Automated scalping system

dom993

dom993

Hi there,

I am reasonably successful with my automated reversal system for CL, but it has a low frequency trading (100 to 250 trades per year) and that goes against the law of large numbers ...

... I want to develop a much higher frequency system, 3 to 10 trades per day - which probably needs a scalping approach. However, I am not a scalper, if at all possible I'd rather joint forces with someone with a good scalping technique and no programming skills, and automate that for the benefit of both.

I use NinjaTrader for my systems development.


PM me if interested.

Thanks in advance
 
Quote from dom993:

Hi there,

I am reasonably successful with my automated reversal system for CL, but it has a low frequency trading (100 to 250 trades per year) and that goes against the law of large numbers ...

... I want to develop a much higher frequency system, 3 to 10 trades per day - which probably needs a scalping approach. However, I am not a scalper, if at all possible I'd rather joint forces with someone with a good scalping technique and no programming skills, and automate that for the benefit of both.

I use NinjaTrader for my systems development.


PM me if interested.

Thanks in advance
More...

Why not simply expand vertically (increase position size, add more timeframes) and/or expand horizontally (add more markets):confused:

unless...the system is not robust = no edge


also, you should go back and re-read what the law of large numbers mean
 
dom,

Although you didn't ask for it but I have a suggestion for you.

Instead of going for a scalping system with 3-10 trades per day, it makes much more sense to develop independently 3-4 more systems like your current one. Then you will end up with a portfolio of 4-5 systems each trading 100-250 trades per year. Independent systems based on uncorrelated concepts (e.g. reversal, momentum, breakout etc.) will make your overall equity curve much more stable. Also, if 1 or 2 systems start under-performing, still your portfolio equity curve will remain upward sloping.

With scalping systems you will run into liquidity and slippage issues (as soon as you increase size say to 10+ contracts), but with systems with holding period of hours, available liquidity is much more. Also, programming is much more involved when you consider scalping systems (though this is not a concern for you since you are an experienced programmer).

Due to above reasons, I prefer longer hold time intra-day systems over any scalping system. I thought I will share with you what I have learnt. Cheers.
 
Quote from HurricaneUS:

Why not simply expand vertically (increase position size, add more timeframes) and/or expand horizontally (add more markets):confused:

unless...the system is not robust = no edge
More...

I am trading it to the max of my current account size ... it trades a specific reversal price pattern, identifying the pattern from the ambient noise requires to filter that ambient noise, it is working quite well on CL (1100 trades on 6 years), it requires too much filtering on ES which lower the number of trades too much IMO (400 trades on same 6 years, pretty much identical P/F, and max. DD scaled down), objectively it struggles on 6E (needs even more noise filtering), I haven't tested it beyond those 3 markets.

That said, the topic for this thread isn't my CL reversal system, but a collaboration towards automating a scalping technique.
 
Quote from dom993:

I am trading it to the max of my current account size ... it trades a specific reversal price pattern, identifying the pattern from the ambient noise requires to filter that ambient noise, it is working quite well on CL (1100 trades on 6 years), it requires too much filtering on ES which lower the number of trades too much IMO (400 trades on same 6 years, pretty much identical P/F, and max. DD scaled down), objectively it struggles on 6E (needs even more noise filtering), I haven't tested it beyond those 3 markets.

That said, the topic for this thread isn't my CL reversal system, but a collaboration towards automating a scalping technique.
More...

then I guess I don't understand because my strategies work on all timeframes and all markets so scaling it isn't an issue
 
Quote from HurricaneUS:

then I guess I don't understand because my strategies work on all timeframes and all markets so scaling it isn't an issue
More...

I trust you on this ... I am nowhere close to being there, I would love someone to point me in the right direction to achieve that goal ... but short of that, I'll keep working at developing new strategies - hopefully someday I can see the light and create one truly multi-instruments / multi-timeframes.
 
Quote from gmst:

dom,

Although you didn't ask for it but I have a suggestion for you.

Instead of going for a scalping system with 3-10 trades per day, it makes much more sense to develop independently 3-4 more systems like your current one. Then you will end up with a portfolio of 4-5 systems each trading 100-250 trades per year. Independent systems based on uncorrelated concepts (e.g. reversal, momentum, breakout etc.) will make your overall equity curve much more stable. Also, if 1 or 2 systems start under-performing, still your portfolio equity curve will remain upward sloping.

With scalping systems you will run into liquidity and slippage issues (as soon as you increase size say to 10+ contracts), but with systems with holding period of hours, available liquidity is much more. Also, programming is much more involved when you consider scalping systems (though this is not a concern for you since you are an experienced programmer).

Due to above reasons, I prefer longer hold time intra-day systems over any scalping system. I thought I will share with you what I have learnt. Cheers.
More...

hi gmst, thanks for the suggestion, it make sense in some ways ...

... the reason why I want to go higher frequency is to have backtests covering 10K+ trades instead of 1K+ ; I hope this would truly be a barrier against overfitting such strategy.
 
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