Frosty's trading bot goes live part 2

Quote from JimmyJam:


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But within the logic being shown, is the way to create a very successful trading model, for whatever type of trader you might be (hint: Osorico has it down pat on the discretionary side).
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What does this mean JJ? I'm taking it as a compliment, but I must tell you that I (generally) do well below average on OneWay days, like today 7/12/07. I need reaction levels in order to recognize sustained moves. One way tapes are abnormal, with or without a logical catalyst. Price action is like music, tension and release. Without both aspects, you get music, not necessarily pleasing to the ear music.

Sorry for the blurb Frost. Just making sure my moniker is used in correct context.

Osorico :)
 
Quote from frostengine:

Brownsfan,

Read my last post. It clearly explains why on the outside today looked like an easy day for trend following, but when you actually try to capitalize on it during the day. It was not so easy....

Granted had I been trading YM or something instead the day would have worked out better.
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My point is that today was a GORGEOUS TREND FOLLOWING day if done properly. B/c the bot could not take advantage of this only proves that it is not a trend following bot at all. That's indifferent, but if you plan to call it trend following and plan to make your payday on trend days, then I would be concerned quite abit.

RARELY does it simply up-trend in a perfectly straight line.
 
Quote from brownsfan019:

My point is that today was a GORGEOUS TREND FOLLOWING day if done properly. B/c the bot could not take advantage of this only proves that it is not a trend following bot at all. That's indifferent, but if you plan to call it trend following and plan to make your payday on trend days, then I would be concerned quite abit.

RARELY does it simply up-trend in a perfectly straight line.
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hi brown. how long have you been developing / running ATSs for?
 
Quote from brownsfan019:

I think it's safe to say that you are NOT trend following. If the bot was, today should have been a major pay day. Today is what a trend following bot should have pounced on.
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Not necessarily. The indicator period(s) that he is using could easily have been out of synch with today's price action, causing the bot's failure to capitalize on what, to the naked eye, appears to be a strongly trending day. In another vein, the bot will sometimes register rather large gains and losses when the underlying index ends up basically unchanged for the day.
 
Quote from walterjennings:

hi brown. how long have you been developing / running ATSs for?
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I trade myself, I don't leave that to a computer program but that's a topic for another discussion. But this thread is sure reaffirming why I would never leave my funds to the mercy of a computer program.

It's hard to say that on a day like today and you are trend following, that you LOSE money. :confused: That's completely contradictory. If anyone thinks that a trending market goes straight up/down, you are sadly mistaken.
 
Quote from brownsfan019:

I trade myself, I don't leave that to a computer program but that's a topic for another discussion. But this thread is sure reaffirming why I would never leave my funds to the mercy of a computer program.

It's hard to say that on a day like today and you are trend following, that you LOSE money. :confused: That's completely contradictory. If anyone thinks that a trending market goes straight up/down, you are sadly mistaken.
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Frosties engine does not always catch these trend days.

It is possible to develop a profitable intra day system that misses these types of days.

Calling such a system a trend following system however is probably not appropriate.

You can develop systems to catch these types of trend day, but the trader may not like the drawdown profile or the win rate may be too low for the traders liking.
 
Quote from frostengine:

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3. shortly after entering this short position the market started rocking up. Was moving fairly quickly upward and by the time the bot realized it was in the wrong direction, it was already down some money....

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I though so, bot doesn't have problem of handle trend or chop day but if market moves fast and steep in 1 direction then it get caught. If any it seem the bot is too human.
 
nkhoi,

You hit it on the head. The bot has a HUGE problem dealing with sudden moving markets. It needs several bars of data before it can realize that something is wrong..... sometimes it is deep in a hole by time it has enough data to make an informed decision.
 
Quote from frostengine:

nkhoi,

You hit it on the head. The bot has a HUGE problem dealing with sudden moving markets. It needs several bars of data before it can realize that something is wrong..... sometimes it is deep in a hole by time it has enough data to make an informed decision.
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were you able to create a profitable equity curve using predefined or trailing stops in your system? or do you find those strategies not producing enough return?
 
Quote from frostengine:

... It needs several bars of data before it can realize that something is wrong.....
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now if you can instruct your bot to treat a single big bar as several smaller bars in the same direction hm...
 
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