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Our test with the "clone folio" is doing ok. (Doing better that i though actually, since i havent actually worked on the rules to coordinate the "clone folios".) Here, for a quick test, i have improvised a simple rule where the close of the competing trenders is skipped when that would increase...

In terms of "pseudocode" the changes needed should be as follow. To obtain the global results i am clearly looping over all the instruments and accumulating positions, PNL, values, realized, unrealized, and so on. So where we had the statements like: Position_Signed_tmp +=...

<a href="http://www.datatime.eu/public/gbot/Mon 06 Sep 2010_Port4001_Cli3/GBotReport_2010-09-06_Port4001_Cli3.htm"> Trades </a> Ok i have launched a first test just after the holiday. A folio of 10 instruments + a "clone folio" od the same instruments: so 20 in all. Both the "original"...

LOL betcashrun! I am happy to know you have influential friends. I really need to expand my social relations :-)) Well, it does not seem to me that Prof. Sharpe is exactly saying "invest more on less volatile instruments". If you refer to his ratio, in the Sharpe Ratio, apart the return...

Yes, i see your point. The question is actually more articulate. I think that the concept of volatility is simply too "broad" just to reduce the investment on an instrument if it shows a higher volatility figure. Volatility can take many forms, and the same figure can be attached to endless...

I am not sure what "signals" you mean here. Again, it seems your concern is a previsive one. You wish to find a "filtered" combination of (no matter how many) "signals" that signify, for instance that the price will go down after a "swing high". This is probably equivalent to believe that...

If "it is not possible to get an "alert" at the exact high", we cannot clearly identify realtime the A. Further, since you define the "swing High" formation as a set of candles enclosing the A, it's just "by definition" that you can identify the "swing High" on the last Cs. It seems to me you...

Hi croupier, i need 2 clarifications. - Are you interested in 1) "identifying" those points real time, just as data feed arrives (so "future ticks" are unknown), or (2 are you assuming to already have the observed data (descriptive context). I guess you are interested in the first one...

Hi betcashrun, thanks and great nickname! volatility is a friend here, provided that it does not mean **extremely** large price moves. In fact, in this case the bot would "invest" more on the moving instrument. What we would like better is a global investment "balanced" among instruments...

Exactly Hook, that's why we overlay, because we do not want to <b>increase the size of the initial packet</b>: it's certainly better to "spread" the risk on multiple overlaying folios with (out of sync) "opposite" positions. This way we reduce the risk (hedging). [The variance of results...

<a href="http://www.datatime.eu/public/gbot/Sun 29 Aug 2010_port4001_Cli5/GBotReport_2010-08-29_port4001_Cli5.htm"> Chart update </a> This week have been doing a lot of (nocturnal) work on code. Hopefully, next week we should be able to test different methods to overlay folios. For now i have...

<b>FOLIO OVERLAY AUTOMATION</b> The purpose of overlaying folios is clearly that of possibly reducing the risk. For now i had the following ideas, but i hope you can add more: - 1a Start a folio. Wait a drawdown (so we are intuitively half way of a "price wave"). When there is a...

ok have been testing the clone instruments price curves. This is a reduced picture of the week to now. The clone folio has been started a few minutes later and has remained in "manual mode" (that is not trading), just for testing (an ivory background signifies "manual mode"). Min scalp size was...

Hi walterjennings, thank you for your interesting question. First of all let me clarify that the robot places <b> only LMT orders</b> (unless the user deliberately overrides the default settings). So, "slippage" in this context could be "intended" (perhaps the usage of the term is...

<b> FIGHTING RISK: Overlaying robots, Cloning instruments and overlaying folios</b> Once we have a strategy we like, next step is making a good <b>"trading architecture"</b> so that we can spread the risk as much as possible. So, instead of increasing to size of each single position, we...

Hi tradingjournals, thank you very much for your suggestions. Sorry for the size of pictures. I have actually reduced the windows size before capturing screenshots, but probably they are still a little too large: I was kind of assuming all people here works with large resolutions or multiple...

A few considerations while i refine the code to get ready for the next "folio overlaying" test. It has been anyway useful to test instruments far from expirations. It has made even more evident the variation of the spread during the day. In next revision I will split the computations of the...

<a href="http://www.datatime.eu/public/gbot/Sun 15 Aug 2010_port4001_Cli3_2/GBotReport_2010-08-15_port4001_Cli3.htm"> Chart update </a> This was a wild week. (Yesterday the PNL spiked down crazily.) <img src="http://www.datatime.eu/public/gbot/Res_Sun_2010_08_15_3.png"> Next week i will...

MXP was a disappointment, it trades too little for my taste and does not seem suitable for autotrading :-) I have "paused" (manual mode) it and "replaced" with QM. Anyway, was good to know about it. Must say that the instruments really suitable for autotrading are not many. NZD is probably...

Hi Hook , I don't. As a general principle I (personally) tend to stay away from mechanisms of automatic increase of size (pyramiding, martingaling, etc). But something based on that idea might be actually be backtested. Well this is really the most creative part of the "folio game". As also...