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Designing and Building a Profitable Automated Trading System
- Thread starter ScottD
- Start date
The model did quite well today - 10 trades, 29.50 points ($1,475), the capture ratio was 0.94 and 78% in the market. Not too bad for a single contract! Of course it was the last hour of the day that accounted for 21.50 points.
I continue to think of ways to improve the performance because I often see the model NOT taking trades that I AM taking (manually). The model is usually a âbar lateâ compared to my manual trading. However, one thing the model does do that is much harder for me to do personally is to hold on to winning trades such as the last hour of today. My personal fear/greed has me exiting much earlier. In any event, this week is showing some consistency. I will wait until the week is finished to see how these model settings have worked for an entire week before I make any changes. Some additional ideas that I plan to incorporate is price/volume/indicators for the YM and NQ. I am also working on some âpattern recognitionâ functions that can override the indicators under certain scenarios. This I think will help me keep more of the profits and not be a bar late on many of the entries or exits. All comments welcomed.
I continue to think of ways to improve the performance because I often see the model NOT taking trades that I AM taking (manually). The model is usually a âbar lateâ compared to my manual trading. However, one thing the model does do that is much harder for me to do personally is to hold on to winning trades such as the last hour of today. My personal fear/greed has me exiting much earlier. In any event, this week is showing some consistency. I will wait until the week is finished to see how these model settings have worked for an entire week before I make any changes. Some additional ideas that I plan to incorporate is price/volume/indicators for the YM and NQ. I am also working on some âpattern recognitionâ functions that can override the indicators under certain scenarios. This I think will help me keep more of the profits and not be a bar late on many of the entries or exits. All comments welcomed.
Attachments
Quote from WGTrader:
The model did quite well today - 10 trades, 29.50 points ($1,475), the capture ratio was 0.94 and 78% in the market. Not too bad for a single contract! Of course it was the last hour of the day that accounted for 21.50 points.
I continue to think of ways to improve the performance because I often see the model NOT taking trades that I AM taking (manually). The model is usually a âbar lateâ compared to my manual trading. However, one thing the model does do that is much harder for me to do personally is to hold on to winning trades such as the last hour of today. My personal fear/greed has me exiting much earlier. In any event, this week is showing some consistency. I will wait until the week is finished to see how these model settings have worked for an entire week before I make any changes. Some additional ideas that I plan to incorporate is price/volume/indicators for the YM and NQ. I am also working on some âpattern recognitionâ functions that can override the indicators under certain scenarios. This I think will help me keep more of the profits and not be a bar late on many of the entries or exits. All comments welcomed.
I am just curious. In this last upmove we saw in NQ, after testing days low. How early does your program go long? At what price?
Again, very impressive results you got..
Quote from veggen:
How early does your program go long? At what price?
The contents of this thread discusses the methodology in depth. But the short answer is becuase the S(5)K crossed over 50 and the ROC turned positive (bar #69). That was the reversal signal. The model only trades at eob, therefore the close is the entry/reversal/exit price.
Quote from WGTrader:
The contents of this thread discusses the methodology in depth. But the short answer is becuase the S(5)K crossed over 50 and the ROC turned positive (bar #69). That was the reversal signal. The model only trades at eob, therefore the close is the entry/reversal/exit price.
So in NQ, it went long around? Or did it not trade NQ today?
Well today was the first loosing day this week. 14 trades, -6.5 points. All things considered for a day with some periods of high volatility chop, it could have been worse. Clearly the model made trades that I did not take manually, but the purpose of this excercise was to see how this particular strategy worked for a week without tweaking it each day to get the best results for that day. Hey if you're going to use an ATS, you have to take the good with the bad. However for the week the results were positive. 58 trades for 58.75 points ($2,937.50 gross). This is trading a single contract. Next week I am going to incorporate price/volume pattern functions that I believe will improve the performance dramatically.
In any event, I'm satisified that an ATS (loosely) based Jack and Scott's logic is more than viable. Enough for me to continue the development, although I'm going to be taking it in a different direciton. Thanks to Scott and Jack for your contributions and starting this thread. I hope my posts have been helpful to others. Good luck to everyone.
WGTrader
In any event, I'm satisified that an ATS (loosely) based Jack and Scott's logic is more than viable. Enough for me to continue the development, although I'm going to be taking it in a different direciton. Thanks to Scott and Jack for your contributions and starting this thread. I hope my posts have been helpful to others. Good luck to everyone.
WGTrader
Attachments
Quote from jack hershey:
As spyder indicated in SCT trading there is no chop. This thread came about from Scott's indest in programming using indicators.
As previously seen in the failure of the SPM mechanical signals generated "chop" was a severe handicap that defeated profitability.
Several kinds of chop are documented by CW PA and CW indicator traders. They have needs to avoid deterioration of their P/L.
Scott and I agreed to shovel some coding into these pot holes for such people.
Spyder is correct on not seeing chop in pool extraction of its applications. It is not there because of the algorithms operating principles.
Chop is there for you and it is possible you do not have the workarounds for chop. Thats how it goes.
We'll see if you have such a workaround in due time..........
Are you guys stuck in a pot hole ?
Or just busy playing whack-a-mole ?
Typical hershey blather.... make some grandiose claims then let the thread slink into the ET abyss. AND later claim the effort was a resounding success!!
LOL
As spyder indicated in SCT trading there is no chop. This thread came about from Scott's indest in programming using indicators.
As previously seen in the failure of the SPM mechanical signals generated "chop" was a severe handicap that defeated profitability.
Several kinds of chop are documented by CW PA and CW indicator traders. They have needs to avoid deterioration of their P/L.
Scott and I agreed to shovel some coding into these pot holes for such people.
Spyder is correct on not seeing chop in pool extraction of its applications. It is not there because of the algorithms operating principles.
Chop is there for you and it is possible you do not have the workarounds for chop. Thats how it goes.
We'll see if you have such a workaround in due time..........
Are you guys stuck in a pot hole ?
Or just busy playing whack-a-mole ?
Typical hershey blather.... make some grandiose claims then let the thread slink into the ET abyss. AND later claim the effort was a resounding success!!
LOL
See green parsing below for an update.
Quote from Index Maximus:
Quote from jack hershey:
As spyder indicated in SCT trading there is no chop. This thread came about from Scott's indest in programming using indicators.
As previously seen in the failure of the SPM mechanical signals generated "chop" was a severe handicap that defeated profitability.
Several kinds of chop are documented by CW PA and CW indicator traders. They have needs to avoid deterioration of their P/L.
Scott and I agreed to shovel some coding into these pot holes for such people.
Spyder is correct on not seeing chop in pool extraction of its applications. It is not there because of the algorithms operating principles.
Chop is there for you and it is possible you do not have the workarounds for chop. Thats how it goes.
We'll see if you have such a workaround in due time..........
This is agreat idea for you take on as a personal task. Go for it
Are you guys stuck in a pot hole ?
The classes that guys fall into are well defined by your update and its quote from me. Speaking only for those doing the ATS's (more than one version has come into being), no. for other guys, my assumption is that there has been no progress for them. How about you?
Or just busy playing whack-a-mole ?
There has been some B team action of late and about 30 people who are doing the journalled trading did meet in NYC and are planning on meeting in vegas in November. No one is collecting pelts that I know of.
Typical hershey blather.... make some grandiose claims then let the thread slink into the ET abyss. AND later claim the effort was a resounding success!!
Several ATS's are making money. I know of none that do not. The channel level is yielding 3 to 7 trades a day; others have posted twice this rate of trading. All of february seems to be making a good data set for going from channel tading to traverse trading to tape trading. It looks like the normal range of trades per day will occur on each of these levels on average. Less for trending days.
Moving the MACD to be a signal generator has finally occurred. four categoies of indicator use are now in play: W for suppression; X for hold; Y for change; and Z for override. Z is used to override W and X. Three independent variables are combined to generate two types of overrides Z-1 and Z-2.
Z-1 is used on a channel level and Z-2 is used on a traverse level.
The circuits for differentiating FBO's (old definition) from BO's is done.
The order of events in cycles down to a fine level has been set up on schematics so this makes it possible to do verification of performance on any fractal in any market with a minimum liquidity.
By using the fractal shift lead/lag relationship it is now possible to introduce "anticipation" fully with regard to the trading fractal.
We are at the point where three things are clear:
1. we know whre we are in the cycle,
2. we know what comes next, and
3 we know how fast things are changing.
These three things comprise a goal of completeness with regard to ATS design.
As you say there is nothing new with respect to how those on th A team are viewed. That is very cool and just as it will always be. Attached is a stale print of a turn whose beginning and end are not believable to the B team for some reason. I've been told the market dropped 700 points since that turn occurred. Pity.
LOL