Fully Automated Stocks Trading

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I also use Norgate Data EOD, woo! AmiBroker user here.

I've read Laurens Bensdorp's books, didn't really learn anything new, tested all the strategies in them and saw some pretty poor results, much inferior to what was published in the book at least. Any more suggestions on resources where I can find some ideas for more edge?

Thanks!
 
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meatyoaker said:
I also use Norgate Data EOD, woo! AmiBroker user here.

I've read Laurens Bensdorp's books, didn't really learn anything new, tested all the strategies in them and saw some pretty poor results, much inferior to what was published in the book at least. Any more suggestions on resources where I can find some ideas for more edge?

Thanks!
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Since I don't know your background I will answer in a bit general sense.

I've read hundreds and there is no single one where I would take a strategy from and start trading it. At some point I just started feeling that I reached the end of the universe when it comes to yet another strategy or a method and the only way forward is going in depth to what (a) felt right from my personal experience (b) looked most promising (c) was fitting my constraints / preferences.

If I would start again, books of Howard Bandy and Laurens Bensdorp would be good starting points to start going in depth with systematic EOD strategies for equities.

If I would not know anything about trading and would want to get a complete systematic method I would probably look into Rob's (@globalarbtrader) books on Futures Trading. He has journal here.

If I would not know anything about trading but would want to shoot for being next Livermore then I'd become a disciple of Quallamaggie.

There is couple of traders I've met over the years who I am quite confident are real profitable traders, and offer coaching with a starter strategies, but I did not take that path myself and that is kinda out of scope of original question.

For more experienced traders who already have something they are comfortable trading it is kinda never ending learning journey, typically accelerated by prolonged periods of DD or gradual loss of edge for their preferred method. You just have to keep investing into reading new stuff. Journals, books, posts etc. These days I'd never expect usable system from any of those, but there are building blocks that are occasionally useful.

Val
 
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ValeryN said:
I've read hundreds and there is no single one where I would take a strategy from and start trading it. At some point I just started feeling that I reached the end of the universe when it comes to yet another strategy or a method and the only way forward is going in depth to what (a) felt right from my personal experience (b) looked most promising (c) was fitting my constraints / preferences.

If I would start again, books of Howard Bandy and Laurens Bensdorp would be good starting points to start going in depth with systematic EOD strategies for equities.
Val
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Out of the hundreds I've read as well, I actually haven't checked out Howard Bandy's stuff, so I'll give it a go. I just got some Perry Kaufman books as well. I've already read Rob Carver and Andreas Clenow.

And yes, I wouldn't take any strategy directly out of a book either. I was just mentioning how poorly those seemed to test when I tried to replicate them. But I'm always reading books to try to spark new ideas and inspiration because I've mostly ran out of ideas of my own and my creativity is limited, haha.

I very much appreciate the suggestions. Thank you friend!
 
Gonna give RealTest a shot this weekend. :) I've been saying that for months actually, but writing it down here for some accountability haha. I haven't been able to find any new edges in a while, so I might as well play around with some new software to see if I like it better. Would be glad if I can ditch AmiBroker's CBT lol.
 
meatyoaker said:
Gonna give RealTest a shot this weekend. :) I've been saying that for months actually, but writing it down here for some accountability haha. I haven't been able to find any new edges in a while, so I might as well play around with some new software to see if I like it better. Would be glad if I can ditch AmiBroker's CBT lol.
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If you wanna be accountable - post your findings after the weekend! :)

When I migrated all my code from AB to RealTest it became so easy/safe to test ideas that I even coded couple in a response to somebody asking a question on ET. Which I would never do with AB, too time consuming and error prone there. @mhparker did a great job anticipating where people typically make mistakes and kept things pretty simple. Marsten also done trading long enough so if something is missing in RealTest it might not be the kinda thing you really need.
 
meatyoaker said:
Gonna give RealTest a shot this weekend. :) I've been saying that for months actually, but writing it down here for some accountability haha. I haven't been able to find any new edges in a while, so I might as well play around with some new software to see if I like it better. Would be glad if I can ditch AmiBroker's CBT lol.
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Hi Meatyoaker..I took the plunge a month or so ago and have switched half my systems over to RealTest so far...well worth the effort imho... I have also enjoyed the structure or framework provided by the software but for me the real gold is the synergy created by the assistance mhp provides on a daily basis to any queries or problems people encounter
 
Yeah baby yeah! I'm gonna be the next Bill Hwang! BIG leverage!

In all seriousness, was able to play with it this Friday night, and I like it a lot. I looked at a few examples and instantly knew how to at least get started and make an attempt. My day trade stuff plugged right in, and close enough to AmiBroker I guess with a lot less code. I also like how convenient is to throw everything in one file and see how they look together.

On the other hand. I run shorts on "all equities" (Norgate Data shows 21.8k securities when I check the watchlist), but when I try to load them it blows up on me and tells me I'm low on memory. I haven't gotten any of my longer-term stuff to work yet e.g. trailing stops, holding for a few days, excess signals. I'm getting weird results with those very different from AmiBroker, but it's only been a few hours lol, so I'll have to learn more and figure it out.

Overall, very impressed!
 

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Hi y’all,

can you help to figure what kind of historical volatility is used in system 4 of the book “ Automated Stock Trading System” ? Is it 100 day or 63 days? Is it annualized?
Thanks!
 
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