I have traded going on 8 years and still disagree that you will not see trend days become more common. The market is designed to f$ck the most people all of the time. That is why the majority of the time is spent chopping and back filling during moves. I have never been a fan of automated systems simply because as a human you have to adapt to change to succeed in the market, which means you have to constantly alter the parameters of the program as conditions change. Over the short term computers may be more efficient than humans in trading but they are only as smart as the person that wrote the program.
Frosty's auto-trading bot goes live with REAL money
- Thread starter frostengine
- Start date
I have traded going on 8 years and still disagree that you will not see trend days become more common. The market is designed to f$ck the most people all of the time. That is why the majority of the time is spent chopping and back filling during moves. I have never been a fan of automated systems simply because as a human you have to adapt to change to succeed in the market, which means you have to constantly alter the parameters of the program as conditions change. Over the short term computers may be more efficient than humans in trading but they are only as smart as the person that wrote the program.
Hi Frosty, I noticed on your first day, Nov 14, that you had a good day. That day was also a trend day for the most part but it was an uptrend that day and it started at 10:30 after the mkt gapped up at first and traded down to unch before the steady rally began. To what do you attrinute the big difference in performance between that day and today?
Elated,
The #1 difference between that day and today is when the trending began. My system is designed not to take ANY trades before 9:00 central time. Therefore by time my system was ready to make a trade today the market had already made a huge part of its move.. and as for as my system was concerned it was possibly about to start a lunch trend upwards to pare some of those losses the market experienced... little did my system know at the time another big selling wave was around the corner instead...
The 14th when the system went live the big trend started later in the day after which time my system was allowed to start trading so it was able to get in on the move at the right time.
Another similiarity between the two days is on the 14th the market opened fairly weak and was trending down... then it started to turn and create a lunch period trend moving upwards.. that is when my system jumped on.. granted that day was not nearly as weak at the time but was very weak compared to the days before...
So key points:
-14th trend started after 9 central and went reverse the early morning trend
-today the trend went strong BEFORE 9 central and did not reverse the early morning trend
That is exactly why today the system lost money.. it happens
The #1 difference between that day and today is when the trending began. My system is designed not to take ANY trades before 9:00 central time. Therefore by time my system was ready to make a trade today the market had already made a huge part of its move.. and as for as my system was concerned it was possibly about to start a lunch trend upwards to pare some of those losses the market experienced... little did my system know at the time another big selling wave was around the corner instead...
The 14th when the system went live the big trend started later in the day after which time my system was allowed to start trading so it was able to get in on the move at the right time.
Another similiarity between the two days is on the 14th the market opened fairly weak and was trending down... then it started to turn and create a lunch period trend moving upwards.. that is when my system jumped on.. granted that day was not nearly as weak at the time but was very weak compared to the days before...
So key points:
-14th trend started after 9 central and went reverse the early morning trend
-today the trend went strong BEFORE 9 central and did not reverse the early morning trend
That is exactly why today the system lost money.. it happens
I want some opions on two strategies. The .jpg attached to this message is my current strategy.
This second strategy uses some market internals that I can only get from my captured data therefore both of these PL screenshots are taken using ONLY my captured data.
Another thing to note, is if you look at the current strategy's PL chart you will notice that nothing that has happened is out of the ordinary its just normal business for this strategy at least in this captured data here.
The post I will make following this one with the new method's pl uses some market internals to help filter trades. Both strategies reach about the same PL in the given time frame but the risk/reward and expectancy is MUCH better in this second strategy... I just want to get some feedback and opions on which strategy someone would prefer to trade based SOLEY on the PL chart... granted this second strategy is only 160 trades and therefore INSIGNIFICANT.. but I cant test further back and if this strategy is better it would suck to wait several years while I gather the data when I could have been trading it.....
Anyway just looking for comments based on these two charts.... even if those comments say both PL charts SUCK and to not trade either method
EDIT: Looks like when I converted this one to .jpg it lost some precision and makes it a little hard to see... hope everyone can see it fine
This second strategy uses some market internals that I can only get from my captured data therefore both of these PL screenshots are taken using ONLY my captured data.
Another thing to note, is if you look at the current strategy's PL chart you will notice that nothing that has happened is out of the ordinary its just normal business for this strategy at least in this captured data here.
The post I will make following this one with the new method's pl uses some market internals to help filter trades. Both strategies reach about the same PL in the given time frame but the risk/reward and expectancy is MUCH better in this second strategy... I just want to get some feedback and opions on which strategy someone would prefer to trade based SOLEY on the PL chart... granted this second strategy is only 160 trades and therefore INSIGNIFICANT.. but I cant test further back and if this strategy is better it would suck to wait several years while I gather the data when I could have been trading it.....
Anyway just looking for comments based on these two charts.... even if those comments say both PL charts SUCK and to not trade either method
EDIT: Looks like when I converted this one to .jpg it lost some precision and makes it a little hard to see... hope everyone can see it fine
Here is strategy number 2...
they both look impressive. neither suck. it looks like you have a winner on your hands. definate nice returns for 3 months. what is your used margin per trade? im curious what % you made on used capital over the time. also is it possible to overlay the two methods on a single graph so they are easier to compare? I notice the timeline of the second graph is different from the first.
The timelines are different because the first strategy made around 260 trades, while the second only made 160 trades if I remember correctly.. The timeline at the bottom of the chart is showing trade by trade.. both Pl charts are showing the exact same days however...
The pl charts was generated trading only 1 ER2 contract the whole time and never increasing size. So therefore the margin used was always whatever IB charges, somewhere around 3k....
Also may be worth noting that when I run the same strategies on both the ES and YM over the same time period method 2 maintains an edge in risk and expectancy per trade...... it really sucks not being able to test it longer term however.. I am fairly tempted to switch to it in the short run and bail as soon as its equity curve begins to substantially deviate from the past.... Its easy to generate the PL chart after each trading day so shouldn't be too hard to spot any major shifts
The pl charts was generated trading only 1 ER2 contract the whole time and never increasing size. So therefore the margin used was always whatever IB charges, somewhere around 3k....
Also may be worth noting that when I run the same strategies on both the ES and YM over the same time period method 2 maintains an edge in risk and expectancy per trade...... it really sucks not being able to test it longer term however.. I am fairly tempted to switch to it in the short run and bail as soon as its equity curve begins to substantially deviate from the past.... Its easy to generate the PL chart after each trading day so shouldn't be too hard to spot any major shifts
3k... so 400% profit over 3 months...... congratz you are out performing most major hedgefunds
Do I read it right: your P&L over the 260 trades is $11,500. That's about $44 per trade. The contract is ER2, so it looks like your average trade captures 0.44 contract points. What does your backtest assume for spread, slippage, and comissions? I don't trade ER2, but it looks from my quotes that you can lose the entire average trade profit on just the bid/ask spread in a single round turn.
I'd also note to the folks who are too excited about these results that a "buy-and-hold" would make about $7200 over the same test period, using the same single contract.
In my opinion, anything less than 10 years of backtesting is not worth much.
All sells are placed at the bid and all buys are placed at the ask.. so therefore the bid/ask spread is already factored in to what you are seeing. Secondly commisions are already factored in as well...
I am not concerned with any slippage. This data has been captured through my application and for the vast majority of the time it was capturing this data it had been running this strategy on IB's demo and the total results on the demo account at the end of the day was generally a few ticks in my favor compared to the backtesting estimation of the same day afterwards...
Also its worth noting that since I have gone live the actual results have stayed a few ticks each day above the backtested results for that day.. so I am not concerned with my slipage estimation at all and in fact it seems to be going in my direction
I am not concerned with any slippage. This data has been captured through my application and for the vast majority of the time it was capturing this data it had been running this strategy on IB's demo and the total results on the demo account at the end of the day was generally a few ticks in my favor compared to the backtesting estimation of the same day afterwards...
Also its worth noting that since I have gone live the actual results have stayed a few ticks each day above the backtested results for that day.. so I am not concerned with my slipage estimation at all and in fact it seems to be going in my direction