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Looking for likeminded people to share strategy ideas
Looking for likeminded people to share strategy ideas
Burtoninlondon
London, UK
Posts: 9 since Jul 2021
Thanks Given: 0
Thanks Received: 4
Hello,
I have been developing algorithms for about the last 2 years. I've seen success with some, others have been flat out losers and the remainder have floated in and out of profitability depending on the overall market context.
I'm at the stage where I'm trying to diversify my portfolio so that I can spread my risk by increasing the number of uncorrelated algos. To achieve this I thought I'd reach out to this community as I want to connect with likeminded people who would be willing to share profitable algo strategy ideas. If you have a profitable automated strategy you'd be willing to share then I'd be willing to share one of mine. I currently have 12 profitable operational algos (I'm happy to share their performance) and I'm only interested in intraday algos.
If this is something you'd be interested in then please let me know.
Excellent...what trading methodologies have you seen most success with?
I have tried using indicators to generate signals but have not found a combination which works consistently so my better strategies tend to be simpler and use price action as the signal.
Having said that I do use a handful of volume related indicators (volume, vwap, volume moving average, etc.) and Laguerre RSI for momentum.
I have been developing algorithms privately for 12 years and I understand the frustration and success of the platform but I feel that by putting ideas together we can do great things
I am also quite active in exploring algotrading space. Though they are all explicitly linked to renko bar based charts based on momentum derivatives of VWAP, Volume and so on. Most profitable by far MNQ . Though I am still looking for best ways to implement additional signal filtering using combination of trend, momentum and Volume. Will be happy to discuss further.
Burtoninlondon
London, UK
Posts: 9 since Jul 2021
Thanks Given: 0
Thanks Received: 4
have you used renko bars on a live account in an algo or only on a sim account? I haven't spent too much time on renko bars but I've found that much like Heiken Ashi bars, renko bars give weird results on a live account....perhaps it's down to the size of the bar almost acting like slippage? I'd love to add a renko strategy to my portfolio.
I guess the actual question is about backtesting and potential discrepancies between NT8 backtest on historical data and actual strategy performance. All my strategies are “backtested “ in dynamic replay mode on 3-9 months time frames. So there is no issue with strange behaviour. Behaviour observed in market replay mode is paralleled by live account and vice versa. But indeed one of the most challenging issues is picking right size of renko bar. Last Friday was a bit abnormal as all sizes performed well :-). I have tried HeikenAshi as well but nothing beats Renkos.
Are you comfortable with coding in NT8 ? For now I am using StrategyBuilder , though it does have its own limitations and I have a couple of clear ideas on how to further improve strategy performance, but a bit of help with coding will help.
Burtoninlondon
London, UK
Posts: 9 since Jul 2021
Thanks Given: 0
Thanks Received: 4
Yes, you are correct...the issue is with the automated NT8 backtesting tool, I fumbled my language in my response.
I am comfortable coding in NinjaScript, to a reasonable level, and I have coded renko strategies before. I'm happy to help you out on this one to take it from Strategy Builder into something more? I'll send you a DM.
As a rule I try to keep my strategies as simple as possible . For now they do perform , but to take them to a next level would require incorporating couple of other higher level Renko series, and incorporate single trade, and overall daily loss limits which would account both realized and unrealized losses.
Thats where majority of losses happening , actually . I will send you detailed Excell files with all parameters of strategy performance and you can judge it by yourself.
