Automated Trading = Recurring Passive Income?

The way the PnL fluctuates over such a short period of time tells me tens of thousands of trades must have been taken, in addition, no trade quantity count is shown in the screenshot.

Great strategy if you pay no commissions, cqg tariffs, or nfa fees
 
brucelevy said:
The way the PnL fluctuates over such a short period of time tells me tens of thousands of trades must have been taken, in addition, no trade quantity count is shown in the screenshot.

Great strategy if you pay no commissions, cqg tariffs, or nfa fees
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If his strategy really works, he can go to a hft firm. They pay almost 0 fees.
 
They said:
List what programming languages you know, any APIs you have written into, data feeds you are familiar with, etc. and I think you will get a decent response.
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LOL. Let's see - I program everything in python, don't really know any APIs and might have read the CFE PITCH manual by accident. Yet somehow I manage to be employed and am making money.

Come to think of it, most senior traders/PMs that I know in the systematic community are not hard-core programmers, with HFT guys being notable exceptions. IMHO, the right question to ask is "why do you think you can find alphas that other people have missed?"
 
lindq said:
0 slippage in ES, huh?

Famous last words.
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why don't u quote my full sentences? Now I copy it again, please read it carefully

slippage depends on the financial instrument and the strategy, ES has enough liquidity and for this strategy, slippage is considered as 0, which is almost the same as real time trading

that is based on facts or results

please tell us the value of slippage you would like to use for ES if u disagree
 
They said:
AlgTrd2018,

List what programming languages you know, any APIs you have written into, data feeds you are familiar with, etc. and I think you will get a decent response.

The image and info of a more than likely curve fit system is meaningless.
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At present, I've developed my own trading system for automated trading, which is programmed in C# via XX API, and in the mean time, I also use XX as my current main Data Feed. (For some reason, I use the XX to replace the company's name) But I've worked with multiple other trading APIs and Data Feeds before. (I use my own trading system for automated trading, but there are a lot of ready-to-use tools or platforms for backtest) I have got a master degree in computer science and practical programming experience with C#, C++, Python, JAVA, VBA etc. I've worked in a PE and have practical experience and skills developing trading strategies for stocks, futures, options etc.

It has totally nothing to do with "curve fit". That is a waste of time and meaningless.
 
southall said:
What you say might be 100% correct and we understand that. But why not show those results so potential co operators can get an idea of how the system behaved when markets were completely different to those in the past year. No one is expecting the system was as good in the past as it was in the last year.
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For some strategies, for example, a basket of stocks, it might be necessary to back test data of many years. Sorry for this strategy I posted, it makes no sense to test that long. No overnight position, the results can be seen within one day......
 
Van_der_Voort_4 said:
The issue is bias to the upside in OP trading system.Some elements of it are designed after the fact of seeing chart and then build method to fit that chart.

I went over SPY chart and what this system made as per OP's profit chart.

My conclusion is OP is new to this or he understands why this will not work and is not willing to trade it for his own account.
I am leaning to speculate that he knows why this will not work.
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Maybe this is your own case or experience.

It is not easy to find two identical leaves in the wild world.

Mine is totally different from yours.
 
Van_der_Voort_4 said:
I had very similar chart in my archives,different instrument,nearly the same PF,actual traded chart period had up movement and down movement and i looked at his and went over his backtest chart and is clear is biased to the upside.Mine has larger drawdown because logic traded either direction.
View attachment 188053

Not buy the dip per se,could be time period breakout or number of bars breakout,because it is the easiest to curve fit and produce results that look astonishing,the trick is to have a lot trades in order to match them to what happened by adjusting stops.
Other way is to put on less contracts after being wrong til it fits the conditions.
Still needs recalibrating fairly often and is not robust even without directional bias,bottleneck effect and such.
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Maybe this is your own case or experience.

It is not easy to find two identical leaves in the wild world.

Mine is totally different from yours.
 
AlgTrd2018 said:
Maybe this is your own case or experience.

It is not easy to find two identical leaves in the wild world.

Mine is totally different from yours.
More...

For slippage, just try executing the algo manually and you will get a sense of slippage. For ES if you are not colocated when you get filled, expect the fair value of the futures (market maker quote) to have moved at least 0.5 tick away from you because of adverse selection and last position in queue.
 
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