Has anybody ever had a consistently profitable algorithm automated?

[bwolinsky]

Quote from NY0BScalper:

Actually, it was just level I data. Price, size for each market center. No time and sales, so you can't call it price action/price/TA; besides the trades that were people taking the other side of my robot's traders/orders, if no other trades went off, my bot would still trade (based on the quotes), hence it's certainly not based off of TA.

You must have a really low commission rate.

 

[NY0BScalper]

Quote from bwolinsky:

You must have a really low commission rate.

One can't compete with on that timeframe/in that scale without. Lots of firms out there will offer hyper-low rates (relative to rates of the past, at least). You usually have to give up a percentage of profit (5-20%, but not always) and commit to some volume (2-10 million).

A firm will give a very low rate out so long as they're making money; if a trader is paying $2-6k/month in fees, they'll happily give out a rate that may seem absurdly low (by the standards of the past) if, without such a rate, the trader wouldn't be able to work such a strategy and make any money (and therefore pay any commissions). Furthermore, the firm gets to get its cost of clearing lowered by having the volume. A lot of clearing deals start with a fixed minimum volume number which is not necessarily easy to meet with only 20 or 30 traders, so any trader paying even slightly more than the firm's cost is lowering the firm's overall cost and helping the firm make money.

I don't want to hijack this thread and turn it into a commission/rate thread, nor will I respond to PMs about where I traded, what I paid, etc. s please don't ask.

 

[ElectricSavant]

No, I do not think it is possible...are there other people here, I don't know, but the market is not random.

Quote from pmg:

Hi guys,

I have been studying now about rule based automated trading for about 1 year aside to my job. I consider myself somewhat familiar with algorithm design and programming.

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.

However, with input optimization it was easy to have positive backtest results, but I never managed to come up with an algorithm, that can consistently show even small profits on more than 1 symbol.

Now I would like to ask you, if there are any people here, who made it happen and have such algorithms running. I am not asking to reveal anything, just let me know, if it's possible or not.

My expectation is that it should be possible, or else I would probably say that the market is really random, which I do not beblieve so far. Also since most trades today are automated trades based on Algos, so there must be working Algos.

Also I would be happy, if anybody knows some goo literature about rule based/algo trading.

Looking forward to your input!

 

[pattern43]

Quote from pmg:

Hi guys,

I have been studying now about rule based automated trading for about 1 year aside to my job. I consider myself somewhat familiar with algorithm design and programming.

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.

However, with input optimization it was easy to have positive backtest results, but I never managed to come up with an algorithm, that can consistently show even small profits on more than 1 symbol.

Now I would like to ask you, if there are any people here, who made it happen and have such algorithms running. I am not asking to reveal anything, just let me know, if it's possible or not.

My expectation is that it should be possible, or else I would probably say that the market is really random, which I do not beblieve so far. Also since most trades today are automated trades based on Algos, so there must be working Algos.

Also I would be happy, if anybody knows some goo literature about rule based/algo trading.

Looking forward to your input!

The only consistent thing about the stock market is: "Thou shall not covet thy neighbor's property [nor his margin trading/investing account]".

 

[savagemp5]

I decide to show up in this thread . Yes there are people who are successful.

 

[oilfxpro]

Quote from savagemp5:

I decide to show up in this thread . Yes there are people who are successful.

I managed to put automated systems together , they made about 22 % a year over the last 10 years on back tests.From 2008 to 2010 the return dropped to 15 %.It is hardly worth running automated systems for 10 to 15 % a year , it simply is not attractive if additional slippage and broker execution problems are incurred , they systems could produce zero with the bucket shops.

Automated systems can have one or two years of drawdowns and zero profits , how can anyone go through that period emotionally?

We now operate the automated system for signals and trade some of them manually with decent brokers.

The markets can be ranging or trading with few profitable trades for auto systems, thats why you will have to learnt to trade like us.

 

[ElectricSavant]

oiler...please contact Baron if you would like to become a sponsor, otherwise knock it off....

ES

Quote from oilfxpro:

I managed to put automated systems together , they made about 22 % a year over the last 10 years on back tests.From 2008 to 2010 the return dropped to 15 %.It is hardly worth running automated systems for 10 to 15 % a year , it simply is not attractive if additional slippage and broker execution problems are incurred , they systems could produce zero with the bucket shops.

Automated systems can have one or two years of drawdowns and zero profits , how can anyone go through that period emotionally?

We now operate the automated system for signals and trade some of them manually with decent brokers.

The markets can be ranging or trading with few profitable trades for auto systems, thats why you will have to learnt to trade like us.

 

[murray t turtle]

Quote from bwolinsky:

Wrong, whred, the first is only for ES and the second is only for Gold Comex.

Neither of those are universal algorithms.

===========
Another problem/opportunity, is profitable trends are not predictions, automated or other wise.

For example,GLD, gold does trend well, trends lengthly some ;
but also one can find plenty of times[ years]when it does not trend well/profitable.


Not to mention, we had some good discussions on GM;
but that system/trade /invest is expired.LOL. Yes GM changed its name more or less, so have @ it again.

 

[mgabriel01]

Yes
I do the programming myself

 

[bwolinsky]

Quote from pmg:

Hi guys,

I have been studying now about rule based automated trading for about 1 year aside to my job. I consider myself somewhat familiar with algorithm design and programming.

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.

However, with input optimization it was easy to have positive backtest results, but I never managed to come up with an algorithm, that can consistently show even small profits on more than 1 symbol.

Now I would like to ask you, if there are any people here, who made it happen and have such algorithms running. I am not asking to reveal anything, just let me know, if it's possible or not.

My expectation is that it should be possible, or else I would probably say that the market is really random, which I do not beblieve so far. Also since most trades today are automated trades based on Algos, so there must be working Algos.

Also I would be happy, if anybody knows some goo literature about rule based/algo trading.

Looking forward to your input!

I don't know if this has come up, but Strategy Runner and Strategy Exchange are hypothetical performance trackers of completely automated algorithms that you can subscribe to.

There's quite a few of them, and they'd all fall into the consistently profitable algorithm automation category.