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Automated trading system outcomes and real trading results
- Thread starter vlad
- Start date
Quote from man:
from what i understand we are not talking about real high frequency. so why not pay sum more commission and email/ftp/fix/whatever to a broker who executes "by hand"? and contract with him that he only accepts so many contracts and stops out once somethig strange happens and so forth.
Nothing like putting a person in the loop as a sanity check. I think this approach makes a lot of sense.
no offense intended, but i always thought that the automatic guys automise because a) the thing is so fucking stable that they want to have their hands free for other stuff or b) it is so high frequency that they have to minimise delay of ordering. i think the route of automising because you have another job to go for is very different from that. and within this context i think it is a waste to optimise the technical environment. rather trade via "real" broker and spend more times developing systems that allow fulltime trading. why do you need two backup systems when you trade one emini three times a week?
sorry, did not mean it bad. just my thoughts on focussing. this thread so far does not attack the real problem of the currently used strategy, which is below expectation performance. my feeling is that by talking about all other thigns, the main point gets lost. unprofessional thinking. focus on highest business value at any given point of time.
again. sorry. do not mean it bad.
peace
sorry, did not mean it bad. just my thoughts on focussing. this thread so far does not attack the real problem of the currently used strategy, which is below expectation performance. my feeling is that by talking about all other thigns, the main point gets lost. unprofessional thinking. focus on highest business value at any given point of time.
again. sorry. do not mean it bad.
peace
Quote from man:
no offense intended, but i always thought that the automatic guys automise because a) the thing is so fucking stable that they want to have their hands free for other stuff
Clearly that's the goal. However, you have to get from point A (a non-existent or system under test) to point B ("so fucking stable"). This is not trivial.
i think the route of automising because you have another job to go for is very different from that.
I don't think it's different from the first goal at all. It allows trading where it would otherwise be impossible.
and within this context i think it is a waste to optimise the technical environment.
It is not optimization. It is "not possible" to "possible." That is basic functionality, not optimization.
rather trade via "real" broker and spend more times developing systems that allow fulltime trading.
Trade at work = FIRED. Period. Therefore, any trading must be automated.
why do you need two backup systems when you trade one emini three times a week?
Did I say I need two backup systems?
this thread so far does not attack the real problem of the currently used strategy, which is below expectation performance. my feeling is that by talking about all other thigns, the main point gets lost.
I believe the original poster was interested in discussing development from scratch, A-Z, and all the things in between. The system is but one component of that.
unprofessional thinking. focus on highest business value at any given point of time.
You have no business value if you can't trade.
Quote from flat5:
I'm watching this with great interest, vlad.
I have been thinking about building/deploying an automated system as well. I am in the infancy stage, having backtested a couple of systems and am cutting my teeth on the IB API.
My main concern at this juncture is...
RISK ABATEMENT
and I don't mean risk of running a crappy system.
I write code professionally, and know all too well that the code I write is never perfect, bugfree, flawless.
The idea of letting a program manage an account with large sums of money while I work my dayjob, unable to monitor or intervene, scares the daylights out of me.
I think a very carefully thought out plan for risk control and fault tolerance is a huge part of the work in a set and forget system that can operate while one works his/her day job.
Have you thought much about this?
Regarding risk abatement how bad can it be? I'm not thinking of, worst case but typical case of a computer messing up while trading. You might spend your intraday buying power on goofy entries but chances are that half of those trades will be good and half bad and you can monitor the account remotely and close out everything quickly. A real bad scenario would be repeated buy-sell and loss of commission. That needs to be watchdogged somehow.
vlad,
Great thread.
As for risk mgmt., I think that you can try to correct your code as much as you can. However, I think the ultimate risk mgmt. tool would be to create another trading account, a cash account, to keep the bulk of your capital. Only leave a small amount in the account you actively trade. If something catastrophic happens, your risk is limited to what's in the account. Your broker will limit your loss with his margin requirements.
I don't know if this has been discussed before, but this is what I plan on doing.
Great thread.
As for risk mgmt., I think that you can try to correct your code as much as you can. However, I think the ultimate risk mgmt. tool would be to create another trading account, a cash account, to keep the bulk of your capital. Only leave a small amount in the account you actively trade. If something catastrophic happens, your risk is limited to what's in the account. Your broker will limit your loss with his margin requirements.
I don't know if this has been discussed before, but this is what I plan on doing.
Quote from 65Matt:
vlad,
Great thread.
As for risk mgmt., I think that you can try to correct your code as much as you can. However, I think the ultimate risk mgmt. tool would be to create another trading account, a cash account, to keep the bulk of your capital. Only leave a small amount in the account you actively trade. If something catastrophic happens, your risk is limited to what's in the account. Your broker will limit your loss with his margin requirements.
I don't know if this has been discussed before, but this is what I plan on doing.
Sounds like a good plan. You could scale up the account as you gain confidence in both the trading system and the execution system. Actually if they are both working well the account should scale itself up.
Yes, 65Matt, that is exactly what I do. For described ATS I opened independent account and try to be not far from the margin requirements. For 8 1/2 months this margin requirements had not been of use, but who knows, in critical situation it will be additional protection.Quote from 65Matt:
vlad,
Great thread.
As for risk mgmt., I think that you can try to correct your code as much as you can. However, I think the ultimate risk mgmt. tool would be to create another trading account, a cash account, to keep the bulk of your capital. Only leave a small amount in the account you actively trade. If something catastrophic happens, your risk is limited to what's in the account. Your broker will limit your loss with his margin requirements.
I don't know if this has been discussed before, but this is what I plan on doing.
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Quote from man:
..... I would try adding other markets, the more uncorrelated the better. i would check for a longer time period if the system correlates with any feature of the emini. natural guess is that vola shrink has reached a level your system(s) can hardly (=20% of backtest) swallow. though your test already happened in relatively low vola environment. i would recommend that you take daily data of the VIX, run a corr against your equity curve, or take a slow EMA on the VIX and try it out. category I error would be to trade a system that is untrue, category II error would mean you quit though it is fine. analysing it against the market could help distinguish between the two.
peace
Thank you for the advice, man. I will check for a longer time period if the system correlates with any market features. And I will show some statistical tests for current system evaluation.
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