Deadline June

Ordered the new modem. I bet it doesn't change anything.

Realised I was getting my knickers in a twist unnecessarily, once I stood back and looked at the IB / NinjaTrader situation.

Over the last few months I've been using IQFeed as a work-around to get the backdata that NinjaTrader needs to kick everything off, indicators and trading systems etc.

I stopped using the work-around and tried to make do with the lousy data service from IB when I realised last weekend that my systems acted differently with the IQFeed backdata turned on.

On Sunday evening last weekend, I had 9 positions on from Friday night and I fired up everything, IQFeed included.

NinjaTrader used IQFeed to calculate the positions for the systems to get them running, and suddenly I noticed there were only 7 positions. This is not what you want late Sunday evening. So under IQFeed data, my systems had actually exited 2 positions on the Friday.

I disconnected, reconnected to IB backdata and ran them up again. I can't remember what the result was, which positions were there or not, but I do remember in the time faffing around after the market opened one of the positions which mysteriously closed on Friday according to my system start-up, was actually still long the GBP-JPY in my account and that had been tanking since 22:15 and cost me $200 or something to exit late. Follow me so far? No? Well I could hardly follow myself at that time of day but the effect carried over for the whole week.

What it means is I have to make the 3Ducks less sensitive to the data differences between IQFeed and IB, and just stick with the IQFeed work-around.

So that plus finding the bug are my number one priorities that should take me through this Sunday afternoon, and yes, I can see the sun shining outside - great to have an Indian summer if you can get out there.
 
Sorted the leverage. The most I can put on the dollar now is 0.6M.

Fortunately the market gapped in my favour in a big way so I banked a fair amount buying back those dollars to reduce my position size.

I was going to close the positions over the weekend anyway because of the discrepancies I saw between the live trades and the backtested trades - I figured that starting the system up again would immediately close several of the positions. However although IB's forex data stops transmitting at 17:15 NY time Fridays, they close the accounts at 17:00, so when I went to close the positions I got a rude message that the 'exchange' was shut. Hooray because when they opened up again several of the markets had gapped 50 or more pips. That makes up for the ****-up last Sunday and missing the $1000 on a EUR-GBP trade during the week.
 
bid /ask spread - moving avg

Here's the 21 bar 1-min average forex spreads on IB at this time of day:

Code: 
[FONT=Courier New]  Instrument    SpreadDisplay
    $AUDCAD          2.2
    $AUDCHF          1.3
    $AUDJPY          1.0
    $AUDNZD          5.6
    $AUDUSD          0.8
    $CADCHF          1.8
    $CADJPY          1.6
    $CHFJPY          1.9
    $EURAUD          1.6
    $EURCAD          3.4
    $EURCHF          1.6
    $EURGBP          0.9
    $EURJPY          1.5
    $EURNZD          4.7
    $EURSEK         12.3
    $EURUSD          0.6
    $GBPAUD          2.5
    $GBPCAD          2.9
    $GBPCHF          3.0
    $GBPJPY          2.2
    $GBPNZD          4.6
    $GBPUSD          1.4
    $NZDCHF          1.9
    $NZDJPY          2.1
    $NZDUSD          1.9
    $USDCAD          1.0
    $USDCHF          1.3
    $USDJPY          0.5
    $USDSEK         15.2

[/FONT]
 
Re: Cross-currencies

Adamus said:
Backtests on the 3 Ducks system over 2 years on my first chosen new cross-currency proved terrible. Just a steady decline.

The 3 Ducks are 5mins, 1 hour and 4 hour MAs, in original form 60 bars, although optimising the length used gives much better results for all the currencies so far. Not so AUD-CAD.

Nothing between 10 and 95 bars for the MA period was any good.

.
Click to expand...

Consider the 3 ducks for a minute.

It's a free system.
You send an email to Captain Currency and he sends you the free system.
Then he starts sending you unrequested spam emails offering to train you in how to apply the 3 ducks because the 'good stuff' isn't in the free ebook. It's in the training he gives.

As such, is the free course a good starting point, considering that it's rasion d'etre is to hook in people to buying training?

I am going to PM you something... don't shout at me until you get it :p
 
Hi DT,
like I said in my pm - I'm willing to look at the merits of anything. Admittedly I think in your own words I often end up "polishing turds" trying to get something out of them, but in the case of the 3Ducks, I found it polished up quite well.

Captain Currency aka Andy has just had a kid so I'm prepared to cut him a lot of slack rather than examine exactly what his motives might be. I like to think he trades the 3Ducks himself and as yet I have no cause to doubt him. I thought his main marketing strategy was to offer to buy people a Guinness.

He does it on a discretionary basis and his little ebook contains enough little snippets of information to give automated system builders more than enough options to keep backtesting long into the night. There's a phenomenon in automated system backtesting where you discover that your idea is not going to work because the number of trades gets too small when you try to make any further improvement. It should have a name. But with the 3Ducks the way I coded it, it didn't happen. It's like one in ten systems.

Then after that when you have a system which produces large enough number of profitable enough trades to be credible, you look at the backtesting equity curve, but that's a different story.
 
What's the general approach of 3 Ducks, is it a mean reversion system, a breakout system, something that looks to buy retracements on a trend? How many degrees of freedom does it have, i.e. if you wanted to optimize it, how many different variables are there that you could adjust (make sure you count every single one)?
 
There are 3 MAs, 5 mins, 1 hour and 4 hours. You could adjust them independently I guess, but I just keep them all the same period and optimised that. And then there are a ton of options that Captain Currency gives for the final entry signal and the exits.
 
Average bid/ask spread, IB vs MBT, at time of posting (with 20mins in-between)

Code: 
  Instrument         IB             MTB
    $AUDCAD          2.0            3.2
    $AUDCHF          1.7            2.9
    $AUDJPY          0.8            2.8
    $AUDNZD          5.7            6.7
    $AUDUSD          0.8            2.0
    $CADCHF          2.0            5.4
    $CADJPY          1.5            2.9
    $CHFJPY          1.7            2.6
    $EURAUD          1.7            3.5
    $EURCAD          3.4            4.9
    $EURCHF          1.2            1.6
    $EURGBP          0.7            0.8
    $EURJPY          1.4            2.3
    $EURNZD          5.3            3.4
    $EURSEK         13.5           20.6
    $EURUSD          0.7            0.8
    $GBPAUD          2.5            4.8
    $GBPCAD          2.6            5.9
    $GBPCHF          2.6            4.2
    $GBPJPY          2.0            3.6
    $GBPNZD          7.0            4.4
    $GBPUSD          0.8            1.5
    $NZDCHF          2.0            2.6
    $NZDJPY          2.2            3.0
    $NZDUSD          1.6            2.8
    $USDCAD          1.2            2.3
    $USDCHF          1.4            1.3
    $USDJPY          0.8            1.1
    $USDSEK         13.1           13.1
 
meanreversion said:
What's the general approach of 3 Ducks, is it a mean reversion system, a breakout system, something that looks to buy retracements on a trend? How many degrees of freedom does it have, i.e. if you wanted to optimize it, how many different variables are there that you could adjust (make sure you count every single one)?
Click to expand...

This is a question to MR and also to you Adam, how many degrees of freedom are in your systems that you run at the moment? Just interested.... ;-)
 
I run two systems, a short term using 4hr bars and a medium term using daily bars.

Degrees of freedom are

1. stake size
2. distance to initial stop in ATR
3. channel days for entry
4. channel days for exit
5. short MA
6. long MA

that's it I think.

then of course there are the markets I trade, which represent another degree of freedom altogether.
 
meanreversion said:
I run two systems, a short term using 4hr bars and a medium term using daily bars.

Degrees of freedom are

1. stake size
2. distance to initial stop in ATR
3. channel days for entry
4. channel days for exit
5. short MA
6. long MA

that's it I think.

then of course there are the markets I trade, which represent another degree of freedom altogether.
Click to expand...

Now my problem with defining degrees of freedom is that you have so many degrees of freedom to do so - boom boom! No but really, how can "channel days for entry" be one degree of freedom? Surely a channel has a definition requiring at least one more degree of freedom than the number of days?
 
Hmmm, possibly. It's highest high or lowest low for x number of bars.

So x is changeable, as is the length of a bar. So maybe it counts as two, not one.
 
OK here goes with degrees of freedom in the FrankenDucks.

I use fixed fraction money management so that's not a variable in the system.

(1) MA length for 3 Ducks.
(2) Time frame of 3 Ducks - I'm adding this in here because I've just started playing around with 10mins, 60mins, 240mins instead of 5,60,240.
(3) Trading long or trading short - I'm not sure if this counts but I optimise seperately
(4) Initial target in number of ATR (3rd Duck's ATR)
(5) Initial stop in number of ATR (ditto)
(6) Second exit mechanism, e.g. long trades exits when closes below 2nd Duck

OK admittedly my (1) could be 3 in itself but I don't optimise them seperately. That would overfit everything straight away.
 
I disagree, regarding (1). This is something that I don't think would cause over-fitting, it would just change the types of moves you capture (which can be a good thing). I think (3) is sliding more into over-fitting territory, unless you think markets move down drastically differently than they move up?
 
Sorry had to send that message without finishing it.

I have another degree of freedom - a support and resistance indicator which has 2 inputs.

So that is actually (7) and (8).

I think the markets can move differently up compared to down. The prime example is stock indices, and I guess the forex markets are where the difference is the weakest. I guess worst case scenario - I am twice as likely to overfit if optimising once for long and once for short trading.

Glad you disagree about (1). Interesting that you don't consider it overfitting but it would actually add another 2 degrees of freedom to my list. Making 10.

All this kack I've been doing to keep my trading system going this last month and checking out alternative brokers and providers and platforms has got me out of practice on the system building front. Never could keep that kind of stuff in my head. I'm going to work my way back into it this weekend and perhaps note down the lists of Do's and Don'ts that I keep forgetting, and the thresholds and limits to stop polishing turds and start somewhere else and all that knowledge.

Rule No (1): don't curve fit
Rule No (2):
 
Last edited:
I am not sure if you are using standard optimisation tools but the ones In Tradestation work like this:

1 - You tell them which parameters can be optimized.
2 - You tell them the boundaries for each parameter being optimized.
3 - You choose either 'brute force' or 'genetic' optimization.
4 - You give a date range to optimize.

Brute force will try every combination and genetic will attempt to be more savvy in terms of testing things that look promising.

So - this is all well and good. You could use these techniques for years and never question them. The problem as I see it is that this is a very one dimensional view of how optimization should work.

At the start of each day, I like to look at the prior days high, low, volume and range:

10-16-20104-26-15AM.png


I just get a picture over time of how the market has been behaving. Over time, you can see the market get thinner/thicker and ranges expand/contract.

If we can believe that the markets might hold onto a set of behaviours for a few days/weeks, then any optimisation run over a 10 year period would not be optimal for the next few days/weeks.

Maybe the best optimisation is one that is run every day for the past 5 days. In fact, optimising over years as Tradestation allows makes a lot less sense that an optimisation algorithm that you tell to run for 10 years but which changes the parameters every week based on the parameters that would have worked best in the prior week. So - you could run for 10 years but use 2 week optimisation, 1 month optimisation etc so you try to be a bit more in tune to the current market conditions.

For some reason the tools don't have this option. For some reason no-one questions that and so people use the tools available without considering that the tools limit you to only one kind of optimisation which gives you the most generic settings.
 
One of the reasons why I stick with NinjaTrader despite getting my **** reamed doing their beta testing is that they have a walk-forward module on their optimisation program. I can set the optimisation nwindow to as small as 3 days, any timescale, and the walk-forward / blind window (to see how that optimisation did) also to 3 days or more. I can then let that run over any period. So it goes optimise / walk-forward / optimise / walkforward / optimise / walk-forward continually using the defined windows over the whole period and collates the walkforward results at the end. That way I can tell most of my ideas are crap.

I have done that over 10 years, but I don't do one big optimisation period for ten years unless I have a walk-forward period of about 2 years at least.

I like the idea of the rolling optimisation and I've already got a plan to try it out, but it would be quite processor intensive. Plus I have to sort my current situation out and get somewhere that feels more stable than where I am right now. My profits from the last couple of weeks won me more time to get there, but it's a slippery slope to get up.

Gotta go but will be back with more dire stories about trading with NinjaTrader and IB later.

Andy Pandy is going to run a strategy on NinjaTrader that connects up to InteractiveBrokers. They are the biggest broker in the world and very reliable, so Andy Pandy is confused because they are acting like a bunch of muppets.
 
IB are huge and you are small.

This is reflected in their support policies.

It is something we hae to live with I guess.
 
 
Last edited:
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