Interesting thread
Just an update quickly; market volatility's been blocking my system out. I had the paper trading version up all day, it did try trading mid-afternoon but Interactive Broker's client didn't like me (I _hope_ it's just an issue with the paper trading version). Apart from that, volatility's a blocker on my system so I just ain't doing anything. Haven't died and/or had a nervous breakdown yet
I have been following this thread with some interest and wanted to addres a number o points mad, as I have been looking recently at increased automation. I'm afraid it's a rather long look at the posts to date:
North5 - In order to do so I have felt it best to stay away from what others have done and work it out for myself.
I think this is the best approach because you will understand it and the market conditions in which you want to apply it better. If these conditions change you are more able to adapt to them.
Rossini - The drawdowns are very low and im getting conststant results, which I think is more important than high reterns followed by large drawdowns
Yes – consistency is important, as is creating a strategy that works in different market conditions or, where you know its limitations and exclude yourself from trading in those particular market conditions.
The Blades - Put some effort into how you will decide when your system has stopped working
Good advice and it should also highlight market conditions that you might not have anticipated and perhaps be able to factor these in during development
£10k loser - Back-testing over more years just gets further away from current market conditions your choice is: buy a monkey, buy a system or actually learn to trade.
Again various valid points – I believe that live testing under human supervision/intervention is the final true test of any strategy and system
Rnicoll – the NinjaTrader performance report is almost identical to the Tradestation version and I believe the 2 platforms are related historically. For anyone who uses Tradestation and has access to their forum, there is a nice webinar on how to interpret the performance report and strategy optimisation
North5 - Do you have any opinion on the idea of cutting stake by 30% after a loss and increasing it by 20% after a win
I’m not sure that this is the right approach. I think it is better to assess risk prior to entry and to adjust position size based upon that assessment. Such an assessment would include market conditons and timeframes used for trading
Chorlton - one can greatly increase the performance of a system by focusing on the Money Management,
Very important point
Rnicoll - do you ever find yourself staring at your system going "Why won't you trade?" when it seems to be missing obvious money?
If it is missing obvious money then it IS missing obvious money. This suggests that there is room for alteration of some of the parameters or adding more conditions/alternative indicators or patterns or looking at working with multiple timeframes. It should be possible to plug the obvious gaps
North5 - I just fix my limit and stop at the entry - it's hard enough trying to work out an entry let alone trying to work out a way to maximise profits from that entry.
Do you use trailing stops ? Have you looked at the use of Parabolic SAR for exits ?
North5 - I'm wondering if I should look into using a platform - but I'm not sure how well it would work in these as the idea behind it is a bit different to your normal TA stuff.
I think using a trading related language is easier as long as it is sophisticated enough. The beauty of such a language is that conditions such as cross above or cross below, plotting, handling the different types of prices and common indicators are automatically handled. One of my platforms is Tradestation and the Easylanguage syntax handles this kind of thing. Also the more sophisticated tools will generally have user forums where code is shared. The language is quicker to learn because it is more like English and trader’s speak.
North5 - Source control isn't my strong point either. I'm always changing stuff then when I want to change back or do something I've done previously I normlly have to recode it as I never kept a copy
This is so important. It is so easy to screw things up and need to return to previous code. Also during development you might often come across an idea that is discarded, but you might want to pick up again and incorporate along with other ideas, so a good naming convention for each code version or code snippet is handy.
North5 - I'm still going to get it to record the trades that I exclude - and compare if it makes a difference - just need to work out what I think I should be telling it....
Again – Tradestation’s performance report would allow this kind of thing. You create 2 strategies – one including the trades and the other with different conditions/input parameters that causes the trades to be excluded. Running the 2 scenarios against the performance report compares the results. Excluded trades could, if necessary, be sent out to a message log, along the lines of IF condition A is true then buy else print to log date, time, price, value of relevant indicator etc.
RNicoll - IB do a $500 "industry standard" interface
This, alongside Tradestation is another broker I use. Both have industry standard APIs. I’m not sure where the $500 comes from, because IBs comes with the platform. An IB account can be run with a bare minimum of monthly outlay, although Tradestation’s is substantially more if you don’t hit their min lots.
RNicoll - I'm nervous that EoD trading is too fundamental driven for a technical analysis to be terribly effective,
Both IB and TS enable strategies to include some FA, but whether or not it covers the kind of fundamentals that you require is something you would need to check out
North6 - spent quite a few hours over the weekend having look at MetaTrader. don't think I could get it to do what I want. It appears to be entirely indicator driven - There isn't really any way to record paterns like I do in my DB without a huge series of Arrays or something.
Vrothdar - For now my ability to use VBA/excel is doing enough for me. I may get the opportunity to learn SQL at work which I expect might help as well.
If VBA/Excel provide what you need then fine. I would just re-iterate my point above that languages incorporated in trading software is designed specifically for the purpose and the language is often similar to normal English, so you don’t have to reinvent the wheel to get it to do “trading things”. SQL is a language I know, but unless you are planning to create some database in SQLserver or Oracle, I don’t think it would be useful for trading, except to the extent that it helps to teach one to think programmatically
Rnicoll - my system expects cyclic
This is quite an important point. Sometimes you find code that works well in an uptrend, but give entirely false long trades in a downtrend, or you find code that works well in a trend but not a range. It may be necessary therefore to overlay a second tier of code that examines the general direction and behavious e.g. uptrend,
Downtrend, volatile, rangebound/ This may well use a different indicator or time frame and, once evaluated, this is fed into a second piece of code that determines entries and exits based on the initial market character evaluation.
Rnicoll - Psychology has always been a massive issue for me, and frequently wrecks what would otherwise be profitable trades.
One of the most important tests of a strategy, automated or otherwise, is what does it do for you psycholically. If it gives good signals that you feel you can really trust you are more able to sit it out letting profits run to fruition and ignoring minor retracements.
IF you can keep your head when all about you
Are losing theirs and blaming it on you,
If you can trust yourself when all men doubt you,
But make allowance for their doubting too;
If you can wait and not be tired by waiting……
If you can make one heap of all your winnings
And risk it on one turn of pitch-and-toss,
And lose, and start again at your beginnings
To serve your turn long after they are gone,
And so hold on when there is nothing in you
Except the Will which says to them: 'Hold on!'
Rnicoll - market volatility's been blocking my system out
This is perhaps one of these “overlays” I talked about earlier, whereby you assess independently market volatility and then feed that assessment into the rest of your code e.g. if too volatile do not trade until assessment changes, or, if too volatile reduce position size
I will continue watching with interest
Charlton
