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Inside Fibbee's Incubator (Bloodhound Journal)


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Inside Fibbee's Incubator (Bloodhound Journal)

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  #1 (permalink)
 Fibbee 
Boston, MA. United States
 
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Hello Friends,

In response to @Big Mike charity drive for Covid Relief in Equador and @SharkIndicators sponsorship of this journal challenge, I thought I would come out of the shadows and share what’s going on inside my incubator.

Truthfully, I would love to “meet” other traders who are trading in a similar fashion to collaborate and learn from one another and I am happy to help those who are new to Bloodhound.

Lets lay some groundwork:

* The results shown in this journal are SIM (this is an incubator)
* Yes, running sim does create instances of errors that would not happen live.
* I trade other systems in cash and some of the ones shown here with cash on micros in a separate machine.
* Each one of these systems has a 5k designated demo and usually trades 2-6 micros to start
* The incubator is just one part of the larger process from idea to full-size live trading.
* I will not be sharing templates for the systems shown, sorry.
* I own two instances of Bloodhound, the TTP Tools, the Lizard tools and several of my own custom indicators to make these systems possible.
* The systems are named after some extended family members. I find it easier for reference to use people’s names rather than something cooler like Alpha Falcon Scalper 9000.
* I try my best to limit my exposure to other people’s opinions of the market so this journal will not take part in guessing market direction.
* I am not an uber programmer by any means. In the scheme of things, I am intermediate at best despite being experienced with Bloodhound.
* There are no holy grails here.

What’s the big picture here?

In some ways, I have given up on my quest to perfect the art of market timing. In my opinion, its a fools errand and having r-multiples of 3 or higher and being properly capitalized are far more important. As my personal and professional life became more consumed with children and career advancement around 2018 my passion for trading shifted towards automation and swing trading and with that a focus on simply making money vs being right. I am not concerned with where the market goes because I have a system that will most likely exploit a condition to capitalize. This shift also works best for my personality type which is naturally quiet and risk-averse. For me, having a group of systems that are simple in nature, employ good R-multiples, and cover a variety of market conditions is my focus.

In my experience, the hard part of running a fully automated portfolio is two-fold: 1. You are subject to risk by not being directly in front of your computer at all times during execution. 2. Some systems outright lose money during conditions that are not optimal for them to work and you have to be able to look at it as a business expense. Almost like insurance. In my earlier days, I wanted everything to always make money but that’s not how this type of thing works, its all about the net, and realizing that alone was probably the biggest turning point in my trading journey.

In conclusion, follow along if you're using bloodhound and running systems or are interested in learning more about this type of approach. I am always happy to help if your market expectations are realistic and I am always eager to learn from the bigger fish in this pond.

And away we go...

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 Fibbee 
Boston, MA. United States
 
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Some results for the systems currently incubating.

Its easier to work off of this sheet than some of the others.

The yellow week 6 will mark the start of this journal.

One thing to note is that their is overlap here with these systems. This is not about the amount of money made or lost so much as it is:

1. Is the system executing properly without errors
2. Is the system producing results that are inline with expectations.
3. Will the system integrate into the larger live portfolio.

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 Fibbee 
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Start of week 6

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 Fibbee 
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Overview of how the current incubation systems work:

SLINKY Cumulative R-7
Slinky is a NQ swing trading system that uses the TTP replicator to bring in higher time frame location data and looks for swings between 400-2000 ticks. The system runs two different templates in separate accounts, one for long and one for short, and each has slightly different logic.

Slinky Long is looking for trend continuation of the major trend from the daily chart and is executing on a 25 Range chart. Im mainly focused on the distance relationship using a comparison solver to the daily uptrend.

Slinky Short looks for re-entry following a major daily trend downshift and allows for 4 days to find the end of the retracement on a 25 range chart.

PETE R-Varies depending on version
I am currently testing a few versions of Pete. Pete (intraday) Pete Swing and Dynamic Pete

Pete Intraday uses the previous days pivots for location data and then looks to exploit short term regression using VWAP. The exits are tied to the RSI. This system performed very well before corona in a Mid/Low volatility environment.

Pete Swing uses most of the logic for the standard Pete system but expands to find diverging lows and capitulation spikes beyond SD3 outer bands. Targets for this are the same as Slinky

Pete Dynamic takes the logic of Pete swing a step further and dynamically adjusts the trigger when the daily range expands beyond a certain threshold. This helps to avoid days with a run away trend as the trigger will widen out avoiding a lot of false bounces.

Savio & Philomena 3-5R

Savio looks for intraday break outs to the short side and will only execute beyond a down threshold. This creates a great insurance system to cover losses in the event the market has a day that falls off but the drawdown is created by selling a lot of lows.

Philomena looks for re-entrys following a large down day. Basically she is searching for any second push after the market sells off. These two combined make sure that in the event we break lower there is a good chance I will catch the initial sell-off and any continuation the following day(s)

GEEGEE

This one is top-secret. But I can tell you I am using multiple time frames with the replicator to find very high R/R locations.

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 Ron8 
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Fibbee View Post
Overview of how the current incubation systems work:

SLINKY Cumulative R-7
Slinky is a NQ swing trading system that uses the TTP replicator to bring in higher time frame location data and looks for swings between 400-2000 ticks. The system runs two different templates in separate accounts, one for long and one for short, and each has slightly different logic.

Slinky Long is looking for trend continuation of the major trend from the daily chart and is executing on a 25 Range chart. Im mainly focused on the distance relationship using a comparison solver to the daily uptrend.

Slinky Short looks for re-entry following a major daily trend downshift and allows for 4 days to find the end of the retracement on a 25 range chart.

PETE R-Varies depending on version
I am currently testing a few versions of Pete. Pete (intraday) Pete Swing and Dynamic Pete

Pete Intraday uses the previous days pivots for location data and then looks to exploit short term regression using VWAP. The exits are tied to the RSI. This system performed very well before corona in a Mid/Low volatility environment.

Pete Swing uses most of the logic for the standard Pete system but expands to find diverging lows and capitulation spikes beyond SD3 outer bands. Targets for this are the same as Slinky

Pete Dynamic takes the logic of Pete swing a step further and dynamically adjusts the trigger when the daily range expands beyond a certain threshold. This helps to avoid days with a run away trend as the trigger will widen out avoiding a lot of false bounces.

Savio & Philomena 3-5R

Savio looks for intraday break outs to the short side and will only execute beyond a down threshold. This creates a great insurance system to cover losses in the event the market has a day that falls off but the drawdown is created by selling a lot of lows.

Philomena looks for re-entrys following a large down day. Basically she is searching for any second push after the market sells off. These two combined make sure that in the event we break lower there is a good chance I will catch the initial sell-off and any continuation the following day(s)

GEEGEE

This one is top-secret. But I can tell you I am using multiple time frames with the replicator to find very high R/R locations.

Hello Fibbee,

It's good to know we have an expert here in Bloodhound.

My question is: are all of these strategies mentioned here developed in Bloodhound? Do you use Blackbird for these?

Thanks,

Ron8

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 Fibbee 
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Hey Ron,

Yes, everything here is built with bloodhound and executes with blackbird in a VPS.

I think what I am going to do with this journal is start building out some systems to test and run so that there's something for people to follow along with from start to finish. What do you think about that idea?

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 Ron8 
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Fibbee View Post
Hey Ron,

Yes, everything here is built with bloodhound and executes with blackbird in a VPS.

I think what I am going to do with this journal is start building out some systems to test and run so that there's something for people to follow along with from start to finish. What do you think about that idea?

Hello Fibbee,

That idea would be awesome. I myself would want to learn how to build an algo trading strategy. I would be looking over a shoulder of an expert.

I'm sure a lot here wants to see how building a strategy system works. (I actually have signed up for this Bloodhound offer as well).

Thanks,

Ronnie

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 Fibbee 
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Sure thing!

What type of system would you like to make?

If you can give me some ideas I can run through how I would code it up using bloodhound and post a video.




Ron8 View Post
Hello Fibbee,

That idea would be awesome. I myself would want to learn how to build an algo trading strategy. I would be looking over a shoulder of an expert.

I'm sure a lot here wants to see how building a strategy system works. (I actually have signed up for this Bloodhound offer as well).

Thanks,

Ronnie


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 Mantrs 
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"I want to be a BloodHound!" @SharkIndicators

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 Fibbee 
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Ron8 View Post
Hello Fibbee,

That idea would be awesome. I myself would want to learn how to build an algo trading strategy. I would be looking over a shoulder of an expert.

I'm sure a lot here wants to see how building a strategy system works. (I actually have signed up for this Bloodhound offer as well).

Thanks,

Ronnie

Here's a quick video on how to find pullbacks in a trend.

Sorry I cut off at the end, my wife yelled at the cat and ruined the video.

Let me know if you have a specific thing you want to learn how to do.

Also make sure you start watching Zac's bloodhound workshop tutorials on youtube. He is the master.

I attached the .bht file for this, downloaded it and drag it into your bloodhound folder inside of ninja 8/templates/bloodhound and you can play around with it.

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 Fibbee 
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Mantrs View Post
"I want to be a BloodHound!" @SharkIndicators

You need to put this on the FIO journal challenge thread with a link to your bloodhound journal.


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 Fibbee 
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I had some connection issues, dropped out for 1 minute 11 seconds friday morning.

I have since reported this to the AMA ninjatrader thread to see if there is ANYTHING you can do to prevent this other than keep your systems running and hope for the best.

That can be found here :

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 Fibbee 
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END OF WEEK 2 (For this journal)

+5400 a lot of t2 and t3 long swings came off this week as the market moved higher. As expected GG short took some losses as the market moved into new highs. I am very eager to see a top form here I am eager to see SAVIO and PHILOMENA work on a multi-day leg lower.

I had connection issues Friday morning but overall a "normal" week. I have been incubating some of these systems for just about as long as I need to work out the kinks and watch them in forward time before I throw real money into them so I will be taking some of these off and throwing them into my larger active portfolio.

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 Ron8 
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Awesome video, Fibbee.

Can you also discuss some stats of your systems (max drawdowns, profit factors, etc)

Thanks.


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 Sandpaddict 
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END OF WEEK 2 (For this journal)

+5400 a lot of t2 and t3 long swings came off this week as the market moved higher. As expected GG short took some losses as the market moved into new highs. I am very eager to see a top form here I am eager to see SAVIO and PHILOMENA work on a multi-day leg lower.

I had connection issues Friday morning but overall a "normal" week. I have been incubating some of these systems for just about as long as I need to work out the kinks and watch them in forward time before I throw real money into them so I will be taking some of these off and throwing them into my larger active portfolio.

I like your Multi-Strategy strategy. If I ever went algorithmic again, which I won't simply because it's not me, I'd do the same as you.

Have as many profitable strategies that stood on thier own all running simultaneously.

That way the equity curve should have a nice slow upward curve to it. Nothing exciting but no scary drops either as you'd have SUPER UNCORRELATED markets all doing their own thing.

Sounds simple but its very very hard! I couldn't do it thats for sure!

Also... you need to be quite capitalized to do this correctly. Which is hard for most beginners.

Nice job so far and thank you!

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 Fibbee 
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I like your Multi-Strategy strategy. If I ever went algorithmic again, which I won't simply because it's not me, I'd do the same as you.

Have as many profitable strategies that stood on thier own all running simultaneously.

That way the equity curve should have a nice slow upward curve to it. Nothing exciting but no scary drops either as you'd have SUPER UNCORRELATED markets all doing their own thing.

Sounds simple but its very very hard! I couldn't do it thats for sure!

Also... you need to be quite capitalized to do this correctly. Which is hard for most beginners.

Nice job so far and thank you!

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YUP, you got it. Thanks!

I am not looking for exciting. That in many ways is the demise of the beginner and slowed down my success in my early days. In my humble opinion, running a multi-system portfolio is the way to go. It does require more capital, or smaller size per system, than running a lone system but I think if you're after consistency, this is the approach.

Its not perfect and not for everyone and you do need to be aware of the overall market conditions because the reality of building any kind of automated mechanical system is its going to have its weakness. For me, I think the turning point was just realizing that trading isn't the only thing in life and when you start to be indifferent towards it you're free to trade in a way that sets you up for success.

I say all that fully admitting that once upon a time I was definitely the guy who put 2k into an account and tried to daytrade CL with a 5 tick stop, or bought FD options, or scalped with a stop 3 times bigger than my target.

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 Fibbee 
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Ron8 View Post
Awesome video, Fibbee.

Can you also discuss some stats of your systems (max drawdowns, profit factors, etc)

Thanks.


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Thanks Ronnie!

Im happy to... but that opens up a pretty wide conversation because I'm incubating like 6 systems at the moment. Is there one or two in particular?

My ideal system has a >20% drawdown and hits 30% of its trades for a 5R. Naturally there is a scale where the bigger your r multiple is the lower your percent profitable will be but as a rule of thumb if you can be hitting 3r 40-50% of the time you got yourself a good one.

Here are the laws of mechanical systems:

1. The higher the % profitable the lower the R-multiple
2. The higher the r-multiple the bigger the drawdown and days to recovery.

You cant have it both ways and so if you have a swing system that hits big winners, your equity curve will always be more rocky than something that hits more consistent winners but in turn you sacrifice profit factor (growth)

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 Ron8 
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Fibbee View Post
Hey Ron,

Yes, everything here is built with bloodhound and executes with blackbird in a VPS.

I think what I am going to do with this journal is start building out some systems to test and run so that there's something for people to follow along with from start to finish. What do you think about that idea?

For your incubation testing, if you don't mind me asking: what VPS do you use and the system configuration?

Thanks.

Ronnie

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 Fibbee 
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For your incubation testing, if you don't mind me asking: what VPS do you use and the system configuration?

Thanks.

Ronnie

Interserver.net
Hyper V based in New Jersey
Windows 2019
Maxed out for $160 per month
16 Slices
32 GB memory
480 GB Storage

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 Fibbee 
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This is a reminder of why I spend 160 per month to incubate systems before they go live.

Inevitabley when you design a system, there is going to be something you forgot to do/include/adjust and this is a good example to share.

I have been having some misc. issues with my newest system GeeGee the past couple of weeks and yesterdays FOMC highlights why I incubate... I forgot to have this one avoid the 2:00 area and well...

This would be pretty ugly if I had this one live before working out the kinks.

In other systems I have programmed a "pause" condition where if the speed of bars spike like this, the system will avoid taking trades. Its particularly helpful for news and Sunday night gap opens. In my mind, I try to build systems that are as intelligent as possible and can "know" when things are not normal.

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 Ron8 
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Fibbee View Post
This is a reminder of why I spend 160 per month to incubate systems before they go live.

Inevitabley when you design a system, there is going to be something you forgot to do/include/adjust and this is a good example to share.

I have been having some misc. issues with my newest system GeeGee the past couple of weeks and yesterdays FOMC highlights why I incubate... I forgot to have this one avoid the 2:00 area and well...

This would be pretty ugly if I had this one live before working out the kinks.

In other systems I have programmed a "pause" condition where if the speed of bars spike like this, the system will avoid taking trades. Its particularly helpful for news and Sunday night gap opens. In my mind, I try to build systems that are as intelligent as possible and can "know" when things are not normal.

Hello Fibbee,

How do you program this "pause" condition in Bloodhound? For economic releases like this, is the Time Session solver in Bloodhound enough to handle this?

Thanks,

Ron

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 Fibbee 
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Hello Fibbee,

How do you program this "pause" condition in Bloodhound? For economic releases like this, is the Time Session solver in Bloodhound enough to handle this?

Thanks,

Ron

There's a couple of ways you can curb your system around news volatility:

You can use blackbird to only trade during permissible times.

You can also use the time block to block signals during certain times.

I have a custom indicator I developed for a variety of range and speed conditions and one of them lets me know when there are a lot of bars printed within a short period of time. Which usually happens during news or gaps.

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 Fibbee 
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Despite this looking like it would have taken 8 losers in a row, if you're using a stop above the high for shorts it wouldn't have hit you if you had an offset. I have learned its worth it to offset your stop to avoid getting wicked out.

I typically use at least a 4 tick offset on systems that are putting stops behind swing highs or lows to avoid getting wicked.

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 Fibbee 
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WEEK 3 WRAP UP

Overall a good losing week. Which is something you don't hear very often in the trading world. I am happy to see the dynamic version of Pete do exactly what its supposed to do and save some face when the market decides to give back a week of gains.

All and all it would have actually been a winning week if I had been running the dynamic version and not the standard Pete. Hopefully this coming week brings more downside so I can further analyze how effective the dynamic version is. Especially paired with the hi-vol versions of Savio & Philomena.

Holding some hedged positions into the weekend. Current unrealized ~2300

You can watch the wrap up here if you prefer.

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Markets gapped lower and I closed out my hedges at reopen for +1,400

The point of the weekend hedges is to (obviously) cover your exposure in the event the market gaps lower beyond your broker held stops and you end up taking 2 or 3x the loss. I unfortunately learned this one the hard way so even as a best practice I do it inside of the incubator as well.

At the close of last friday I had 2300 in open unrealized profit.

All the positions remained alive since the market(s) did not gap beyond the lows from Friday afternoon so the 1400 will cover all the risk/stops of the open positions in the event we move lower.

More importantly the sytems can run through untouched and the results remain accurate.

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 Ron8 
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Fibbee View Post
Hey Ron,

I think what I am going to do with this journal is start building out some systems to test and run so that there's something for people to follow along with from start to finish. What do you think about that idea?

Hi Fibbee,

Can you please try to build out this system in Bloodhound?

"Higher Highs, Lower Lows and Pullback Momentum

General Description

This pattern has 2 components. First, for long trades, it looks for more recent higher high bars (high above previous high) than lower low bars. Second, it looks for a short term pullback. When both of these are found, there is a long signal. Vice versa for a short signal.

In code, this is how it should look:

1. Count the number of higher highs (current high greater than previous high) over the last “BCount” bars.
2. Count the number of lower lows (current low less than previous low) over the last “BCount” bars.
3. If the number of higher highs is greater than the number of lower lows, and the current close is less than the close “pullback” bars ago, then go long at next open.
4. Do opposite for short trades.
5. Exit after X bars after entry, unless a reversal signal occurs first."

This refers to counting bars. I am new to Bloodhound and so far I can only code those based on chart indicators.

Thanks in advance.

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Hi Fibbee,

Can you please try to build out this system in Bloodhound?

"Higher Highs, Lower Lows and Pullback Momentum

General Description

This pattern has 2 components. First, for long trades, it looks for more recent higher high bars (high above previous high) than lower low bars. Second, it looks for a short term pullback. When both of these are found, there is a long signal. Vice versa for a short signal.

In code, this is how it should look:

1. Count the number of higher highs (current high greater than previous high) over the last “BCount” bars.
2. Count the number of lower lows (current low less than previous low) over the last “BCount” bars.
3. If the number of higher highs is greater than the number of lower lows, and the current close is less than the close “pullback” bars ago, then go long at next open.
4. Do opposite for short trades.
5. Exit after X bars after entry, unless a reversal signal occurs first."

This refers to counting bars. I am new to Bloodhound and so far I can only code those based on chart indicators.

Thanks in advance.

What timeframe are we using for the bars?
Can you provide me a screenshot of this pattern as you see it?
Are you essentially trying to define trend based on a swing high breaking and then use a bar that is lower in close but not lower that the break bars low for your pullback?

Fair warning, using bloodhound for signal counting type templates has been a nightmare in my experience. The signal counter does not work the way you would think.

I am sort of lost by what you're trying to build so please provide me with some additional details.

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 Fibbee 
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In response to @Big Mike request for feedback

Dear @SharkIndicators,

I have used bloodhound since 2016 and I love your product. It completely changed my trading forever. After 4 years I still learn new ways to do something.


Things Id love to see added in a future update:

Can you please add a simple R-Multiple feature inside of blackbird's target options? I know there is a work around with the ATR percentage but it doesn't work as well on a non-time based chart. It would be a gift to be able to set your targets in just R multiples of your stop.

Can you add a feature to blackbird that allows for the adjustment of size based on number of trades taken or daily PnL?
In otherwords, reduce size if down 3 trades, increase size if above $X daily pnl, etc. It would be nice to be able to adjust your position-sizing based on how the signals are performing and not just a hard shut-off for daily watermarks met.

There are probably a few others that I will think of as soon as I hit send, but for now, those are two that would really go a long way for me personally.


Thanks!

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


Fibbee View Post
Can you please add a simple R-Multiple feature inside of blackbird's target options?

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



BloodHound for signals, and BlackBird for trade management.
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Fibbee View Post
Hey Ron,

Yes, everything here is built with bloodhound and executes with blackbird in a VPS.

Hi again Fibbee,

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

Can this be done in BloodHound or in BlackBird? If possible, how?

Thanks in advance.

Ronnie

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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?

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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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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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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.

Sent using the futures.io mobile app

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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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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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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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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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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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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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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 Ron8 
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Fibbee View Post
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.

These are priceless info for algo traders. Thanks Fibbee!

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 Fibbee 
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This is very helpful for anyone who tests variations of systems with multiple sim accounts.

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