Has anybody ever had a consistently profitable algorithm automated?

[schemer]

Quote from pmg:

Hi guys,

...

I am now using tradestation and have been designing all kinds of simple trading systems in Easylanguage, which are all based on indicators, some very simple, others more complex. I have tried trend following, break-outs and purely indicator based systems.

...

My advice, step away from the indicators! Forgot any technical analysis crap.

I assume you are programmer and have some knowledge of simple statistics. Watch the market in real-time for a week, take notes. What do see? Any abnormalities? Anything strange? Try to use probability and statistics to see what is normal and expected. Be creative. You need to step out of the box. Use your programming skills to scan the market and look at lots of data.

It's not easy, but possible. And don't think that you will find one holy grail strategy. You have to be dynamic.

 

[bwolinsky]

Quote from futurecurrents:

Impressive, but how do you deal with 30% drawdowns? Especially when that means watching 150 G go bye-bye? Is that your actual ?

I'm an interested party to this discussion for sure. I'm about to go live with mine.

I know the answer is yes, but I'm at the point now that it doesn't matter until I do it myself. I expect to. And without 30% drawdowns I hope !

We've projected at least a 50-200% APR with up to 40% drawdown. The APR of the backtest when you include my pairs trading arbitrage method is 985% with 39% drawdown.

I deal with those drawdowns knowing everything is risk capital.

 

[NY0BScalper]

I've done it. It took the following:

I already had a strategy that worked manually. I saw that automating would allow it to trade on more stocks simultaneously and be significantly quicker to react to certain situations.

About two months of development time. It took nearly 50 builds before we had perfected it (perfect being 97% working how I wanted it to, lol). Probably around build 35 before I could trust it to do its job and build 45 before I could leave it unattended.

It had to be custom written, and I had to find a programmer to work with me. He had to build it from the ground up in VB.net.

It did not have any of the following:

There was no usage of technical analysis.

There was no usage of indicators.

There was no usage of back-testing. I knew the strategy would be profitable until a certain change in the market occurred. When said change did occur, I knew to stop the system and not give up money.

------------

I am not saying my way is the best way, etc. It was just the best way to accomplish the automation of a system/method I was already using manually.

I'm sure it's been done, but I haven't met anyone who had a profitable system built in Trade Station. I've never met any trader who had consistent profitability based on indicators. I've backtested every indicator combination, in my early days in the market, and there was nothing even resembling an edge (in 2006, anyway). I highly doubt that what failed miserably back then will magically work now.

Good luck!

 

[Kevin Schmit]

Quote from bwolinsky:

We've projected at least a 50-200% APR with up to 40% drawdown. The APR of the backtest when you include my pairs trading arbitrage method is 985% with 39% drawdown.

If your models perform so well, why is your Covestor account down 12.6% since inception (May 2011)?

 

[bwolinsky]

Quote from Kevin Schmit:

If your models perform so well, why is your Covestor account down 12.6% since inception (May 2011)?

The model as it stands was developed 3 trades ago. There isn't enough out of sample data yet.

And, BTW, the model I was referring to is what I'm using for the World Cup Trading Championships, ie:futures trades, not ETFs. The pairs system trading SQQQ has a 35% drawdown and between 100-250% APR.

 

[bwolinsky]

Quote from NY0BScalper:

I've done it. It took the following:

I already had a strategy that worked manually. I saw that automating would allow it to trade on more stocks simultaneously and be significantly quicker to react to certain situations.

About two months of development time. It took nearly 50 builds before we had perfected it (perfect being 97% working how I wanted it to, lol). Probably around build 35 before I could trust it to do its job and build 45 before I could leave it unattended.

It had to be custom written, and I had to find a programmer to work with me. He had to build it from the ground up in VB.net.

It did not have any of the following:

There was no usage of technical analysis.

There was no usage of indicators.

There was no usage of back-testing. I knew the strategy would be profitable until a certain change in the market occurred. When said change did occur, I knew to stop the system and not give up money.

------------

I am not saying my way is the best way, etc. It was just the best way to accomplish the automation of a system/method I was already using manually.

I'm sure it's been done, but I haven't met anyone who had a profitable system built in Trade Station. I've never met any trader who had consistent profitability based on indicators. I've backtested every indicator combination, in my early days in the market, and there was nothing even resembling an edge (in 2006, anyway). I highly doubt that what failed miserably back then will magically work now.

Good luck!

Nothing that can be coded and look at price and price only can ever be considered not to be technical analysis. This is a ploy to convince the duped that they are not using a buzz word with such negative connotation that whenever I hear you've coded something in easylanguage, no matter if it uses indicators or not, it's still TA. With a portfolio optimization then you might stretch and call it quantitative analysis but it's still TA, so just relax about that. Using pre-built indicators is not a condition of TA, but it is a condition for any model that looks at price or volume inputs and waits until it has its magic number to fire a trade.

You can admit your program is only analyzing pricing chart history and realize you're still doing technical analysis or persist as smurf continues to do that you're not using TA when TA is, by definition, any algorithm or method you use that takes price and maybe volume as its input, then predicts a market move by placing a trade for you.

You don't have to tell us you're not doing TA because you are. No matter what happens from this point forward please realize that just because you're not using indicators does not mean you are not using TA, because indeed you are, and it doesn't matter if you coded it custom or not. It's still considered Technical Analysis.

 

[Kohanz]

Quote from bwolinsky:

Nothing that can be coded and look at price and price only can ever be considered not to be technical analysis. This is a ploy to convince the duped that they are not using a buzz word with such negative connotation that whenever I hear you've coded something in easylanguage, no matter if it uses indicators or not, it's still TA. With a portfolio optimization then you might stretch and call it quantitative analysis but it's still TA, so just relax about that. Using pre-built indicators is not a condition of TA, but it is a condition for any model that looks at price or volume inputs and waits until it has its magic number to fire a trade.

You can admit your program is only analyzing pricing chart history and realize you're still doing technical analysis or persist as smurf continues to do that you're not using TA when TA is, by definition, any algorithm or method you use that takes price and maybe volume as its input, then predicts a market move by placing a trade for you.

You don't have to tell us you're not doing TA because you are. No matter what happens from this point forward please realize that just because you're not using indicators does not mean you are not using TA, because indeed you are, and it doesn't matter if you coded it custom or not. It's still considered Technical Analysis.

1) You make your point in the first paragraph and then repeat it in paragraphs 2 and 3 for no apparent reason (or added effect).

2) He said the system was built from the ground up in .NET, not using Easylanguage

3) I fail to see where he mentions at all what the systems trades are based on. Where does he say he's only using price information?!

 

[bwolinsky]

Quote from Kohanz:

1) You make your point in the first paragraph and then repeat it in paragraphs 2 and 3 for no apparent reason (or added effect).

2) He said the system was built from the ground up in .NET, not using Easylanguage

3) I fail to see where he mentions at all what the systems trades are based on. Where does he say he's only using price information?!

It is not event driven, therefore it's TA. There's nothing else in any simulator, Wealth Lab, or Tradestation, that isn't based on price.

 

[Kohanz]

Quote from bwolinsky:

It is not event driven, therefore it's TA. There's nothing else in any simulator, Wealth Lab, or Tradestation, that isn't based on price.

To conclude that it isn't event-driven knowing only that it was built from scratch in .NET is incorrect. If there's other information you're basing that conclusion on, let's hear it.

 

[bwolinsky]

Quote from Kohanz:

To conclude that it isn't event-driven knowing only that it was built from scratch in .NET is incorrect. If there's other information you're basing that conclusion on, let's hear it.

If he's not getting a newsfeed, and placing orders from string length searches, then his only option to make trades with such a description has to be based on price. There's nothing else.