Frosty's Autotrading Equities Journal

Quote from frostengine:

I generally trade with market orders in my automated system... This removes some of the missed trades you hit on.. but introduces more slippage... which sort of evens out....

However, there is more to missing trades than fills when comparing historical data to real time trading.... I can deal with missed fills... can be compensated much the way you have...

The problem is missed SIGNAL generation. This can occur from MANY sources. For instance... lets assume you buy 5 years worth of futures data from a high quality vendor.. So your data is very accurate.... very little bad ticks.. etc... You develop your strategy on this data.. Now you go live using say IB (IB is who I use)...

Well IB's data is not pristine like the data you purchased.. these VERY VERY subtle differences in the two data sets creates HUGE differences in what your automated strategy sees... If your trading using indicator values such as when indicator x > y... etc... you will run into problems.. These subtle data differences can cause indicator x to vary several percent. So with one set of data it took the entry or the exit there... but in the other it did not... You wouldn't believe how different the traders were when I compared data I captured live with IB to data I bought after the fact... It was nigh and day.. you would have thought I was trading 2 completely different strategies...

I noticed this even running 2 separate computers collecting data on 2 separate IB accounts. There was a very wide variation in results...

If I was ever to "backtest" again I would never do it on purchased data.... Backtesting on data I collected myself has "some" merit though. But purchased data is near USELESS in my opinion... So many things affect that data versus what you will collect on YOUR computer and YOUR network connection and YOUR platform...

Don't even start thinking about trading on a "time based bar" strategy using purchased data.. small delays.... time difference on your machine... the time of the day you start collecting data.. SO much stuff affects what that bar actually looks like and even the smallest changes affects what your strategy sees for indicator values...
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One way around this is to use the same data feed for historical data (backtesting) and live data (execution). So far, I have found no one who offers better historical data than tradestation. At the same time, you can use a bridge to execute strategy code in IB. I use ninjatrader.

The work I'm doing right now is to migrate by strategy code from tradestation to ninjascript, and move to zen-fire live data feed. I heard Zen-fire is completely unfiltered, and tick-for-tick matches the OHLC bars that I backtest with in tradestation. This way I can isolate my execution platform to just ninjatrader, while remaining confident that the signals the TS model generates will be identical to the orders issued through ninjascript.

The worst possible thing you can do is use IB as a datafeed. At the least, it should only be used as a backup feed (nice option when you're using ninjatrader).

If the feed quality is the primary issue you were struggling with in your futures trading, I encourage you not to abandon the effort and consider the suggestions I've posted here.

rt
 
Bad morning so far.. currently down -$58.. Which if you have looked at the market today you would understand why considering this is a long only strategy. I do believe my new exits have actually helped keep the losses lower than they otherwise would have been. Will replay the day without the trailing stops this afternoon to verify that claim...
 
Horrible day: -$141.91 on 667 shares

Obviously the strategy should not have been trading much today given the prevailing market conditions. However, it did. Which means I need to figure out a way to make the code realize not the best day to be taking any long trades.

Something I will need to look over. Perhaps using TICK and AD in my decision making as ways to know not to attempt any trades.

The loss today definitely stings and sets me back a bit.. Not one trade it took today was a winner
 
How about only going long on green? I mean only go long when the S&P is above it's previous close? It's abviously going to cut a lot of trades.
 
Quote from total_keops:

How about only going long on green? I mean only go long when the S&P is above it's previous close? It's abviously going to cut a lot of trades.
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I thought about doing that, but your right it would remove a lot of trades. Good trades can happen on down days though... seems like too strict of a filter..
 
I reran market replay of today with the trailing stops disabled and it looks like the strategy would have only lost -$136

So really not much of a difference with the trailing stops. The main benefit of the trailing stops comes when there is a profit to protect. Since no trades won today, wasn't much profit to actually protect.
 
I believe I might have just had an epiphany of sorts. Its something that has plagued both my discretionary and automated systems over the years.

"The need for action"

I have too much of a gamblers mindset. I don't want to fold, I want to be in on every hand. There are some very obvious and easy filters to keep me out of days like today. In the past I have been very reluctant to use them. Primarily because I wanted action everyday.. better than that.. I wanted action several times a day if possible. I like the rush...

I have always been hesitant to remove filters that prevent days like this because of the fear of missing a massive move. There have been so many times where big home runs have come out of days like this... where all of a sudden the market does a 180 and runs producing massive wins. However, those wins are a gamble. Yes moves like that may happen but more often than not they wont. Why risk losing money just to score the big one when I can sit back and only take trades when things are favorable..

I have to decide what is more important to me. Getting the rush of playing every hand, or making money and possibly missing out on some amazing 180 moves. For the first time I think I am answering "make money".

PS... Hopefully someone is getting some enjoyment out of this thread.. some use. I know for me its being very therapeutic.
 
Frostie, great journal !!!

When you look at the 12 stocks you're trading, what's the lowest average volume (3m) and the typical average volume of these stocks?

Does your strategy potentially execute trades from 9.30 - 4 eastern or do you limit the entry execution window to something like 10-3.30?

What's your typical slippage?

When you're trading 600 shares to make or lose 140 bucks (that's about 23 cents move), is that on a 10$ or a 50$ stock?

Good luck with your development
 
Quote from frostengine:

I have always been hesitant to remove filters that prevent days like this because of the fear of missing a massive move. There have been so many times where big home runs have come out of days like this... where all of a sudden the market does a 180 and runs producing massive wins.
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And think of all the moves that happen in other stocks? Why dont you also want that action, how about the Forex at night? lol
Markets where there before you and they will stay when you will be gone. Everyday we miss a lot of action whathever.
It took me some time to understand that it is better not to take every trade, not trading everyday. It's ok to take a day off.
But for sure, you need to feed that rush, or to change yourself. It's a choice. I prefer myself to feed the need. You could have more than one system, on more than one time frame, on different markets... get yourself busy. It's not good for your health though.
And why that no shorting idea in the first place?
 
Quote from frostengine:

"The need for action"

I have too much of a gamblers mindset. I don't want to fold, I want to be in on every hand.

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in poker a player that needs action, i.e. wants to be in every hand will always be doomed because in any zero sum game the only way to come up ahead is by ONLY playing it when the hand is favorable.

in trading, in broad terms we can say that the more you trade the more you lose, as slippage and commissions will suck any EVENTUAL edge that you have and turn it into a negative sum.

hence, there is no big difference in both games. the edge is not in how many profitable trades you entered but rather how many "would be" loser trades you AVOIDED.

grasping this concept might be achilles heel for many. trading is, after all, the ability to avoid losing trades rather than anything else. from a statistical standpoint, an AVOIDED losing trade has much more impact in the long run than an identical TAKEN winning trade. hence, in a zero sum game, LESS IS MORE.
 
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