Designing and Building a Profitable Automated Trading System
- Thread starter ScottD
- Start date
ETL, I appreciate your post and encourage any further contributions you may wish to make.
Your charts indicate very nice progress on your ATS. Consider posting some near real time ATS decisions next week. I think that would be a fun thing for people to see.
In the end, all that matters of course is the profit performance. On the way to profit, the build phase of the Cashcow project strives to be true to Jack's logic schematics. In the background I'm following Jack's lead down a certain design-build project path. At the moment the ATS uses multiple elements of the MACD as rate of change indication and at some stage in the future I could see us incorporating the first derivative of price and other ROC methods, as in your example.
Sequencing and latching will become more prominent in future releases. The prior release used a certain sequence to define a MACD entwine condition. I didn't have the sequence built precisely and we removed it in this release. As a result we may be over-suppressing in certain conditions.
Jack and I have some good stuff teed up for future releases and I'll continue to provide progress updates here.
Quote from WGTrader:
Here is today's results. I reworked my suppression logic based on ETL's suggestion of using ROC. The results were ok, 3.25 points from 9 trades. The big move in the morning was not caught because the model does not make any trades until after 9:45 (market sync). The work continues!
Nice work WGT. You could consider relaxing this a bit and letting sentiment come into effect as early as bar 2.
Better yet, bring in the Dow futures/cash price feeds and build a Pre-Sync suppression module. As soon and the pre-sync condition clears, take the next entry signal or take an opening range breakout.
Are you making any improvement at all with the iterative refinement ? How does a forward test of the 1st release from 12-10-08 to date compare to the current release from 12-10-08 to date ? Bet it doesn't look any better ...... And your not responding or posting comparisons confirms that hunch !!!!
I'll make a couple administrative posts to wrap up the first week of forward testing Cashcow Release 1.2 Logic.
In Feb 5 forward testing, the Cashcow did not take any trades. The entry criteria are a little more limited than the reversal criteria and, on this day, all entry signals were suppressed.
Corresponding chart attached.
In Feb 5 forward testing, the Cashcow did not take any trades. The entry criteria are a little more limited than the reversal criteria and, on this day, all entry signals were suppressed.
Corresponding chart attached.
In Feb 6 forward testing, Cashcow Release 1.2 Logic generated the following results:
Gross Profit: +2.00 points
Profit/Range ratio: +0.1
Trades: 6
Wins: 3
--------------------
Week 1 Summary:
Gross Loss: -1.75 points
Trades: 18
Wins: 9
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Next steps:
- Validate the two components of new functionality in Release 1.2 -- opening entry logic and automated NSDS lookups.
- Define and integrate additional logic modules for actions and suppression.
Gross Profit: +2.00 points
Profit/Range ratio: +0.1
Trades: 6
Wins: 3
--------------------
Week 1 Summary:
Gross Loss: -1.75 points
Trades: 18
Wins: 9
--------------------
Next steps:
- Validate the two components of new functionality in Release 1.2 -- opening entry logic and automated NSDS lookups.
- Define and integrate additional logic modules for actions and suppression.
Today the model did reasonably well. 11 trades and 13.25 points. I've stared to make some structural changes to the model to more easily accomodate sequential based actions based on volume and wmcn. The logsheet now indicates the type of volume for each bar. Today's results based on the same fast and slow stochastics and the ROC for suppression used last Friday. I have however started to suppress trading between 12:00 and 1:00.