely now that I took a step back and lowered my total exposure to long side risk. Part of my frustration is that I just started a new account with live trading and I took on too much risk in the beginning days and that has further crippled my ability to take on more than one strategy. Right now I have reduced down to one strategy for that new account. I just need to be patient and wait for proper account sizing to implement more strats.

I am noticing that the energy markets seem a little bit more suited to frequent trading strategies. I can see why you like to focus on them in your trading. I could picture a world where the only thing I traded was energies but I also am aware of the current changing market conditions and how this may affect the tradability of CL for instance. I wonder where the CL market will be 50 years from now with electric cars being so much more widely available.

Time will tell...Have a wonderful day everyone!

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 FastNCurious 
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Here is a random question for my fellow Algo traders out there. I'm pretty sure we all started out as discretionary traders but as of the start of your algorithmic trading and only taking that into account how many years have you been in the Black vs Red?

For me I just started so I can honestly say I only have 1 year in the black and that is the one year I started algo trading.

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 SMCJB 
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FYI I focus on energy now because I spent my career working for energy traders. My first job out of college was working for an oil trading company. Since then I have worked for several other large energy traders before going out on my own 12 years ago. So it's not that I choose the energy contracts - it's just that I know the most about them.

The Oil complex is a nice thing to trade because it has a decent amount of volatility without being crazy volatile. It also has some nice long trends which can be captured. You need to be careful though when diversifying because the contracts are all highly correlated, so if your trading similar systems diversified across the CL-BZ/BRN-HO-RB you'll probably find they all make and lose at the same time.

Re: Where is energy going? Natural Gas market is growing in size, and becoming more international as the LNG market grows. CME/NYMEX Natural Gas is a very robust market. (It's very weather dependent though, and you can see some crazy overnight moves when the forcasts change). There are also Power/Electricity markets you can trade. There's several issues with Power though. Firstly it's all on ICE, which is both expensive to trade and difficult to find software and brokers that will allow you to trade it. Secondly it's a wholesale market, so in the Eastern US the standard trade size is 50MW/hr 5x16 for a month. So they standard contract is about 16,800 MWhrs, which if we say power is $35/MWhr equates to a contract size of $588,000! Finally there's no National Benchmark price in power like there is in most other commodities. PJM which originally was the Pennsylvania-Jersey-Maryland power system, but now stretches a lot further geographically, is I believe the biggest Power System. While they do have a highly trade popular product called "PJM Western Hub" the basis risk between that, and locations within PJM (never mind other locations) is large enough to make it a mediocre hedge. The problem with power is the the supply (often in rural areas) is rarely close to the demand (high population urban areas) so it can be a very fractured market. (Think wind generation prices in West Texas going negative at night, but Houston prices at peak demand in the summer hitting the $1000 cap price). CME/NYMEX do have futures contracts, that 20 years ago were reasonably successful, but have unfortunately faded into oblivion since. Question is will their be other Power Futures Contracts as we move away from Oil and Gas?

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Here is a random question for my fellow Algo traders out there. I'm pretty sure we all started out as discretionary traders but as of the start of your algorithmic trading and only taking that into account how many years have you been in the Black vs Red?

For me I just started so I can honestly say I only have 1 year in the black and that is the one year I started algo trading.

Started late 2017. Ran 20k to 70k within a year. Added new system. Both tumbled back to near 20k level. So 2018, 2019 black but not by much. Polished original system, jumped back in on may of 2020. Finished 2020 with black.

Great experience 2017 to 2019 but only 2020 should be considered black. So same with you. 1 year. Would love to have this conversation once again in Jan of 2022. Thanks for your journal.

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 vmodus 
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Here is a random question for my fellow Algo traders out there. I'm pretty sure we all started out as discretionary traders but as of the start of your algorithmic trading and only taking that into account how many years have you been in the Black vs Red?

For me I just started so I can honestly say I only have 1 year in the black and that is the one year I started algo trading.

For my entire trading life I have been black, thankfully. I have been black and red both discretionary and automated, as there has always been some of both styles in my trading. This year I expect to be in the black, but I have some long-term discretionary positions that will be closed as I attempt to automate everything.

I follow Top Traders Unplugged and listen to their podcasts regularly. There is some great insight into how professional hedge fund managers (fully automated system traders) perform. They are not always in the black. Last year was very interesting to hear them, as they only hit the black in December. Highly recommended. It has brought a lot of peace to me.

~vmodus

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 vmodus 
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SMCJB View Post
FYI I focus on energy now because I spent my career working for energy traders. My first job out of college was working for an oil trading company. Since then I have worked for several other large energy traders before going out on my own 12 years ago. So it's not that I choose the energy contracts - it's just that I know the most about them.

The Oil complex is a nice thing to trade because it has a decent amount of volatility without being crazy volatile. It also has some nice long trends which can be captured. You need to be careful though when diversifying because the contracts are all highly correlated, so if your trading similar systems diversified across the CL-BZ/BRN-HO-RB you'll probably find they all make and lose at the same time.

Re: Where is energy going? Natural Gas market is growing in size, and becoming more international as the LNG market grows. CME/NYMEX Natural Gas is a very robust market. (It's very weather dependent though, and you can see some crazy overnight moves when the forcasts change). There are also Power/Electricity markets you can trade. There's several issues with Power though. Firstly it's all on ICE, which is both expensive to trade and difficult to find software and brokers that will allow you to trade it. Secondly it's a wholesale market, so in the Eastern US the standard trade size is 50MW/hr 5x16 for a month. So they standard contract is about 16,800 MWhrs, which if we say power is $35/MWhr equates to a contract size of $588,000! Finally there's no National Benchmark price in power like there is in most other commodities. PJM which originally was the Pennsylvania-Jersey-Maryland power system, but now stretches a lot further geographically, is I believe the biggest Power System. While they do have a highly trade popular product called "PJM Western Hub" the basis risk between that, and locations within PJM (never mind other locations) is large enough to make it a mediocre hedge. The problem with power is the the supply (often in rural areas) is rarely close to the demand (high population urban areas) so it can be a very fractured market. (Think wind generation prices in West Texas going negative at night, but Houston prices at peak demand in the summer hitting the $1000 cap price). CME/NYMEX do have futures contracts, that 20 years ago were reasonably successful, but have unfortunately faded into oblivion since. Question is will their be other Power Futures Contracts as we move away from Oil and Gas?

I was wondering if you have looked into carbon offset contracts, given your energy background. On the surface it seems like it may be compatible. I'm not sure there is enough volume (it might be like lumber), but it may be something to look into.

~vmodus

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 SMCJB 
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The California Ones? Only looked at them from a yield trade perspective. Buy spot credits, sell 1 year forward futures, collect 5-7%. I looked at it once but can get a significantly higher yield with Bitcoin.

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 vmodus 
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The California Ones? Only looked at them from a yield trade perspective. Buy spot credits, sell 1 year forward futures, collect 5-7%. I looked at it once but can get a significantly higher yield with Bitcoin.

I was actually thinking of the London/EU ones. I do not know a lot about them, but thought it might be something you might trade.

~vmodus

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 SMCJB 
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I'm not aware of the London ones

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 FastNCurious 
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It has been a good while since I wrote in my journal here. Things have been going okay with my strategies. Currently trading multiple strategies across several different markets.

The strategy I am currently working on involves using tick data. I have identified a couple of questions I need to answer in order to do proper backtesting. One would be how much tick data tradestation offers? Another would be are there resources that supply unlimited tick data for backtesting?

I have heard that using tick data to backtest can be cumbersome and as part of my strategy factory club I cannot submit a strategy that isn't time based. I am very curious about whether the tick data can be relied upon for building winning systems.

tick data has always made sense to me and I really don't see why it can't be used to create a winning system.

Tick data seems better fit for intra day systems and that is my primary focus right now.

If anyone reading this journal has used tick data as a primary chart analysis window and had success and/or failure please feel free to comment in my journal.

I think I found a system that I spot checked over various different months using a 1440 tick chart of the ES and I am quite pleased with the results so far. The best and most attractive part of the system is the very small drawdown amount. Could this be too good to be true? Probably but I will keep testing post on here my results.

Thats all for now.

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malimaliev
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FastNCurious View Post
It has been a good while since I wrote in my journal here. Things have been going okay with my strategies. Currently trading multiple strategies across several different markets.

The strategy I am currently working on involves using tick data. I have identified a couple of questions I need to answer in order to do proper backtesting. One would be how much tick data tradestation offers? Another would be are there resources that supply unlimited tick data for backtesting?

I have heard that using tick data to backtest can be cumbersome and as part of my strategy factory club I cannot submit a strategy that isn't time based. I am very curious about whether the tick data can be relied upon for building winning systems.

tick data has always made sense to me and I really don't see why it can't be used to create a winning system.

Tick data seems better fit for intra day systems and that is my primary focus right now.

If anyone reading this journal has used tick data as a primary chart analysis window and had success and/or failure please feel free to comment in my journal.

I think I found a system that I spot checked over various different months using a 1440 tick chart of the ES and I am quite pleased with the results so far. The best and most attractive part of the system is the very small drawdown amount. Could this be too good to be true? Probably but I will keep testing post on here my results.

Thats all for now.

May be the tickdata can't be used in TradeStation , but it many other places it can be used and it is the only way to get accurate results.

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 FastNCurious 
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I read elsewhere and confirmed that TS only offers 6 months of tick data. I wish they offered more. I think what I will do is subject any spot checked tick data strategy with TS to a 6-12 month incubation test to watch it live and record the results.

and after watching the incubation period I will trying a few months trading the micros with it before risking larger capital.

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 vmodus 
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FastNCurious View Post
I read elsewhere and confirmed that TS only offers 6 months of tick data. I wish they offered more. I think what I will do is subject any spot checked tick data strategy with TS to a 6-12 month incubation test to watch it live and record the results.

and after watching the incubation period I will trying a few months trading the micros with it before risking larger capital.

This is a wise approach. The problem with tick data, and the reason for the 6 month limit, is the sheer volume of it. If we ever got as much tick data as we need, you would get to a point where you dealing with terabytes of data and eventually petabytes with enough instruments. This is why the big guys have a huge advantage over us. I have years of tick-level data for forex available to me, but it takes an eternity to download.

If you want more tick data, you can always start saving it yourself (moving forward), or you can check out this thread:
.

Anyhow, I have the same problem. I am incubating something I developed last year, which is based on tick data, but I need to know if it will hold up long term. My problem on this particular instrument is that there is no micro contract.

~vmodus

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 FastNCurious 
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vmodus View Post
If you want more tick data, you can always start saving it yourself (moving forward), or you can check out this thread:
.

Thank you for the referral of this info. I will definitely check it out. I can see how the data may be a problem but If I could have access to the full amount of data for some of the major contracts I could download in 6-12 month segments and backtest manually.



vmodus View Post
Anyhow, I have the same problem. I am incubating something I developed last year, which is based on tick data, but I need to know if it will hold up long term. My problem on this particular instrument is that there is no micro contract.

I think I have seen this idea you have worked on in your journal. Wasn't it regarding the VX? How has that done?

My idea is fairly simple. I am looking at a 1440 tick chart of the ES and looking for candles where the open to close is nearly all the range of the candle indicating a strong immediate momentum intraday move. It has done well over the course of the 6 months data I have to test and so far my very limited live data has performed somewhat the same.

I am just recording the end of day data with slippage and commissions added in a google sheet. So far the drawdown is the most attractive part of the strategy.


On another note I have been trying to reoptimize strategies I received as a part of our club bounties and it has been hit or miss (mostly miss ) I just can't seem to find how to get remotely similar results using MultiOpt or manual walkforward. This is disconcerting because my logical mind wants to see some form of agreement from backtesting as my fellow students have gotten. I have attempted to reach out to the developers but haven't been able to connect as of yet.

One great thing about the bounties is you get to see what others have tested and see how they write their code. The ideas are limitless but the time is the constraint.

Thats all for now.

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 FastNCurious 
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I was reading today in a forum about someone needing ideas for breakout strategies that pullback for a re-entry and this got my wheels turning.

I remember reading somewhere that a high percentage of breakouts fail. So my idea that I will test tonight is quite simple. I am going to test this idea to try and take advantage of the failed breakouts and I will start with a 1/1 reward/risk ratio because my thinking is if the odds are on my side a 1/1 reward/risk should result in a profitable system.

I will report back with my results later tonight.

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 vmodus 
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FastNCurious View Post
Thank you for the referral of this info.

I think I have seen this idea you have worked on in your journal. Wasn't it regarding the VX? How has that done?

My idea is fairly simple. I am looking at a 1440 tick chart of the ES and looking for candles where the open to close is nearly all the range of the candle indicating a strong immediate momentum intraday move. It has done well over the course of the 6 months data I have to test and so far my very limited live data has performed somewhat the same.

On another note I have been trying to reoptimize strategies I received as a part of our club bounties and it has been hit or miss (mostly miss ) I just can't seem to find how to get remotely similar results using MultiOpt or manual walkforward. This is disconcerting because my logical mind wants to see some form of agreement from backtesting as my fellow students have gotten. I have attempted to reach out to the developers but haven't been able to connect as of yet.

One great thing about the bounties is you get to see what others have tested and see how they write their code. The ideas are limitless but the time is the constraint.

Thats all for now.

VX.... wow that was an eternity ago. I had to shelve VX for a while, for two reasons: 1) I was having issues with my limit orders not getting filled and could not adequate troubleshoot or get an answer as to why; 2) Margins were incredibly high for VX at the time probably still are. There is mini-VX now, but I have not entertained that. I will bring that particular system back at some point. Thankfully I have enough good systems running now that I have the luxury of not working on it. But I think about it almost every week. That particular system was built on range bars, so it had the 6 month limitation for tick data.

Your idea is interesting. I believe your idea can be described in candlestick terminology as 'long days' and Marubozu. Here is a little snippet of code I stumbled across this week, that may or may not be useful, where n = number of bars back:

 
Code
TrueRange > AvgTrueRange(n)
I was puzzling for a long time as to how to measure the current bar against other bars, and this is one solution (and maybe used with a multiple of ATR). It seems so obvious now.

It took me a while to muddle through reoptimization in MultiOpt. It took a lot of trial and error, but I think I was able to closely replicate the results of other's systems. I am still working through the 'back catalog' of the strategies I received from the SF workshop (I think I am done with the bounties I received). I am thinking of writing the re-optimization instructions as a guide, as Dave's video is a bit confusing. I found that you must use the data start date that is shown in the strategy (if it is there). I am guessing that some of these strategies pre-date MultiOpt, so the results may vary from a manual walk-forward or StratOpt. I think that if your reoptimization results are close to the original results, that could be sufficient.

One funny thing happened while looking at one of the bounty strategies: the trades looked very familiar. After reviewing the code, it was almost identical to one I developed a couple weeks prior (mean-reversion).

Let me know if you need help figuring out MultiOpt, as I think I have it working. I learned a lot about optimization and WFA using MultiOpt.

Oh, one last thing: make sure you are using Sunday as your start date for any tick-based chart, otherwise your back-testing will be wonky for that first week. Been there, done that.

~vmodus

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 vmodus 
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On second blush, this is more useful code for your exact (although you have probably figured this already):
 
Code
condition50 = absvalue(open - close) / (high - low) > .9 ; // if > 90% of bar is filled, then true
You can substitute the .9 for an input.... I think you know what to do...need more coffee (or sleep)

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 vmodus 
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FastNCurious View Post
I was reading today in a forum about someone needing ideas for breakout strategies that pullback for a re-entry and this got my wheels turning.

I remember reading somewhere that a high percentage of breakouts fail. So my idea that I will test tonight is quite simple. I am going to test this idea to try and take advantage of the failed breakouts and I will start with a 1/1 reward/risk ratio because my thinking is if the odds are on my side a 1/1 reward/risk should result in a profitable system.

I will report back with my results later tonight.

You are basically talking mean-reversion here. Larry Connors and Cesar Alvarez have done a ton of work on this and I have been working on this for since the beginning of the year. Here is my one system based on one of Connor's strategies: https://systematicalgotrader.com/2021/02/12/sat2021-02-connors-rsi-1/ I think the exit can be better, but it works for HG and W. I have about half dozen variations of mean reversion, blending indicators and exit variants. Cool stuff. The breakout failure explains why I have almost always been caught on the wrong side of a move in other strategies and trades.

I look forward to seeing what you discover.

~vmodus

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 FastNCurious 
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vmodus View Post
You are basically talking mean-reversion here. Larry Connors and Cesar Alvarez have done a ton of work on this and I have been working on this for since the beginning of the year. Here is my one system based on one of Connor's strategies: https://systematicalgotrader.com/2021/02/12/sat2021-02-connors-rsi-1/ I think the exit can be better, but it works for HG and W. I have about half dozen variations of mean reversion, blending indicators and exit variants. Cool stuff. The breakout failure explains why I have almost always been caught on the wrong side of a move in other strategies and trades.

I look forward to seeing what you discover.

Yes Mean reversion is the theme for sure. I ran my initial idea thru MultiOpt and my preliminary results were promising but the full walk forward left little to pick through. The idea is definitely not scrapped but I thing the entry and exit were a little to simplistic to work long term. I will definitely look at your website to see what I can find out. My idea was short the breakout bar high next bar and buy the breakout low next bar. My first version used stop orders for entry but after thinking it through a limit order would be best thereby eliminating the need for full round slippage. I may not get filled but if price is breaking out already a limit order seems logical.

also for my exit I used a simple stopL and profitT as multiple of stopL. I think I will try an atr stop or chandelier stop with a simple small profit target. Small because I have seen systems with small profit targets work long term. I will report back my findings.

BTW I love multiopt. it has taken me a long time to get used to it but I am now getting in a groove and I love the new features.

I do have a question for you. I was glancing at some of your old journals (specifically the emini dow journal) and I noticed you had said you were having trouble with tradestation. I think you had said you were switching to multicharts or sierra or something like that. What are you using today? did you figure your problems with TS out?

I have problems occasionally with TS crashing and also if I don't go through and refresh my charts daily I get a no order execution issue where the minute I click on my chart the order immediately gets sent. This has led to very late entries. On occasion when I missed the original entry I opt to not click on the chart and just let the order get missed. I currently have a different workspace for each asset class and one for each equity index. I am wondering if having so many workspaces open at a time causes some workspaces to become inactive or something.

My solution is to click on every chart in the morning in order to wake them up so to speak. Maybe this is tradestations way of making sure you are not forgetting about monitoring your strategies. All I know is that this can be quite annoying.

Overall, I am happy with tradestation as I was coming from TOS several years ago which truly sucks in comparison.

I'll never say never but I am probably glued to TS for the rest of my life. Especially now that I have MultiOpt which I don't believe there is anything like it on any other platform.

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 SMCJB 
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FastNCurious View Post
On another note I have been trying to reoptimize strategies I received as a part of our club bounties and it has been hit or miss (mostly miss ) I just can't seem to find how to get remotely similar results using MultiOpt or manual walkforward. This is disconcerting because my logical mind wants to see some form of agreement from backtesting as my fellow students have gotten. I have attempted to reach out to the developers but haven't been able to connect as of yet.

One great thing about the bounties is you get to see what others have tested and see how they write their code. The ideas are limitless but the time is the constraint.

The first few times I won the strategy club (this is pre multiopt) I tried to do the same thing and was disappointed in my ability to reproduce results. Then about two years ago I went back and tried to update my own systems that I entered into and won/passed the SF club. I wasn't trading them and they were 2-3 years old at that point. For at least one of the systems I was completely unable to reproduce the results I got. My own results! I'm not sure why, not sure if I did something wrong the first time, not sure if the data has changed in a way that effected them, but the results weren't even close! And this is my own strategies so I'm not accusing anybody else!

vmodus View Post
2) Margins were incredibly high for VX at the time probably still are.

Try trading Bitcoin! With Bitcoin at $60k, a CME future has a notional value of $300k and a marginn requirement of about $125k!

vmodus View Post
Your idea is interesting. I believe your idea can be described in candlestick terminology as 'long days' and Marubozu. Here is a little snippet of code I stumbled across this week, that may or may not be useful, where n = number of bars back:

 
Code
TrueRange > AvgTrueRange(n)
I was puzzling for a long time as to how to measure the current bar against other bars, and this is one solution (and maybe used with a multiple of ATR). It seems so obvious now.


vmodus View Post
On second blush, this is more useful code for your exact (although you have probably figured this already):
 
Code
condition50 = absvalue(open - close) / (high - low) > .9 ; // if > 90% of bar is filled, then true
You can substitute the .9 for an input....

I've tried data mining for patterns like this. Examples being
  • head < 0.1
  • or head > 0.5 (ie prices moved substantially higher but then sold off completely)
  • or body > 0.9 ~ same as your condition50 (ie open to close was very large part of daily range)
  • or even body < 0.1 (ie open to close was very small part of daily range)
where
head = (high - max(open, close)) / (high - low)
body = (max(open, close) - min(open, close)) / (high - low)
tail = (max(open, close) - low) / (high - low)
so
head + body + tail = 1

I had limited success though. Something I wanted to pursue further but not enough time - as always.


vmodus View Post
One funny thing happened while looking at one of the bounty strategies: the trades looked very familiar. After reviewing the code, it was almost identical to one I developed a couple weeks prior (mean-reversion).

There's a certain Murray Ruggiero Intermarket Strategy that is openly available on the internet that has passed the club multiple times (that I know of) by different entrants.


FastNCurious View Post
Yes Mean reversion is the theme for sure. I ran my initial idea thru MultiOpt and my preliminary results were promising but the full walk forward left little to pick through.

The story of my life!

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 vmodus 
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@FastNCurious , check out this article I just found, which uses the Marubozu pattern we were discussing this past week:

https://kaabar-sofien.medium.com/trading-the-marubozu-candlestick-pattern-the-full-guide-1008386629c3

The author, Sofien, whom I know through LinkedIn, produces some really interesting research. Anyhow, it may be of interest.

~vmodus

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 vmodus 
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SMCJB View Post
Try trading Bitcoin! With Bitcoin at $60k, a CME future has a notional value of $300k and a marginn requirement of about $125k!

Yeah, no thanks on the BTC futures, and bless those who trade them. For those margins I might as well trade spot BTC and take on the risk myself. I'll just hold the BTC and other crypto I have and let everyone do the hard work to drive the price.

SMCJB View Post
There's a certain Murray Ruggiero Intermarket Strategy that is openly available on the internet that has passed the club multiple times (that I know of) by different entrants.

The story of my life!

There are many hidden gems in some of the SF club bounties and awards, hidden in comments or functions (I have a whole set of patterns I found in one of the functions).

Like you.... only so much time.

@FastNCurious .... you can have your journal back now.

~vmodus

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 FastNCurious 
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I asked this question of @ABCTG but I though it would benefit others to have it in my journal as well. Also, it help me keep a log of all my inquiries on here.

I am trying to create a trailing stop that moves my stoploss up to a specific positive value after the trade reaches the first target. I do not want it to be a percentage because as the first target is hit my next target is 2x first target and I want the difference to be the same value
from entry to original stoploss as the 1st profit threshold to 2nd stoploss.

(entry price - stoploss 1) = (profitthreshold1-stoploss 2)

I know I am asking a very simple question but for the life of me I can't figure it out.

I thought about moving the stoploss to a negative value since it is on the opposite side of a negative loss compared to the entry price. I don't think this will work but I will give it a try.

I have also had this idea come up before because I wanted to set a breakeven stop to breakeven plus a few ticks in the positive direction so I will more than likely not eat any slippage and commissions on a breakeven trade. I was unable to figure this out before but I imagine once I have the answer for one the other would be quite easy.

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 FastNCurious 
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ABCTG View Post
@FastNCurious,

I am not sure I follow you correctly as you seem to have the equation laid out already. You would just have to solve it for "stoploss 2":

stoploss 2 = profitthreshold1 - (entry price - stoploss 1)

You might want to consider using an actual stop order here instead of using negative values for "setstoploss".

Regards,

ABCTG


What a simple answer! Just solve my own equation for stoploss2. But instead of using the reserved word setstoploss just use a stop order that is triggered by profit threshold 1

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 vmodus 
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FastNCurious View Post
What a simple answer! Just solve my own equation for stoploss2. But instead of using the reserved word setstoploss just use a stop order that is triggered by profit threshold 1

Thanks for sharing, as I had the same problem several weeks ago. I solved it by referencing the code from the ATR Trailing LX (and SX for short) strategies that are in TS. That is a great little piece of code for setting up a trailing stop and one I've used successfully.

~vmodus

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 SMCJB 
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FastNCurious View Post
I do not want it to be a percentage

If your using continuous futures contracts you can not use percentages, returns, ratios, or anything that involves division or multiplication of the continuous contract price. Every roll-over the back adjusted history changes, so the percentages, returns, ratios all change as well, meaning any backtest is inaccurate.

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 FastNCurious 
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So I have had this idea for a long time and I would like to figure it out finally! What I am seeking is a way to send to an excel file daily/weekly settled account equity to keep track of portfolio performance. If anyone knows of an easy solution for this I would really be interested in the help. I'm not sure if I need to write a strategy to keep track of this or maybe a function exists already.

Feel free to add to my journal any ideas.

I wonder if Portfolio Maestro would be good for this. I will investigate.

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 SMCJB 
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What does "settled account equity" mean?

Futures accounts normally have several values
  1. Mark to Market of Open Positions
  2. Cash
  3. Margin Requirement of Open Positions
Which leads to
  1. Account Value / Net Equity = 1 + 2
  2. Excess Liquidity = 1 + 2 - 3

I've never used these, but in easy language functions that reference things like this are

Beginning Day Basis
  • GetBDAccountEquity
  • GetBDAccountNetWorth
  • GetBDCashBalance
  • GetBDTradeEquity
Real Time Basis
  1. GetOpenOrderInitialMargin
  2. GetRTAccountEquity
  3. GetRTAccountNetWorth
  4. GetRTCashBalance
  5. GetRTInitialMargin
  6. GetRTMaintMargin
  7. GetRTRealizedPL
  8. GetRTTradeEquity
  9. GetRTUnrealizedPL

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 vmodus 
Legendary Systematic Algo Trader
Somewhere, Delaware, USA
 
Experience: Intermediate
Platform: TradeStation, MultiCharts
Broker: TS Securities, OANDA
Trading: Energies, Grains, Fixed Income
 
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SMCJB View Post
What does "settled account equity" mean?

Futures accounts normally have several values
  1. Mark to Market of Open Positions
  2. Cash
  3. Margin Requirement of Open Positions
Which leads to
  1. Account Value / Net Equity = 1 + 2
  2. Excess Liquidity = 1 + 2 - 3

I've never used these, but in easy language functions that reference things like this are

Beginning Day Basis
  • GetBDAccountEquity
  • GetBDAccountNetWorth
  • GetBDCashBalance
  • GetBDTradeEquity
Real Time Basis
  1. GetOpenOrderInitialMargin
  2. GetRTAccountEquity
  3. GetRTAccountNetWorth
  4. GetRTCashBalance
  5. GetRTInitialMargin
  6. GetRTMaintMargin
  7. GetRTRealizedPL
  8. GetRTTradeEquity
  9. GetRTUnrealizedPL

This is where I would start. Then write to a file using FileAppend , FastFileAppend, or Print(File(, separating each value with a ",", so it writes in a CSV format. I would write a single header row, then write to the file once per day (based on time of day) to the file with whatever details are useful.

I tried to add an example of FileAppend, but my code is too messy. Let me know if you would like an example.

~vmodus

Enjoy everything!
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 FastNCurious 
saint louis MO
 
Experience: Intermediate
Platform: TradeStation
Trading: NQ, ES, YM, CL, GC
 
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SMCJB View Post
What does "settled account equity" mean?

Futures accounts normally have several values
  1. Mark to Market of Open Positions
  2. Cash
  3. Margin Requirement of Open Positions
Which leads to
  1. Account Value / Net Equity = 1 + 2
  2. Excess Liquidity = 1 + 2 - 3

I've never used these, but in easy language functions that reference things like this are

Beginning Day Basis
  • GetBDAccountEquity
  • GetBDAccountNetWorth
  • GetBDCashBalance
  • GetBDTradeEquity
Real Time Basis
  1. GetOpenOrderInitialMargin
  2. GetRTAccountEquity
  3. GetRTAccountNetWorth
  4. GetRTCashBalance
  5. GetRTInitialMargin
  6. GetRTMaintMargin
  7. GetRTRealizedPL
  8. GetRTTradeEquity
  9. GetRTUnrealizedPL


Settled account equity means checking RTaccount equity at a certain time of day each day; maybe after settlement around 3:16 central time and printing that data to file. But after reading your question I realized that these are the reserved words I was looking for.

Do you keep track of daily/weekly account equity yourself? Do you know of some other way that is easier to visualize account equity over time other than printing to excel.

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