Adventures in Automation

traider said:
Did you check the correlation of your 70 strategies? You might be surprised by the results.
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Groups of them are highly correlated as expected. That is why I have a risk control component which limits the amount of concurrent positions across strategy groups.
 
fan27 said:
Yes...for now. I have not decided yet if I am going to expand into other markets. At some point I might want to trade OPM and am wondering if it is better to have a focused approach.
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I would offer, "No."

Why? If you think of a trend/periodicity approach, and gaze at the major indices (EOD) and put up a straw man of "10-day cycles" -- well, that 10-day observation does not give you simultaneous Entry and Exit signals, right? It suggests a 10-day run, of which you might harvest 6 days' worth. But the signal to Exit does not a *new* entry on the other side -- only that (according to your chosen exit criteria), it is not safe to continue in that position.

If the 10-day window does not flip from Enter-Exit-Enter so well? Meh! Does the Exit signal perhaps work as an Entry signal for a shorter trade? Perhaps a short-term opposing position in an inverse ETF? Or even a 1-or-2 day trade in a 2x or 3x ETF? (Let alone, the options universe...)

Thus, focusing exclusively on ES;NQ;YM seems (to me) to be a constraint to be avoided. (That's my vote. Are we voting? Eeeesh.)
 
fan27 said:
Long 1 NQ contract at 6643.75 on 1 hour chart
Fixed stop at 6519.50
Exit after 30 bars
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Trade is looking really good here. I suspect we are going to break the recent high on 1/18 and make a run for the 200 day SMA.
 
fan27 said:
IB
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good stuff, maybe you could offer it on a subscription-based SaaS model to the retail crowd like Sierra Charts, i think it's literally run by one guy

just put up a website and price it for like $20/mth or something, i think you'd get a lot of sign-ups, bc there's prob a lot of demand for ppl who don't know enough to program to connect to IB's API, but want the convenience of algo trading
 
pinetboltz said:
good stuff, maybe you could offer it on a subscription-based SaaS model to the retail crowd like Sierra Charts, i think it's literally run by one guy

just put up a website and price it for like $20/mth or something, i think you'd get a lot of sign-ups, bc there's prob a lot of demand for ppl who don't know enough to program to connect to IB's API, but want the convenience of algo trading
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What I built is a research application that integrates with existing ATS applications (AlgoTerminal, Sierra Charts, etc). My code does not live trade and I have no interest in a web based Saas model. That would be a huge undertaking that I am not interested in.
 
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