Automated trading doesn't work

[travis]

Thank you for the links.

On the first one I found the best system by RoR:
http://www.attaincapital.com/trading_system_rankings/detail/1038

Not much is told about the systems.

For those based on futures where do I find the leverage used? Do they reinvest the profits at all? Where do I find such information please?

 

[windsurfer]

travis,

The actual results are listed under Trades. The system you picked trades 1 ES contract- no reinvestment.

If there are client trades, it lists the average trade result of its clients. If it is computer generated, it hits the results with $50 per round trip trade for slippage and commission.

 

[travis]

Ok, it's all clear now. Thank you.

 

[puretruth]

Quote from windsurfer:

travis,

The actual results are listed under Trades. The system you picked trades 1 ES contract- no reinvestment.

If there are client trades, it lists the average trade result of its clients. If it is computer generated, it hits the results with $50 per round trip trade for slippage and commission.

I only see computer generated fills , where are actual results listed ?

 

[windsurfer]

pure truth,

for some systems, like that one, they don't have actual trades listed. For others, they have just actual trades. I'm not sure why it is one way for some, but not another. I trade a system that only lists the results as computer generated even though it is actually traded by many. I have found that the CG results (with their $50 RT assumed cost) end up being close to my actual (because Attain's broker charges a high RT commission).

My point is not to suggest a particular system, but to provide evidence to call into question the premise of this thread. This is especially true when you consider a system trader trading directly through TS will have a much higher net profit than the attain results because the commission and slippage will be much less.

 

[Rabbitone]

Traders give the impression that the objective in trading an automated system is: set it and forget it. Nothing could be farther from the truth. Unfortunately it is not the automation that fails in automated trading it is the trader. Traders can grind the entire automated trading process to a halt because of their lack of understanding that they are in charge of the automated trading outcome and not the trading system.

Automated trading is just like a factory. The factory has to set up the assembly line correctly (trading strategy) or the factory will not produce. Before starting full production of the factory assembly lines are tested (strategy testing). During this whole process the factory runs the assembly line using strict procedures (traders plan) to keep assembly line production running. Once the factory automation begins the management (trader) in the control room has to constantly watch for things that shut the assembly line down (that is market changes, drawdowns, consecutive losing trades, account problems...). In some cases the factory experiences unusual problems that threaten the assembly line (trading black swan events). The management team (trader) is prepared with contingency plans (trader exit plans) in the event the factory has to rebuilt (strategy is fine tuned) or shut down (strategy discontinued).

The discussion of the factory should make it clear to the trader that they are the management of an automated strategy. The strategy does not make market or emergency decisions on its own. The trader must manage the automated strategy or it will fail. We are not to the point in automated trading where trades run themselves. On the contrary, automated trades require the same scrutiny and attention as live traded discretionary trades do. Running an automated trading factory is a lot of work, but it can be well worth the effort.

 

[Lexter]

This thread has been very useful to me - thanks to many of the members who posted. It just convinced me to try to automate my trading. So far I've only heard the two extremes - that either automated trading is possible and profitable or that it's not (this is the first thread on ET on this topic that I've been reading). Many posts here convey a broader picture and make the goal of having an automated trading system very attractive. Guess I'll have to dust off my C++ textbook from university and refresh my memory. Now, on to finding a broker with a useful API ...

(I am a discretionary swing and trend trader, only started about 7 months ago. I'm very cautious and so far making a little money but right now it's just about learning anyway.)

 

[Bogus Exception]

"Guess I'll have to dust off my C++ textbook from university and refresh my memory. Now, on to finding a broker with a useful API ..."

I never said that was necessary. You can use products like cooltrade (cool-trade.com) and just enter in normal rules. Writing complex programs for finicky APIs is OK for someone else's money-not mine!

pat

 

[r4Nd.m]

Quote from Rabbitone:

Traders give the impression that the objective in trading an automated system is: set it and forget it. Nothing could be farther from the truth. Unfortunately it is not the automation that fails in automated trading it is the trader. Traders can grind the entire automated trading process to a halt because of their lack of understanding that they are in charge of the automated trading outcome and not the trading system.

...
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Running an automated trading factory is a lot of work, but it can be well worth the effort.

i couldn't agree more. knowing when not to trade, or when to run which system is fundamental. ok, so you've developed a system that does well when the market is ranging.. why are you running it on news days? ok, you've developed a trend capturing system... why are you trading it in the chop?

 

[edbar]

It's funny that many people think about robotic stock trading that caos is going to ensue. They could not be further from the truth.

In my opinion manual trading causes more caos.

A robotic trader is going to follow the rules "every time", and they are "your" rules. It's not a drunk driver. It will slow down at yellow lights, and stop on red lights, and follow every rule of road "that you want it to".

Another misconception about robotic trading is that somehow you can control the markets. That is also false.

People will put money in mutual funds for years, and in last years case, lose 50%. But when they run a robotic trader, for some reason, they expect it to spew out thousands a day, and when it doesn't, they think that it doesn't work. Sometimes in a crummy market, not losing a bundle of money is a good thing in itself.

What they don't understand is that if their trader just made 1% a month, that is 12% a year.

You hit the nail on the head. When NOT to go into a trade is probably more important than knowing when to go into it. A robotic trader is excellent for finding reasons for not entering a position, as it can track so many more things than we can. And it does it while we go about our lives and not have to sit in front of a monitor staring at charts and graphs.

Cheers,

Ed