Gem’s bot

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I am in touch with Ninja Trader since it is one of the few platforms that can receive orders from Excel VBA. They told me that even with nt6, which is going to be released in February they will offer limited support on VBA and they suggested using Ninja Script instead. I do see their point since there is very little demand for what I am working with. Anyway I have started working with auto entries to Ninja Trader platform and hopefully in a few weeks after the new release I will be able to fully implement it.

Currently the data that I produce is raw material without any trade management being applied to. Since I do trade with real money, I apply some primitive trade management, like setting fixed stop loss entries simultaneously with my entries, as well as taking part profits on the first entry trades only. With ES, where my practical experience is more than 3 years now, these values are 8 ticks fixed stop loss for each entry price and part profit of 50% of first entry at 4 ticks and the other 50% of the first entry at 8 ticks. All other entries are exited when the system indicates to do so. With ER where my experience is limited to around 3 months, the corresponding numbers that I use now are 15 ticks for stop loss and 10 and 20 ticks for part profit of the first entry. These numbers are really based on gut feelings, although seeing the bot making more money than me in certain days I am inclined to let it work with only some extreme stop loss entries that I would call “disaster preventing stop loss entries” that may be twice as much as the above.

I am pleased to see that JimmyJam has already a good understanding of what I actually do and hope that more readers will grasp the essence of my work.
The system I developed and show here is a trend following system for intraday trading only. Indeed the amalgam of the indicators and the dynamically variable weighting method is the basis of all my work. It was designed to be as simple as possible in appearance since with 5 seconds refresh rate you do not have the time to think much. Whether it is brilliant or not only time will tell. The encouraging aspect is that already some important market players are monitoring my system live online.

The number of trades produced is indeed high, close to 20 per instrument per day and with up to 3 entries per trade I am sure this is a brokers dream. However with $5 r/t commissions that I use for estimating p/l there is far more money to be made by the trader than what the broker would ever dream. Unless if he starts trading too…lol…

The points that JimmyJam is highlighting are food for thought for me and will be the basis of more tedious experimental work that is continuously been carried out. The days that my system will run without monitoring are nowhere near, but it is a dream that fuels my quest to utopia.
 
It makes money, doesn't require curve fitting (adapts to the market based on those 5 second data filters) and not only is (relatively) easily automated, but actually it works better under those conditions.

Oh yeah, it's pretty sharp.
***
I knew you were going to arrive at this place eventually, just didn't know you'd get here so quickly.

Six months getting C++ or C# under your belt and you're pretty much home free.

Think of it as the last 3 miles of the marathon that you've already been running .. and you're almost at the finish line.

Good trading on Monday, keep up posted.

Best Regards,

JJ
 
Quote from gem333:


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.
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I am intrigued - how & why does the system expect the market to have traded at a price other than the one it actually did trade at?

Thanks for your time BTW.
Tetramorium.
 
As to how and why the system expects the market to have a certain value at each point in time it is only normal to do so when you run a system with the objective of producing entries that you expect to lead to profits. You need to have a starting point.

Although RFV is not a Moving Average of any sort, it would be helpful to consider it as such, in order to relate to the thinking behind it. It is used to produce the entry prices for the major trades, together with the last price by applying a simple formula.

RFV is also used to produce secondary trades, which are scalping in nature, either going along with the main trend or contrary to it, every time a spike of more than 4 ticks is produced during fast market actions.

We will have plenty of time to discuss secondary trades, although experienced traders can spot them right away once they see in detail the Difference Column with the color coding and the single and double underline of the Last Column when a spike is produced.
 
Quote from gem333:

As to how and why the system expects the market to have a certain value at each point in time it is only normal to do so when you run a system with the objective of producing entries that you expect to lead to profits. You need to have a starting point.
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Thanks for the reply.

Isn't a price that's "expected" by a system usually at some future point in time? If I read your .xls correctly though you're comparing current/recent price with a value your system has calculated. Or have I misunderstood?
 
As mentioned you may think of RFV as a Moving Average. It does not matter what tag I put into this particular number, the way I use it is of crucial importance.

You are correct in your understanding of the spreadsheet. At any instance there is the classic last price plus another system generated number that is used to define entry prices and to initiate secondary trades.
 
Another day that ER produced better results than the other instruments.

Will be pleased to discuss anything regarding the system and will listen to all suggestions for improvement.
 

Attachments

Today we had an average day with the system ending up on the positive side and again ER outperforming the other instruments.

Here is today’s data.
 

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Gem,

Interesting system. I'm a bit perplexed on where your exits are listed on your excel spreadsheets for the ER. I see the long and short entries (along with times & prices), but I don't see the requisite exit times and prices. Am I overlooking them?
 
You are absolutely right in your observations. The exits prices are not shown in the excel sheet. The exit times are shown, but in an unconventional way, as the time when an entry is removed by the system.

The entry prices are usually a few ticks away from bid/ask levels and are well documented as well as time stamped both for the time they occur and when they get filled.

The reason that exit prices are not shown at present is that they are supposed to be market prices or at the bid/ask so that they have to be executed immediately. If I was to assume that they were executed at a certain price level and proceeded to calculate a trade profit/loss number, then the whole system would boil down to an exercise that would resemble paper trading, something that I am not happy to be associated with.

Since I do work currently on automatic entries from Excel VBA to Ninja and once this is accomplished I will be able to publish actual numbers, please bear with me until such time that I can produce actual performance. By the way if someone can share their experience in this field with links or otherwise, it will be highly appreciated.

I must point out that what we see here, as a static end of day result, is an ongoing live experiment that is being carried out online in view of more than 50 people on a daily basis. However I refrain from posting the area where it takes place since I did not have time yet to ask the forum moderator for such a permission although there are no commercial links or interests and the relevant site is free of any ads for the last ten years…
 
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