Adventures in Automation

fan27

fan27

I am creating this journal to track my progress using my custom research application (FasterQuant) for algo discovery. Currently, I am trading ES, NQ and YM fully automated with 70 strategies using AlgoTerminal with a trade lasting anywhere from a few hours to a week. My goal is to share things I have learned in addition to getting feedback on my approach. On average I will get a few trades per week and will post trades as they occur. Good or bad, each month I will post a screen shot of my IB year to date results.

Here is a video of my current approach (video best viewed in full screen).

 
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nooby_mcnoob said:
Good luck. What are your results so far?
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Thanks! Up about 12% since going live with the first trade placed the day after Christmas. Not too surprising given the massive run up we have had in the equity indexes.
 
A few notes on my approach. I found there are many strategies with equity indexes on the 15 min, 30 min and 1 hour time frames where the likely hood of an up move is greater than a down move and it can be taken advantage of. The thing is the trade occurrence for these strategies is not that frequent. For example, a strategy may only have 100 trades for the past 15 years. For those that say that is not a big enough sample size, I have created tools which can empirically indicate how often the strategy beats random entry (i.e. 97% of time for 5000 random trade backtest runs). The key in my approach is to have many strategies that might not trade often but together give enough trades to make it worth while. All strategies have a combination of the following exit criteria with all strategies having a stop.

Limit order based on a multiple of the ATR
Fixed or trailing stop based on a multiple of the ATR
Exit after X number of bars.

A few examples:
limit = entry + (5 * ATR(14))
fixed stop = entry - (3 * ATR(14))
Exit after 20 bars

trailing stop = entry - (3 * ATR(14))
Exit after 8 bars

Also, all strategies use at least one higher timeframe with all strategies incorporating the daily timeframe. In the video posted above there is an example strategy shown in the Code.txt file about halfway through the video.
 
fan27 said:
The key in my approach is to have many strategies that might not trade often but together give enough trades to make it worth while.
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Congrads ... How exciting it must be to go live after all this work! What is MaxDD and will it be per strategy or combined?
 
qlai said:
Congrads ... How exciting it must be to go live after all this work! What is MaxDD and will it be per strategy or combined?
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Thanks! Max Drawdown for strategy portfolio (All strats backtested together)
 
I am wandering at what % draw down will you shut it down? Hopefully it doesn't come to it, but I think it's important to draw the line in the sand prior.
 
qlai said:
I am wandering at what % draw down will you shut it down? Hopefully it doesn't come to it, but I think it's important to draw the line in the sand prior.
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That is a good question. If I got to a 30% drawdown, I would definitely be reevaluating my approach. As I refine my process minimizing risk will be a top priority.
 
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