Fully Automated Stocks Trading

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crackingmarkets said:
Valery do you trade mean reversion strategies also on Canadian stocks as I understand you are from Canada? I do trade a lot of mean reversion on US market, but the results are +/- zero this year. That is fine with me, but of course I am always looking for ways to make trading better. My studies show that mean reversion on Canadian stocks works much better this year. I published my comparison here: https://crackingmarkets.substack.com/p/swing-mean-reversion-strategies-in It shows that same system/benchmark on S&P/TSX Composite made money. There are higher fees for the canadian markets in IB, but even when acount that, MR strategies seems to do quite good in backtest. And live too, although I currently trade only long side. Do you have experience with this market yourself?
Peter
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Thanks for sharing Peter. A thoughtful analysis. If you did ~0 with MR you did great this year. General market is down ~18%. Capital preservation for the better conditions is the second most important goal after making money. I don't trade Canadian markets. Tested them on the early release of Norgate EOD for Canada and didn't seem appealing. Liquidy is much lower as well.
 
Closed SPY short after-hours. I think it's wise to wait for the news tomorrow AM and see where price takes us on that instrument. Occasionally price will run favourably for a position ahead of news giving a lower risk posture, but that didn't happen here hense stepping out of it.
 
Out of volatility in a pre-market, didn't behave right. Just before the news. More long stocks. Inflation data is much better than everyone expected, we're going up into Christmas. Fed is unlikely suprise anyone tomorrow but will see.

Edit: Got stopped out of short bonds. 95% long equities into this swing.

As you can see, I'm usually out fast if anticipated move doesn't play out. This is very important if picking pivotal points with high R:R. Win rate on entries is very low, but when things start moving it pays off. Notably - win rate on a thematic plays themselves been very high for me, around 90%, but might be in/out a lot building a position.
 
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Almost every day this come to mind, especially when I think of being stubborn with a position:
Now when I decided to sell I plunged. Since we undoubtedly were entering upon a genuine bear market I was sure I should make the biggest killing of my career.

The market went off. Then it came back. It shaded off and then it began to advance steadily. My paper profits vanished and my paper losses grew. One day it looked as if not a bear would be left to tell the tale of the strictly genuine bear market. I couldn't stand the gaff. I covered. It was just as well. If I hadn't I wouldn't have had enough left to buy a postal card. I lost most of my fur, but it was better to live to fight another day.
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And this is a rule to live by trading discretionary:

It was all very well not to lose your bear position in a bear market, but that at all times the tape should be read to determine the propitiousness of the time for operating. If you begin right you will not see your profitable position seriously menaced; and then you will find no trouble in sitting tight.

Done for a day. Will go for a hike now.
 
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ValeryN said:
Had to act very fast around the close on Firday, 3/4 mil$ notional short exposure right now. The stars seems to be aligned for a volatilty spike and mass exit out of equities. Markets don't go up or down in a straight, neither bear markets end with a pretty series of lower lows. Things can go down fast from here. Wouldn't be surpsired to see a gap down on monday ahead of Fed announcements next week.

Someone else's chart but relevant.

A reminder to oneself and others - market will do what it will. But this is what I'm putting my money on.

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Good SPY downtrend with mo lines + trend line;
200 dma is still a signal on downtrend......................................................
Saint Nick rally still could happen, but not likely with 2 hours into FRI + down bound again:caution::caution:[Edit=strange year DIA almost never beats SPY,YTD;
DIA making higher lows on weekly candles]
 
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