I manage my systems with my software. Systems' names are just random unsigned 64-bit numbers. I don't really have "visual" equity chart, only numbers. Right now it's just over 300 systems, reduced from the initial 600 when I increased requirements. I did some experiments yesterday and it looks like I'm going to reduce number of systems even more. I will write more about it around Monday.
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Artificial Algorithmic Systems Real Trading
- Thread starter Alis
- Start date
I manage my systems with my software. Systems' names are just random unsigned 64-bit numbers. I don't really have "visual" equity chart, only numbers. Right now it's just over 300 systems, reduced from the initial 600 when I increased requirements. I did some experiments yesterday and it looks like I'm going to reduce number of systems even more. I will write more about it around Monday.
Again, I’ve made some more changes to my software and how systems are generated.
First change is about systems’ names. Random number was fine, but now I decided to encode some information about a system in its name. From now on, a name consists of:
1. Creation date in format YYMMDD,
2. Computational capacity (similar to degrees of freedom according to Rob Pardo’s definition). This is a number of data points that a system is looking at. For example, a SMA 200/50 cross system would have computational capacity = 252 (200 closes + 50 closes + 2 for rules). Shorter average is contained within the longer but with the current implementation I can’t recognize this. Also, this is kinda pessimistic value. It’s possible for a rule to be like “condition1 or condition2” where “condition2” is always false. In this case, data points aren’t really consumed by condition2, but it’s a limitation of my implementation now. My total in-sample data consists of around 6 million data points and I want my systems to consume less than 5% of this.
3. Exit type. Possible exits are:
“B” – just a normal graph (tree) branch that needs to return “true” to give a signal
“SL” – stop loss
“TP” – take profit
“SLTP” – both, whichever happens first
“BN” – bars number (i.e. how many days the trade is opened for)
“notE” – no special condition for exit, instead the system will exit position when entry condition is no longer met
Names are completely irrelevant, but it will be fun to watch how systems change over time. Also, an interesting observation: all found systems are either B or BN exits, only one notE. BN exits were discovered more often than they should (I.e. probability of selecting BN exit was around 5% but over 20% good systems had it. I now increased probability of selecting a BN exit). No SL and/or TP systems perform well enough.
Another change is that now I look at a system’s score on out-of-sample data. So a system has to give very good results on both parts of in-sample data (2008-2013 and 2013-2018) and also out-of-sample (2018 - …). Only then its signals are considered.
The last change is about trading: I now enter and exit trades with limit orders where the limit equals the last close. This improved all metrics (like profit factor, expectancy, final account value) but it also made finding systems a lot harder. So now I’m down to 127 systems. Old systems were removed but majority of their positions where taken by the new systems.
First change is about systems’ names. Random number was fine, but now I decided to encode some information about a system in its name. From now on, a name consists of:
1. Creation date in format YYMMDD,
2. Computational capacity (similar to degrees of freedom according to Rob Pardo’s definition). This is a number of data points that a system is looking at. For example, a SMA 200/50 cross system would have computational capacity = 252 (200 closes + 50 closes + 2 for rules). Shorter average is contained within the longer but with the current implementation I can’t recognize this. Also, this is kinda pessimistic value. It’s possible for a rule to be like “condition1 or condition2” where “condition2” is always false. In this case, data points aren’t really consumed by condition2, but it’s a limitation of my implementation now. My total in-sample data consists of around 6 million data points and I want my systems to consume less than 5% of this.
3. Exit type. Possible exits are:
“B” – just a normal graph (tree) branch that needs to return “true” to give a signal
“SL” – stop loss
“TP” – take profit
“SLTP” – both, whichever happens first
“BN” – bars number (i.e. how many days the trade is opened for)
“notE” – no special condition for exit, instead the system will exit position when entry condition is no longer met
Names are completely irrelevant, but it will be fun to watch how systems change over time. Also, an interesting observation: all found systems are either B or BN exits, only one notE. BN exits were discovered more often than they should (I.e. probability of selecting BN exit was around 5% but over 20% good systems had it. I now increased probability of selecting a BN exit). No SL and/or TP systems perform well enough.
Another change is that now I look at a system’s score on out-of-sample data. So a system has to give very good results on both parts of in-sample data (2008-2013 and 2013-2018) and also out-of-sample (2018 - …). Only then its signals are considered.
The last change is about trading: I now enter and exit trades with limit orders where the limit equals the last close. This improved all metrics (like profit factor, expectancy, final account value) but it also made finding systems a lot harder. So now I’m down to 127 systems. Old systems were removed but majority of their positions where taken by the new systems.
System 230904_19491_BN bought 6006 shares of RAE at 0.50
System 230903_7888_BN bought 6104 shares of 3RG at 0.49
System 230904_41122_B bought 3122 shares of NNG at 0.958
System 3892946934609429801 sold IPO at 0.99
Also, changes because of new systems:
System 18056292263910247960: position in awm (10771 shares) taken by system 230904_41122_B at price 0.27
System 3892946934609429801: position in awm (11000 shares) taken by system 230904_2715_BN at price 0.27
System 9531418900514171870: position in awm (10714 shares) taken by system 230903_7888_BN at price 0.27
System 704827598: position in adv (3569 shares) taken by system 230904_41122_B at price 0.838
System 3644788620: position in gtn (5504 shares) taken by system 230904_22684_BN at price 0.519
System 14375472250692699922: position in gtn (5643 shares) taken by system 230904_86663_BN at price 0.53
System 9531418900514171870: position in hrs (4322 shares) taken by system 230904_55554_B at price 0.692
System 9531418900514171870: position in asm (4615 shares) taken by system 230903_7888_BN at price 0.62
System 704827598: position in asm (3896 shares) taken by system 230904_4786_notE at price 0.77
System 9531418900514171870: position in 3rg (6382 shares) taken by system 230904_55554_B at price 0.47
System 1644209816: position in 3rg (6231 shares) taken by system 230903_24817_BN at price 0.48
System 704827598: position in les (6602 shares) taken by system 230904_41122_B at price 0.45
System 3644788620: position in ipo (3122 shares) taken by system 230904_28684_BN at price 0.958
System 230903_7888_BN bought 6104 shares of 3RG at 0.49
System 230904_41122_B bought 3122 shares of NNG at 0.958
System 3892946934609429801 sold IPO at 0.99
Also, changes because of new systems:
System 18056292263910247960: position in awm (10771 shares) taken by system 230904_41122_B at price 0.27
System 3892946934609429801: position in awm (11000 shares) taken by system 230904_2715_BN at price 0.27
System 9531418900514171870: position in awm (10714 shares) taken by system 230903_7888_BN at price 0.27
System 704827598: position in adv (3569 shares) taken by system 230904_41122_B at price 0.838
System 3644788620: position in gtn (5504 shares) taken by system 230904_22684_BN at price 0.519
System 14375472250692699922: position in gtn (5643 shares) taken by system 230904_86663_BN at price 0.53
System 9531418900514171870: position in hrs (4322 shares) taken by system 230904_55554_B at price 0.692
System 9531418900514171870: position in asm (4615 shares) taken by system 230903_7888_BN at price 0.62
System 704827598: position in asm (3896 shares) taken by system 230904_4786_notE at price 0.77
System 9531418900514171870: position in 3rg (6382 shares) taken by system 230904_55554_B at price 0.47
System 1644209816: position in 3rg (6231 shares) taken by system 230903_24817_BN at price 0.48
System 704827598: position in les (6602 shares) taken by system 230904_41122_B at price 0.45
System 3644788620: position in ipo (3122 shares) taken by system 230904_28684_BN at price 0.958
A few changes for new systems. I won't do this midweek anymore as it's too much work in the morning:
System 230904_4786_notE: position in asm (3896 shares) taken by system 230905_32586_BN at price 1.45
System 230903_7888_BN: position in asm (4615 shares) taken by system 230904_22684_BN at price 1.45
System 230904_28684_BN: position in ipo (3122 shares) taken by system 230904_22684_BN at price 1.35
System 230903_7888_BN: position in awm (10771 shares) taken by system 230905_32586_BN at price 0.269
System 230903_7888_BN: position in 3rg (6104 shares) taken by system 230905_3334_B at price 0.484
System 230904_86663_BN: position in gtn (5643 shares) taken by system 230905_86730_BN at price 0.53
System 230904_19491_BN: position in rae (6006 shares) taken by system 230904_19569_BN at price 0.512
Other trades:
System 3531632258 (removed) sold CFI at 0.204
System 14375472250692699922 (removed) sold SFS at 0.824
System 230905_32586_BN bought 5841 shares of RAE at 0.512
System 230905_10004_BN bought 2513 shares of FFI at 1.19
System 230904_19569_BN bought 3402 shares of NTC at 0.64
System 230905_32586_BN bought 4656 shares of NTC at 0.89
Today was probably the worst day since I started this journal. I've lost about 6k PLN in equity today, mainly because dramatic drop in ASM (-30%), IPO (-16%) and NTC (-18%).
As of today, the strongest signals are for FFI, SLZ and RAE.
System 230904_4786_notE: position in asm (3896 shares) taken by system 230905_32586_BN at price 1.45
System 230903_7888_BN: position in asm (4615 shares) taken by system 230904_22684_BN at price 1.45
System 230904_28684_BN: position in ipo (3122 shares) taken by system 230904_22684_BN at price 1.35
System 230903_7888_BN: position in awm (10771 shares) taken by system 230905_32586_BN at price 0.269
System 230903_7888_BN: position in 3rg (6104 shares) taken by system 230905_3334_B at price 0.484
System 230904_86663_BN: position in gtn (5643 shares) taken by system 230905_86730_BN at price 0.53
System 230904_19491_BN: position in rae (6006 shares) taken by system 230904_19569_BN at price 0.512
Other trades:
System 3531632258 (removed) sold CFI at 0.204
System 14375472250692699922 (removed) sold SFS at 0.824
System 230905_32586_BN bought 5841 shares of RAE at 0.512
System 230905_10004_BN bought 2513 shares of FFI at 1.19
System 230904_19569_BN bought 3402 shares of NTC at 0.64
System 230905_32586_BN bought 4656 shares of NTC at 0.89
Today was probably the worst day since I started this journal. I've lost about 6k PLN in equity today, mainly because dramatic drop in ASM (-30%), IPO (-16%) and NTC (-18%).
As of today, the strongest signals are for FFI, SLZ and RAE.
Some systems changes from the weekend:
System 230904_22684_BN: position in ffi (2513 shares) taken by system 230904_34353_BN at price 1.19
System 230904_55554_B: position in 3rg (6382 shares) taken by system 230905_86730_BN at price 0.459
System 230904_2715_BN: position in awm (10714 shares) taken by system 230905_51054_B at price 0.267
System 230905_32586_BN: position in awm (10771 shares) taken by system 230905_8818_B at price 0.267
System 230904_55554_B: position in kch (2330 shares) taken by system 230904_19569_BN at price 0.434
System 230904_22684_BN: position in ipo (3122 shares) taken by system 230904_45648_BN at price 1.345
System 230904_22684_BN: position in asm (4615 shares) taken by system 230905_51054_B at price 1.05
System 230905_32586_BN: position in asm (3896 shares) taken by system 230904_3714_BN at price 1.05
System 230904_22684_BN: position in gtn (5504 shares) taken by system 230905_8818_B at price 0.53
System 230905_32586_BN: position in rae (5841 shares) taken by system 230905_51054_B at price 0.51
System 230905_32586_BN (removed) sold NTC at 0.80
System 230904_55554_B (removed) sold HRS at 0.65
System 230910_18368_BN bought 14661 shares of CFI at 0.204
System 230904_19569_BN bought 5156 shares of RES at 0.58
System 230904_41122_B bought 4041 shares of ATS at 0.74
System 230904_19569_BN bought 6006 shares of RDN at 0.50
Most new signals are for RES, CFI and GTN.
System 230904_22684_BN: position in ffi (2513 shares) taken by system 230904_34353_BN at price 1.19
System 230904_55554_B: position in 3rg (6382 shares) taken by system 230905_86730_BN at price 0.459
System 230904_2715_BN: position in awm (10714 shares) taken by system 230905_51054_B at price 0.267
System 230905_32586_BN: position in awm (10771 shares) taken by system 230905_8818_B at price 0.267
System 230904_55554_B: position in kch (2330 shares) taken by system 230904_19569_BN at price 0.434
System 230904_22684_BN: position in ipo (3122 shares) taken by system 230904_45648_BN at price 1.345
System 230904_22684_BN: position in asm (4615 shares) taken by system 230905_51054_B at price 1.05
System 230905_32586_BN: position in asm (3896 shares) taken by system 230904_3714_BN at price 1.05
System 230904_22684_BN: position in gtn (5504 shares) taken by system 230905_8818_B at price 0.53
System 230905_32586_BN: position in rae (5841 shares) taken by system 230905_51054_B at price 0.51
System 230905_32586_BN (removed) sold NTC at 0.80
System 230904_55554_B (removed) sold HRS at 0.65
System 230910_18368_BN bought 14661 shares of CFI at 0.204
System 230904_19569_BN bought 5156 shares of RES at 0.58
System 230904_41122_B bought 4041 shares of ATS at 0.74
System 230904_19569_BN bought 6006 shares of RDN at 0.50
Most new signals are for RES, CFI and GTN.
I discovered a small bug in my software where a trade marked as "pending close" wasn't really closed if the next day's priced moved too much against me. In this case a trade would not be closed at all, totally ignoring any profit/loss it has.
After fixing, some systems had to be removed, hence a lot of changes today.
System 230905_3334_B: position in 3rg (6104 shares) taken by system 230905_51054_B at price 0.46
System 230905_10004_BN: position in ffi (2513 shares) taken by system 230902_18351_BN at price 1.2
System 230904_45648_BN: position in ipo (3122 shares) taken by system 230903_8893_BN at price 1.255
System 230905_3334_B: position in asm (3323 shares) taken by system 230904_77676_B at price 0.9
System 230905_3334_B: position in kch (6828 shares) taken by system 230905_51054_B at price 0.45
System 230905_3334_B: position in cfi (14519 shares) taken by system 230905_51054_B at price 0.2
System 230910_18368_BN: position in cfi (14661 shares) taken by system 230903_8893_BN at price 0.2
System 230904_19569_BN: position in rae (6006 shares) taken by system 230905_8818_B at price 0.508
System 230904_19569_BN: position in rdn (6006 shares) taken by system 230903_36590_B at price 0.4
System 230905_3334_B: position in res (5156 shares) taken by system 230904_37848_B at price 0.578
System 230904_19569_BN: position in res (5156 shares) taken by system 230905_51054_B at price 0.578
System 230904_19569_BN (removed) sold 3402 shares of NTC at 0.776
System 230904_41122_B bought 1289 shares of IFR at 2.32
System 230903_16655_BN bought 2461 shares of EUC at 1.215
System 230905_51054_B bought 3518 shares of SLZ at 0.85
After fixing, some systems had to be removed, hence a lot of changes today.
System 230905_3334_B: position in 3rg (6104 shares) taken by system 230905_51054_B at price 0.46
System 230905_10004_BN: position in ffi (2513 shares) taken by system 230902_18351_BN at price 1.2
System 230904_45648_BN: position in ipo (3122 shares) taken by system 230903_8893_BN at price 1.255
System 230905_3334_B: position in asm (3323 shares) taken by system 230904_77676_B at price 0.9
System 230905_3334_B: position in kch (6828 shares) taken by system 230905_51054_B at price 0.45
System 230905_3334_B: position in cfi (14519 shares) taken by system 230905_51054_B at price 0.2
System 230910_18368_BN: position in cfi (14661 shares) taken by system 230903_8893_BN at price 0.2
System 230904_19569_BN: position in rae (6006 shares) taken by system 230905_8818_B at price 0.508
System 230904_19569_BN: position in rdn (6006 shares) taken by system 230903_36590_B at price 0.4
System 230905_3334_B: position in res (5156 shares) taken by system 230904_37848_B at price 0.578
System 230904_19569_BN: position in res (5156 shares) taken by system 230905_51054_B at price 0.578
System 230904_19569_BN (removed) sold 3402 shares of NTC at 0.776
System 230904_41122_B bought 1289 shares of IFR at 2.32
System 230903_16655_BN bought 2461 shares of EUC at 1.215
System 230905_51054_B bought 3518 shares of SLZ at 0.85