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Robots Unleashed - a beginners algotrading journey

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  #1 (permalink)
 FastNCurious 
saint louis MO
 
Experience: Intermediate
Platform: TradeStation
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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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  #4 (permalink)
 sixtyseven 
Golden Bay, New Zealand
 
Experience: Beginner
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Posts: 186 since May 2012
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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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  #5 (permalink)
 FastNCurious 
saint louis MO
 
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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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  #6 (permalink)
 FastNCurious 
saint louis MO
 
Experience: Intermediate
Platform: TradeStation
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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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  #7 (permalink)
 FastNCurious 
saint louis MO
 
Experience: Intermediate
Platform: TradeStation
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Posts: 137 since Oct 2017
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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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  #8 (permalink)
TradingGuy
Connecticut
 
 
Posts: 13 since Jan 2011
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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 
saint louis MO
 
Experience: Intermediate
Platform: TradeStation
Trading: NQ, ES, YM, CL, GC
 
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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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