Gem’s bot

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gem333

I have been reading the threads in this forum with great interest since for the last three of my eighteen years of trading I have spent developing Automatic Trading Systems.

Currently I am in the last stages of development of a system that Automatically creates entries and exits for ES, ER, YM and NQ.

The method I use is to apply various well know indicators like MACD, RSI, CCI, Stoch etc plus a few of my own and to combine their values with dynamically variable weighting factors so that they are applied one step before they are utilized by other market players.

The charts that I use are with various time, volume and tick frames while weighting is done by taking into consideration the Time and Sales ticks. The number of charts per instrument is close to 50 so in order to make any sense out of them I export the output data from them with DDE to an Excel spreadsheet where I run an algorithm using VBA.

The backbone of the system is a measure of the Market Strength plus an estimate of what I consider to be a Recent Fair Value for each instrument.

The computation cycle is repeated every 5 seconds and I produce a scrolling Excel spreadsheet that records and timestamps all data every 5 secs giving out entries and exits where necessary.

For each trade I produce a maximum of three entries and they are recorded when filled.

From real time real money experience of the system I know that ER is producing the best of the four instruments ratio of gains to drawdown. So it is my intention with the start of the New Year to post daily all trades taken for ER for your scrutiny and comments.

If there is a way, and I am open to all suggestions, I could even do postings at frequent intervals during market hours or even go live within this forum.

My objectives in opening up this thread are threefold:

1. Since this forum has more experienced traders than myself their comments and constructive criticism will help me improve the system.
2. Currently I am trading the system by manually clicking entries and exits but I am searching for the most suitable platform to Automate orders using Excel VBA as the origin of the decision making process.
3. Finally to get some assistance in trade management with stop loss, profit taking, trailing and bracket trading ideas, which I will incorporate in the system.

So please bear with me, see the data that I will post and kindly comment on it.

Wishing all a Happy, Healthy and Prosperous New Year
 
The Automatic Trading System collects data every 5 seconds for each of the following instruments, ES, ER, YM and NQ.

I am submitting today’ s data for all four, but since ER seems to be performing better that the others, lets concentrate our discussions on ER.

There are only two new terms that I use liberally to describe certain properties of the market. One is the Market Strength (MS) and the other is Recent Fair Value (RFV).

MS measures how strong or weak the market for each instrument is. Positive values indicate long situations and negative values shorts. There is no upper or lower limit on its value and numbers between –100 to +100 or smaller indicate a relatively trend less market while outside those numbers the market has clearly defined trends. Sometimes during a week those numbers exceed values of –1000 or +1000 and have been seen to be double that on rare occasions.

RFV is just a calculated value from recent price history that the system would have expected the market to have. It is used to highlight spikes in the market and produce secondary trades, which we will be discussing later on, once major trades are clarified.

Each major trade, long or short, is divided in three entries and when the system produces them they are time stamped. When they are filled they are also time stamped and are underlined. All entries are inserted one at a time as limit orders and they are seldom at the bid or ask level. However exits are either market or at the bid or ask level and may be of any number up to 3.

There is a summary of all entries, fills and exits for easy study in the last 4 sheets of the Excel worksheet that I attach.

I know that there are items I did not cover in this brief presentation and will respond to all questions posted in this forum before market open tomorrow.

Thanks in advance for your attention.
 

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What data feed are you using? 50 charts per instrument seems like it is a lot of calculations, but I guess that is why you use a bot. But it seems like you would have a time lag between exporting raw datafeed into your vb, then having it crunch the numbers, and then exporting into your spreadsheet before it spits out a number to make a decision.

Don't get me wrong, I'm mighty impressed with your bot at its current state, and I think most of the hard work has already been done. You are basically tying up the loose ends.
 
Quote from JB3:

What data feed are you using? 50 charts per instrument seems like it is a lot of calculations, but I guess that is why you use a bot. But it seems like you would have a time lag between exporting raw datafeed into your vb, then having it crunch the numbers, and then exporting into your spreadsheet before it spits out a number to make a decision.

Don't get me wrong, I'm mighty impressed with your bot at its current state, and I think most of the hard work has already been done. You are basically tying up the loose ends.
More...

I am using eSignal for data feed and I export results with DDE to Excel. You are right, the bot was required to process the numbers, since they are far too many for me to comprehend and react in a short period of time.

The complete cycle takes less than 1 second so there is no real delay to talk about under normal market conditions. Sometimes with news, and it happens 2 to 3 times per month only, when eSignal stalls for a minute or so there is some delay. During these periods the system works and produces huge spikes since eSignal Data Manager does not stall, only the indicators in eSignal stall, that they can turn to quite profitable secondary trades.

Constructive criticism is one of the main reasons that I am in this forum. Thanks.
 
An interesting day, with a lousy start that soon compensated and gave one of the better trades starting around 10:17 EST.

Overall a day with a little above average performance.
 

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We had another day with above average performance for ER. The max profit registered for ER was +$1,785 and maximum drawdown was -$245, while for the four instruments combined together the corresponding numbers are +$3,255 and -$353

For those of you who are downloading the spreadsheet, it will be quite instructive if you check your actual real time real money trades against the system trades. Will gladly discuss any points you may wish to raise.

Sometime this month the spreadsheet data will be shown live in the internet, although a small part of it is already shown. googling emini es er will lead you to various systems that cover these instruments and you can compare their relative value.
 

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Quote from gem333:

1. Since this forum has more experienced traders than myself their comments and constructive criticism will help me improve the system.
2. Currently I am trading the system by manually clicking entries and exits but I am searching for the most suitable platform to Automate orders using Excel VBA as the origin of the decision making process.
3. Finally to get some assistance in trade management with stop loss, profit taking, trailing and bracket trading ideas, which I will incorporate in the system.
More...

Get to know these people: http://www.ninjatrader.com/web/index.htm , they just came out with a Version 6 of their well-known software which will take care of all of the automated entries and money management for you. While the software is not for everyone, I like it.

The version 6 is new and currently in Beta Testing, so maybe you can get on board with your system.

Good Trading,

JJ
 
Quote from jtnet:

how are your trades determined
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In the most basic concept of his system, he determines the dominant trend of the market and then only enters trades in that direction.

The tools he uses to enter his trades are an amalgam of different cycling indicators, with some type of leading indicator based on oh, I wouldn't hazard a guess. :p

Simple, but brilliant.

The thing is the system will tend to enter a whole lotta trades since it is processing information at such a high interval (every few seconds or so), so it's crucial to keep brokerage costs down to a minimum.

You might want to test the different time intervals you use to calculate all of your parameters to determine what is the best combination of (trades entered/profit gained/risk management) to use.

Also, if you pay close attention to WHEN profits are gained you will no doubt be able to determine the optimal times which your system should trade (and give it a time check filter).

It's been a delight spending the last few days processing your data, hope the information I shared with you will assist you in your desire to develop a totally automated system (which would still requiring monitoring, regardless of the level of proficiency you acquire in automation).

Best Regards,

Jimmy Jam
 
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