1 - 5 Minute Timeframe Automated Strategies (E-Mini SP) Before 2009 and After

Quote from Algo_Design_Kid:

I really don't have any problems. Currently, what I have works. It works well. My question more lies in the realm of what has caused these changes in trading that I am observing and if anyone else has noticed the same thing?

Apparently only 1 person has been automated over these timeframes and I am still not even sure exactly what this user is talking about.

The next question I have is how do you start to anticipate these changes and how often people that are 100% automated as I am planning to be are updating or refining code etc..

I took the code all the way back to 2002 just as of earlier today and I have found the switch actually occurs more around beginning of 2008 and not 1/1/2009 like I thought previous.

Other than this quasi bear market starting around then I am still searching for something w/ more substance/quantifiable.
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Thanks for your reply.

The alternative, as suggested to you, is that no anticipation nor code changing is required.

I am probably misreading what you wrote. It sounds like you stated that your work is sensitive to something as the "times change" or that at "different times" things work differently for you.

My orientation doesn't overlap yours, I am guessing. I am oriented to "taking the market's offer continually".
 
Quote from jack hershey:

Thanks for your reply.

The alternative, as suggested to you, is that no anticipation nor code changing is required.

I am probably misreading what you wrote. It sounds like you stated that your work is sensitive to something as the "times change" or that at "different times" things work differently for you.

My orientation doesn't overlap yours, I am guessing. I am oriented to "taking the market's offer continually".
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The alternative I do not believe is true. I also really do not totally believe that volatility chart means anything when we are talking 1-3 minutes at most at a time.

I am looking for someone that has been automated for the past 3 years without changing one thing in their system trading > 2000-3000 times a year. Anything else is not going to be accurate.
 
Quote from Algo_Design_Kid:

The alternative I do not believe is true. I also really do not totally believe that volatility chart means anything when we are talking 1-3 minutes at most at a time.

I am looking for someone that has been automated for the past 3 years without changing one thing in their system trading > 2000-3000 times a year. Anything else is not going to be accurate.
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Thanks again. We agree fully that accuracy is of highest importance.
 
volatility drastically changed from 08 -09. if your strategy is in any way vola dependent (most strategies are), your 09 results will have reflected that change.
 
Quote from propseeker:

volatility drastically changed from 08 -09. if your strategy is in any way vola dependent (most strategies are), your 09 results will have reflected that change.
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No doubt. I mean I realize VIX has gone through this huge inflation then this steady-long deflation if you will. That is of course not counting this most recent spike higher.

But here is the thing. http://finance.yahoo.com/echarts?s=^VIX+Interactive#chart1:symbol=^vix;range=my;indicator=volume;charttype=line;crosshair=on;ohlcvalues=0;logscale=on;source=undefined

If the link works correctly it is going to bring you to a chart of VIX from 2000 (or about there). We are about in the same volatility pattern as we were 2002-2004/5. And believe me the difference that I am seeing is night and day referring to my research. I also find it funny that my buy programs faired much better in the down markets of 2008-2009 that 2003-2007. And of course doing much better 2009-2010.

I know enough to know a couple things.

1. I certainly do not have all the right answers.

2. The market is a continuing education.

I am just trying to figure out where/when these changes, or better said to anticipate when these changes occur and what is the frequency of these changes relating to implementation that one should be taking advantage of.

I have had other conversations that lead me to believe that many are changing these intraday systems quite frequently. Then, also I came upon an article that I cannot find anymore that referenced TradeWorx (the HFT boutique) that I believe said they are changing their methods EVERY DAY. Today will not be the same methods as yesterday.

So to me personally this can only mean they are very skilled at finding these "changes" in the underlying environment of the marketplace that are either continuously giving clues OR they are the ones that are trying to make it more difficult to follow because I am looking for THEIR mark.

Not that I am a liquidity provider (obviously) but I am guessing they are throwing around enough volume for me to take notice or anyone for that matter that has programs in excess of 15-30 RT's / day. I am not even sure if they deal in the ES, but I think you know where I am going with this.
 
Quote from Algo_Design_Kid:

I see where you are going with the curve fitting. I just find it very difficult to believe I could curve fit 1-3 minutes in the ES getting in and out of positions within an average of 2-3 minutes at the very most. A lot of times it is has unloaded the position < 60 seconds. Doing this greater than 3000-5000 times. Anything is possible though.

Can you expand on what you are saying about adjusted price distribution please? I am not totally sure I follow.

Thanks
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Quote from Algo_Design_Kid:

No doubt. I am interested as well. I am wondering even if I am getting non real world preferential fills sometimes. It is all limit / stop orders that are either filled or cancelled at the close of every bar but I am skeptical if the real spread is always being accounted for.

I have been there before.
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Did you assume a fill if last traded price just touched your limit without going through?

I hope the answer is not "yes, always". If it is, then what you did is BS.
 
Quote from ASusilovic:

Why don´t you use the easiest strategy :

if ES volume > 15.000 / min > follow the trend. Otherwise stay out and enjoy the show program. :D
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are you saying greater than the 15 minute relative volume?
 
Quote from Code7:

Did you assume a fill if last traded price just touched your limit without going through?

I hope the answer is not "yes, always". If it is, then what you did is BS.
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I see what you are saying. The code is always "adapting" I guess you could say every bar. So the stop will cancel itself at the close of every bar and then "re-adjust" I guess you could say.

To better answer your question it is unknown. I do understand obviously what you are getting at though. Without getting into it too much the platform is not "retail" and I am not the creator / developer. At this point it is impossible for me to know this answer and these questions (which are the most important) will be known later after model development and grasping a better idea of the equity that will be required.

Most likely there will need to be adjustments. I do not doubt that at all. I am already planning on this. More or less I was more interested on bouncing ideas off of others that have been 100% automated in the timeframes I was previously referencing.
 
Now you talk about stops only.

If you can't answer that simple question, you aren't even clear about the basics and not ready to exchange advanced ideas IMO.

Do you use a lot of limit orders? Then just look at your orders and look at your ES data. Do you assume a fill at the high/low of bars?
 
Quote from Code7:

Now you talk about stops only.

If you can't answer that simple question, you aren't even clear about the basics and not ready to exchange advanced ideas IMO.

Do you use a lot of limit orders? Then just look at your orders and look at your ES data. Do you assume a fill at the high/low of bars?
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Thanks, this isn't my first county fair.

No, I do not assume that. My main concerns are more related to the business end of this and conversation in general relating to the topic of the original post.
 
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