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Automated Trading
- Thread starter tatsimon
- Start date
Quote from Sam Mcgee:
I'd love to set up for automated trading and have tried to do it for a long time but have never had any success with it.
I couldn't see much problem in setting up an automated system. I can do that with Microsoft Excel receiving data and sending signals to Interactive Brokers. I've tested that in simulated trading. The much bigger problem I see is finding a system that is actually profitible.
I've come up with hundreds of ideas both simple and complicated but when I test them, they all just come close to breaking even. For instance, I've tried all kinds band trading systems, where you buy at the lower band and sell at the upper band with various filters. I've tried breakout systems. Moving average crossovers. Etc etc. Even if I could find a system that loses a lot of money, that would be perfect, I could just reverse the buy and sells.
Does anyone have consistant success with a mechanical trading system? Could you give me a hint which direction I should look? Do you have more success with futures or with stocks?
Try this:
Basic strategy: morning breakout
1. Use a 5 min bar chart
2. Ignore first 10 minutes
3. At 10:00 mark the high and low of the last 4 bars
4. Buy on stop at high + 0.05, sell short on stop at low - 0.05
5. One entry per day, in one direction, whichever comes first
6. Immediately after entry put a stop loss at 1% and a profit target at 3%
7. No entry after 15:30
8. Exit at 15:50 if no stop loss or profit target hit
Stock selection:
1. Each week trade 6 stocks, and alocate your intra-day buying power equally between them - it will determine how many shares of each you will trade.
2. At the beginning of each week, pick a list of as many stocks as you want - I use 500 - with a decent volume, at list 200,000 a day on average for the last month, and at list $30 in price. Backtest them with the above strategy for the last two weeks, and pick the first 6 performers. These are the once you will trade the following week.
I've been doing this for almost a year with an automated system in TradeStation, with consistent results - up 40% after comm, with a nice uptrending P/L. I trade a small account though, and didn't compound profits. Slippage can be a problem because I use stop market orders, so I get a fill when the entry is triggered, otherwise I would have to keep an eye on the system all day long.
Hope this helps.
I have 5 different systems that I run completely automated in TradeStation. I often leave it unattended during the day. I have had a small amount of lost profit due to issues but it has not been that bad. I am considering writing my own system (or perhaps using an open source solution) and changing to a different broker. I think this could resolve all the problems I have seen at this point.
Quote from tradesystem:
I have 5 different systems that I run completely automated in TradeStation. I often leave it unattended during the day. I have had a small amount of lost profit due to issues but it has not been that bad. I am considering writing my own system (or perhaps using an open source solution) and changing to a different broker. I think this could resolve all the problems I have seen at this point.
I decided against Tradestation because a strategy can get out of synch with the account. There needs to be tighter feedback.
http://www.fxcm.com/forex-system-selector.jsp
Have a look at this for automated forex systems. Lets you look at the performance of a lot of forex systems out there that provide signals.
Have a look at this for automated forex systems. Lets you look at the performance of a lot of forex systems out there that provide signals.
Quote from maxpi:
I decided against Tradestation because a strategy can get out of synch with the account. There needs to be tighter feedback.
I had this problem with limit orders not beeing executed in the account, but filled in strategy, and you do get a lot of warnings. My question is, if there are systems that automatically get back in synch, how do they do it?