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Inside Fibbee's Incubator (Bloodhound Journal)


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Inside Fibbee's Incubator (Bloodhound Journal)

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  #31 (permalink)
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Ron8 View Post

I have these conditions that I want to incorporate in my strategy.

In my Buy signal:
Buy Stop = High of previous bar + 1 point
Buy Limit = High of previous bar + 5 points

In my Sell signal:
Sell Stop = Low of previous bar - 1 point
Sell Limit = Low of previous bar - 5 points

Ronnie

Is your "buy limit" a profit target or another entry?

“Successful people ask better questions, and as a result, they get better answers.” – Tony Robbins
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  #32 (permalink)
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hen322 View Post
Is your "buy limit" a profit target or another entry?


It is for an entry. For example, if the high of the previous bar is 2000, I will only buy at minimum 2001 but not more than 2005.

It’s a trade management thing but I seem not to see it in Raven.


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  #33 (permalink)
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Ron8 View Post
It is for an entry. For example, if the high of the previous bar is 2000, I will only buy at minimum 2001 but not more than 2005.

It’s a trade management thing but I seem not to see it in Raven.


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Is the entry at the close of the bar, or tick for tick once it reaches 1 tick above the previous bar and not more than 5 ticks?

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  #34 (permalink)
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Ron8 View Post
It is for an entry. For example, if the high of the previous bar is 2000, I will only buy at minimum 2001 but not more than 2005.

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I created one and posted it in my journal. I haven't tested it out in real-time, but the template is there to download.

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  #35 (permalink)
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hen322 View Post
I created one and posted it in my journal. I haven't tested it out in real-time, but the template is there to download.

Awesome, @hen322. Thanks a lot!

Ronnie

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  #36 (permalink)
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SharkIndicators View Post
Great feedback Fibbee, thanks! I've shared this with the team for future consideration. - Keith (Sales & Marketing)


I think I mentioned this before, but I'll mention it again for everyone. The Ratio based order offset option has been on our todo list for a while now, and I believe it is planned to be added during the 15th update. Currently, we are on the 14th update. So, the 15th update should be out some time this year.
Take care,
Zac

Hi Zac & Keith,

I have some other suggestions but to avoid redundancy, can you explain what else is coming down the pipe and also expand on what features we can anticpate with Bloodhound 2.0 when the time comes? If there is another thread for this or forum post, please direct me there.

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  #37 (permalink)
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WEEK 4 WRAP-UP

No time for a video right now so screenshots will suffice.

Systems performed as expected given last weeks price action.

Slinky Long found the bottom on the push lower on sunday/monday and carried a fill winner into the Tuesday high.
Slinky Short failed to find a second rollover off the initial move lower last week. Because of the positive R:R this system came out with a grand despite one side getting hammered all week, which is essentially my (this) style of trading in a nutshell.

GeeGee was off this week as we are not in a daily down trend.

Savio and Phil had a good start but gave some back looking for second pushes later in the week

Big Bear picked up a T1 but ended up getting stopped on the drive higher into Tuesdays high. He is on the hunt for the second wave if we move lower from here.

Pete/Dynamic Pete did their thing, made back the losses from last week on the drive higher and picking up some subsequent High Lows. Theyre holding final targets into the weekend.

In conclusion, I'm happy with the performance of the slinky's and dynamic Pete but I am still analyzing the Savio & Philomena short system counterparts. They can be improved upon before I put real money to work with all three.

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  #38 (permalink)
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Fibbee View Post
WEEK 4 WRAP-UP

No time for a video right now so screenshots will suffice.

Systems performed as expected given last weeks price action.

Slinky Long found the bottom on the push lower on sunday/monday and carried a fill winner into the Tuesday high.
Slinky Short failed to find a second rollover off the initial move lower last week. Because of the positive R:R this system came out with a grand despite one side getting hammered all week, which is essentially my (this) style of trading in a nutshell.

GeeGee was off this week as we are not in a daily down trend.

Savio and Phil had a good start but gave some back looking for second pushes later in the week

Big Bear picked up a T1 but ended up getting stopped on the drive higher into Tuesdays high. He is on the hunt for the second wave if we move lower from here.

Pete/Dynamic Pete did their thing, made back the losses from last week on the drive higher and picking up some subsequent High Lows. Theyre holding final targets into the weekend.

In conclusion, I'm happy with the performance of the slinky's and dynamic Pete but I am still analyzing the Savio & Philomena short system counterparts. They can be improved upon before I put real money to work with all three.

Great job in having multiple strategies running at the same time. I think this is key in algo trading - diversification. As you have more strategies running at the same time which have low correlation to each other, the cumulative equity curve can become smoother and steeper. The high amount of correlation would increase, rather than decrease, your portfolio risk.

I have a question: How did you optimize your strategies? Have you done forward testing (or other optimization) before putting them in the incubator? What was your process?

Thanks for whatever you can share.

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  #39 (permalink)
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Ron8 View Post
Great job in having multiple strategies running at the same time. I think this is key in algo trading - diversification. As you have more strategies running at the same time which have low correlation to each other, the cumulative equity curve can become smoother and steeper. The high amount of correlation would increase, rather than decrease, your portfolio risk.

I have a question: How did you optimize your strategies? Have you done forward testing (or other optimization) before putting them in the incubator? What was your process?

Thanks for whatever you can share.

Hey Ronnie,

You can't formally optimize your systems with bloodhound/blackbird because of the way ninjatrader handles inputs.

Here is the response from Zac White from SharkIndicators in response to optimization:

#2 Just for clarification for those who don't know, BloodHound is an indicator, and indicators can not be run in the Optimizer. As for Raven and BlackBird (strategies) running BH templates, the proper answer is NT needs to support dynamically changing property grids. e.g. The MACD will only have 3 input properties, Fast, Slow, and Smooth periods. The MACD will never have a 4th or 5th input period. If it ever does, it will not be the MACD any more, it will be a new indicator with a different name. Currently, NT is designed to support "standard" indicators which have fix/unchanging input properties. As for BH, the indicators you decide to use within it change all the time, and thus Ninja's property grid would need to change all the time to accommodate all the different indicators and their different input properties being used inside any given BH system. It has been mentioned from time to time in the workshops that Jeremy has some ideas for a possible work-around to NT's static property grid, but it is just an idea not a known solution. I'd like to reiterate again, as I've done in the workshops, testing this work-around idea will be very time consuming and thus the risk is very high that all that time spent (about 9 months or more) becomes a huge waist of time if it doesn't work out. Later this summer and in the next year to come, we have several new features for BH and BB (BlackBird) that we know don't run the risk of being wasted time, and those features will always have priority over optimization. As much as we would love to have Raven & BB optimizer compatible, because it would make BH a much stronger product of course, I just don't want to get your hopes up.

Personally, I think the key with optimization is less is more. I would recommend you read Kevin Davey's book on algorithmic trading to get a good strategy creation framework. He builds and deploys with tradestaion and so the same methods need to be tailored to using a different platform but the ideas and tips are the same.

I have a template that I physically write in when I am going to try and design a system. There are a lot of good habit forming traits that come along with actually writing things down. A huge improvement in my daytrading when I was doing full time was using a physical trade worksheet and writing things down before, during and after trades. A lot of prop shops use and advocate this. And I follow the same idea with strategy creation. I would recommend you design one of your own and outline the instrument and important inputs, the mission/objective/your goals, etc.

I outline all the important things about the system that way if I find myself setting out to design a short system to scalp the euro and find myself balls-deep in optimizing a swing system on gold... I know I've veered off course somewhere.

As far as diversification/uncorrelatied markets: I think that diversification of systems is more important than diversification of instruments. I also think that optimization is where most people go wrong. In short, with optimization, less is more. Its more useful to forward test.

Here's where my opinions might differ from others. My approach is to peg every hole. So lets say we want to trade the (whatever). I want to build a basket of systems that will cover all the bases. A market only has 2 levers.. Direction and Volatility... which create roughly 6 possible market types. So if the market goes up and is volatile, that's system A. If a market goes down and is volatile that's system B. So on and so fourth. If you know that your systems as a collective group have a positive reward to risk and you've more or less covered all the possible conditions, that's how you find consistency. The next layer to that is other non-correlated instuments. Simply trading a long system in the indexes with a short system in gold wont get you there just because they might have a negative correlation most of the time.

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  #40 (permalink)
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I Just realized that this journal challenge ended yesterday and think the best way to cap it all off is with a breakdown of some of the lessons I've learned and opinions I share throughout the last couple of years using bloodhound and blackbird.

If you've been following the PnL for my systems, last week was 1,600 for the group of systems I mentioned moving to live capital last week.

LESSONS/TIP/OPINIONS & TWO CENTS:

1. Dont waste your time with squiggle indicators. - If I could have all the time back I wasted trying to program an intraday system that uses some second panel ocillating indicator back, I would trade that for all of last years profit. That is the flame that sucks in all the newbie algo trading moths. I wasted years of my life trying to program systems based on cross overs or histograms or some technical derivative of price. Those systems don't work over time because they can not by default take into account different market states. They work sometimes and that only makes you think they will continue to work.

2. Swing Trade. - Along the same lines, programming a swing trading system is the only way to fly in my opinion. You have to cancel out the noise and randomness of an intraday market and the only way to do that is with larger charts and less trades. I understand the argument of the law of large numbers but if you want to produce consistent profits over a month basis, swing trading is the way to go. If you cant swing trade... you probably shouldn't bother with automated trading.

3. High R multiples and positive expectancy models - If you don't know what that means. Google it and come back. That's the whole point to all of this. There are good webinars on F.IO that talk about this. Van Tharp is the foremost expert on the concept of position sizing and r-multiples but there is very little free quality content of his online.

4. Always save your templates after changes and use the standard, alpha, beta, live method to keep track. In addition use the description boxes inside of bloodhound to leave notes for your future self.

5. Updates If you're reading this in 2020 you should be thankful because a lot of the kinks have been worked out. The early versions of blackbird were not stable for live trading and I payed the price as did others I'm sure. Always update to the current version and save your templates before you do.

6. Have a failsafe indicator built to close out any unprotected position. If there is ever an issue with blackbird, your orders can get messed up. Program an indicator to close you out of an unprotected position in the event that you have a platform/software issue.

7. Have a second account to separate long and short systems. I focus on the net net on a monthly basis. that's it. The best way to have systems run correctly and efficiently is to have shorts in one account and longs in the other. There are a whole bunch of benefits to doing this.

8. Options are your friend protect your portfolio with options. Even if you have long and short systems, its always a good idea to have cheap OTM options on hand in the event that corona strikes.

9. Don't touch it leave your systems alone to work or not work. Touching them on the fly is going to cost you one way or another.

10. Decide if its income or growth you want because you cant have both at the same time. Franchise your systems into accounts for one or the other. Accounts you withdraw from will never grow.

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