How long before you were fully automated?

[TSGannGalt]

jack,

You really haven't answered anything... You know that right?

OK, let me re-ask the questions, I'm guessing that my questions weren't done correctly. Maybe I've been scattering questions too much:

Q1. Please provide an explanation of the theories for your 3 models and the supporting proof of it.

Q2. Please provide a log (preferable *.csv) of your trade results. Preferably, if you can also include the statistics used to analyze the trade log would be helpful. My tester can analyze the viability of a model based on it's trade log so it's not big hastle. It would help though, if the format is (It's not a bid deal even if you don't):

yyyy/MM/dd hh:mm:ss.fff, symbol, price, contractsize

... single trade per line, my app will match the orders, even if it's legged trades, on it's own. If it's a US exchange traded symbol, I usually have data for it. It can handle any timeframe, also. If you have your models under ATS, you must keep a log of your trades, right. I just need a snippet of them... reasonable size to validate the significance statistically though.

...

Charts and little pictures don't really mean a thing for me so I just need some hard statistical evidence. That's what observations are in a scientific method... If you want, you can provide me with the code of anything you like and I'll run them on my tester. I use C# just like you so it won't be much of a hastle.

 

[excessuk]

Quote from TSGannGalt:

80% C#. 20% C++. F# growing.

My programming relies on Visual Studios.
I can't program without it.

hi, may I ask what you're using F# for? I'm curious to know because I'm currently using C# across the board for my platform but have plans to move some stuff on the server-side to C++ to increase performance.

Been reading this forum almost on a daily basis for the last few weeks and I find the many discussions very interesting and valuable for me, in particular because being a programmer I'm right at the bottom of the learning curve when it comes to trading.

Thanks

 

[jack hershey]

Quote from TSGannGalt:

jack,

You really haven't answered anything... You know that right?

OK, let me re-ask the questions, I'm guessing that my questions weren't done correctly. Maybe I've been scattering questions too much:

Q1. Please provide an explanation of the theories for your 3 models and the supporting proof of it.

One theory of two hypotheses works for everything. It is Granville's P, V relationship. That said there are the priors and the parametric measurement that are used to attach the Hypothesis Set to the given market and it's business operations. I have stated all of these in this thread. I did a graphic of their relationships, also.

Proving Granville's P, V relationship as a Paradigm was important because it overcomes the riddle of induction.

The Hypothesis Set which you have before you is two statements in a language (the language of the subject: the market).

The two statements meet ALL the tests for algorithm's and paradigm's components and algorithms and paradigms, as well. you have that information because I provided it to you and in this thread.

A single parametric measure is used. This is a rare achievement in any theoretical development. You have that in your posession.

By moving from the paradigm (called pool extraction) to the pragmatic institutionalization, any one using it gets to experience making money under non probabilistic, sufficiency and certainty conditions. The priors illustrate the conditions in terms of how the market works.

I posted an day of activity, just so it may be seen that price was not involved in the hypotheses as a topic (the "IF" part) but only as the predication (the result "THEN" part). This is saying that other than price is used to determine price.

I have heard that people use price to determine price.

The two predications, I use, regarding price are measured by the same parametric measure but the two predications, in fact, are orthogonal. If and since such is the case, then each of these conditions, cannot be expressed in terms of the other.

Here are the words: "continue" and "change". Both refer to the price trend on a fractal. I study and can make use of 7 fractals for any market by applying the pool extraction paradigm.

There are ordinarily seven levels of extraction. By putting in the Basic as a foundation then, just more bells andwhistles are added to the carrier of the Paradigm (pool extraction)

Q2. Please provide a log (preferable *.csv) of your trade results. Preferably, if you can also include the statistics used to analyze the trade log would be helpful. My tester can analyze the viability of a model based on it's trade log so it's not big hastle. It would help though, if the format is (It's not a bid deal even if you don't):

yyyy/MM/dd hh:mm:ss.fff, symbol, price, contractsize

Here is the day that I posted converted to your needs. Do you want 30 of these?

2009/AP/22/08/40/00/000, ES, 38.25, x

2009/AP/22/08/55/00/000, ES. 38.00, 2x

2009/AP/22/11/05/00/000, ES, 54.75, 2x

2009/AP/22/11/10/00/000, ES, 56.00, 2x

2009/AP/22/11/15/00/000, ES, 55.50, 2x

2009/AP/22/12/10/00/000, ES, 48.25, 2x

2009/AP/22/14/00/00/000, ES, 54.75, 2x

2009/AP/22/14/15/00/000, ES, 57.75, 2x

2009/AP/22/14/20/00/000, ES, 53.75, 2x

2009/AP/22/15/15/00/000, ES, 37.50, x


... single trade per line, my app will match the orders, even if it's legged trades, on it's own. If it's a US exchange traded symbol, I usually have data for it. It can handle any timeframe, also. If you have your models under ATS, you must keep a log of your trades, right. I just need a snippet of them... reasonable size to validate the significance statistically though.

You can make x equal 4, 40 or 400. Over 500 hundred go to partials and use the harmonic (odd, even) to space the equal partials as you are at the end of the 5 min bar.

I add contracts with profits according to margin. Here is the list with compounding put in:
2009/AP/22/08/40/00/000, ES, 38.25, x

2009/AP/22/08/55/00/000, ES. 38.00, 2x

2009/AP/22/11/05/00/000, ES, 54.75, 2x

2009/AP/22/11/10/00/000, ES, 56.00, 4x

2009/AP/22/11/15/00/000, ES, 55.50, 4x

2009/AP/22/12/10/00/000, ES, 48.25, 8x

2009/AP/22/14/00/00/000, ES, 54.75, 8x

2009/AP/22/14/15/00/000, ES, 57.75, 8x

2009/AP/22/14/20/00/000, ES, 53.75, 8x

2009/AP/22/15/15/00/000, ES, 37.50, 4x

As you see most money is made compounding rather than tweaking an ATS. In any event You have to sweep accounts weekly to put over capacity money in slower turnover larger capacity accounts.

...

Charts and little pictures don't really mean a thing for me so I just need some hard statistical evidence. That's what observations are in a scientific method... If you want, you can provide me with the code of anything you like and I'll run them on my tester. I use C# just like you so it won't be much of a hastle.

Using the coded ATS would probably be a good idea. We have done three Basic version improvements from the original logic and code posted at the beginning of the thread. The coding is about three pages now for what you see above not including the compounding. All those using it do their own compounding.

Basic Supreme upcoming version will take out four of those flutter trades in the two thee or four bar Hershey Hinges

 

[TSGannGalt]

Quote from jack hershey:

You're not serious about your answer....

Anyways, thank you for your answers. I think you've@provided everyone with enough information about your trading and experience as a systematic trader.

 

[travis]

If anyone else wants to tell us about his beginnings and how he became an automated trader (not too many have done so) as in the original purpose of this thread please do so.

Also please remember to vote.

 

[NetTecture]

I'm currently using C# across the board for my platform but have plans to move some stuff on the server-side to C++ to increase performance.

I do C# programming for a living I suggest you validate that claim before going to C++. Not saying there is no improvement possible....

...but you will pay for it with slower programming.
...but you should make sure that it is relevant. If you are CPU bound, and the C++ code is just 3% or so faster - it will be not worth it.

I did some heavy duty C# in the past, and while there are things C++ rocks, they are pretty arcane by now. Unless you have some really funny things (and then I may argue you better move them to the graphics card, for a LOT faster performance in certain types of maths)... you may be negatively surprised by the gained speed. Validate the validity and relevance of that.

Anyone ever used graphics cards for trading algos? I mean It is not like they are not POWERFUL.

 

[travis]

Today I am celebrating my 43rd day of full automation (including holidays). Made about 55% in all this time. Sure, I was expecting more. But from the past I remember that with discretionary trading one month was usually what it took me to blow out my account.

So, there are reasons to celebrate.

Automated trading with a backtested system and reasonable money management at least guarantees you that you won't lose money, even if you are not making any. I've been stuck at +50% for the last 3 weeks, but it never went down. Almost no drawdown at all. It either stays at a given level, or it goes up.

Had I been doing discretionary, I would have lost everything already.

So - sure, as I watch the markets, I still see mirages and missed opportunities, but I know that along with those missed opportunities I would also pick trades that would make me lose everything. So this time, at least for the past 43 days, I am not letting myself get tricked again.

It took me over ten years to understand this. It took me less to be able to implement automated trading. But what took me the longest is to let go altogether of all those discretionary trades. Letting go my illusion that I had a special intuition to beat the markets. Even if I did, it gets screwed up by my inability to apply stoplosses, so ultimately and overall I just lose everything.

Some people may be able to manually apply a discretionary system, rationally and objectively, without getting hooked and involved emotionally. I am not one of them. So I just have to forget about my sixth sense and intuition and such things, because no matter what amazing intuitions I do have, overall I will lose money.

 

[travis]

up

 

[TrailingStop3]

Hi travis,

I save some time and do not read the whole thread, but anyway I will start my own strategy later this month and do still some evaluating.
I would like to know how long you have tested your strategy with a simulation account if ever – and specially: why do you think that 55% in 43 days is not enough for your strategy?

Daniel

 

[travis]

No simulation account. I started with real money even before I had a back-tested strategy. I was pretty reckless.

My estimate, is that combining all my systems (I have 30 of them, all using the same capital), I should be making more than 55% in two months (now it's even less, because it lost a bit in the last few days). I hope I am not being too optimisticc as usual.