How to Build an Automated Trading System
- Thread starter greaterreturn
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You have completely missed the point of this thread. This is completely different than an edger mentality, playing the percentages and tweaking indicators to have profitable backtests.
These smart folks are working on a system that stays on the right side of the market and reverses when necessary. These 'trades' are not random. People do improve on trading.
Save your breath stating that this is impossible. We all know you think that already. I cant imagine why you'd continue with this thread...
Too cool. Thanks for sharing your progress.
I would be interested to hear/see a rough plan of the shells. I will throw something together that fits my ideas of the 3 'layers/shells' of monitoring/analysis. I will try to keep up with you guys on the M&A portion, however my programming will be limited to the ninjatrader ATS
Soon I hope its limitations will spur me onto learning some actual programming languages.I'm not certain but I think you have the right and left trendlines mixed up. In your screenshot the Right trendline is on the bottom, and the Left trendline is on the top. However, there's an "LtoR" annotation just after Point 1 when price is moving to the LTL, and an "RtoL" annotation just after Point 2 when price is moving to the RTL.
Hi,
I 'll be doing better as time passes. Just got up from a nap and have spent a fair amount of time today looking at a three screen display (two machines, separate feeds) that is doing a fairly good job. I have the thread's OP on BPA and BPR down. I am not going to put periods in between.
I posted on the horizontal orientation of sensory systems for trading.
I have an understanding of the Q's coming down as they relate to BPA and the overlapping BPR.
I will throw up shots of screens I am using and I will refer to performance of others.
Just to get it straight on what is what. I was shown a print that had 30 trades on it and a net of 5,000, roughly. I remember seeing the fees and commishes so I learned by mental division 2 contracts were involved; this was indirect knowledge since the number of contracts did not show (I had to surmise it).
I feel this person MUST add contracts. He has some BPA and the BPR is to ADD contracts.
2 contracts of margin is 1,000 or 2,000 or 4,000 dollars of capital and he is making 5,000. 5,000 is bigger than the margin.
The BPR feedback loop says ADD more c0ontratcts. 5 or 2 or 1.
30 trades is a good number a day.
Today the first trade was 30 points and having 20 contracts running is a good way to start the day. If a person were doing 20 contracts, then he would have made 30 x 50 x 20. I write down 0, 0, 0 and look at 3, 5 and 2 and choose which two to multiply first. I choose 5 and 2 to get 10 and I add another 0 to my pile of three 0's. Then I place the other number in front of the 0,000 that is in my mind. 30,000 dollars is an amout on money that was made and is in an account while a person is sitting in a chair looking at three screens and pressing his mouse occasionally.
This thread is about saving mouse clicks. Is it worth the effort? Yes, it is.
Many many people have my permission to put me on ignore.
Those who do not, need to bear with me a little (I know you are).
I have 100 billion nerve cells I have organized. I am starting a BPA dump.
One dump is this. If you are making 5,000 bucks a day on 2 contracts, ADD contracts it will not adversely affect you. Our table at the Arthritis Foundation table this saturday has more donations than ever for bidding at this auction (90). Traditionally we are the highest bidders in dollar volume. Whose money is it? I do not know. Being opposite someone on the wrong side of the market is where it comes from, partially. The other part is doing the segments in a timely manner. Two weeks of camp for a child with arthritis is 500 bucks. A 50 contract move has to go only a short distance to send a bunch of kids to Camp. So what is the question? The question is: how large is the camp and what does it cost to build and staff more camps?
The deal is that by reviewing the mechanical trading with everyone contributing their minds, we get to have more and more people making more and more money to do with it what they want and help others.
Moderators contribute their time by keeping the site clean and everyone contributes their knowledge too.
Knowledge>>>>>>>skills>>>>>>>more contracts traded>>>>>>>more pool extraction>>>> more help to those who need it.
I will now start doing Q's. Read this week"s Newsweek page 51, etc..
I 'll be doing better as time passes. Just got up from a nap and have spent a fair amount of time today looking at a three screen display (two machines, separate feeds) that is doing a fairly good job. I have the thread's OP on BPA and BPR down. I am not going to put periods in between.
I posted on the horizontal orientation of sensory systems for trading.
I have an understanding of the Q's coming down as they relate to BPA and the overlapping BPR.
I will throw up shots of screens I am using and I will refer to performance of others.
Just to get it straight on what is what. I was shown a print that had 30 trades on it and a net of 5,000, roughly. I remember seeing the fees and commishes so I learned by mental division 2 contracts were involved; this was indirect knowledge since the number of contracts did not show (I had to surmise it).
I feel this person MUST add contracts. He has some BPA and the BPR is to ADD contracts.
2 contracts of margin is 1,000 or 2,000 or 4,000 dollars of capital and he is making 5,000. 5,000 is bigger than the margin.
The BPR feedback loop says ADD more c0ontratcts. 5 or 2 or 1.
30 trades is a good number a day.
Today the first trade was 30 points and having 20 contracts running is a good way to start the day. If a person were doing 20 contracts, then he would have made 30 x 50 x 20. I write down 0, 0, 0 and look at 3, 5 and 2 and choose which two to multiply first. I choose 5 and 2 to get 10 and I add another 0 to my pile of three 0's. Then I place the other number in front of the 0,000 that is in my mind. 30,000 dollars is an amout on money that was made and is in an account while a person is sitting in a chair looking at three screens and pressing his mouse occasionally.
This thread is about saving mouse clicks. Is it worth the effort? Yes, it is.
Many many people have my permission to put me on ignore.
Those who do not, need to bear with me a little (I know you are).
I have 100 billion nerve cells I have organized. I am starting a BPA dump.
One dump is this. If you are making 5,000 bucks a day on 2 contracts, ADD contracts it will not adversely affect you. Our table at the Arthritis Foundation table this saturday has more donations than ever for bidding at this auction (90). Traditionally we are the highest bidders in dollar volume. Whose money is it? I do not know. Being opposite someone on the wrong side of the market is where it comes from, partially. The other part is doing the segments in a timely manner. Two weeks of camp for a child with arthritis is 500 bucks. A 50 contract move has to go only a short distance to send a bunch of kids to Camp. So what is the question? The question is: how large is the camp and what does it cost to build and staff more camps?
The deal is that by reviewing the mechanical trading with everyone contributing their minds, we get to have more and more people making more and more money to do with it what they want and help others.
Moderators contribute their time by keeping the site clean and everyone contributes their knowledge too.
Knowledge>>>>>>>skills>>>>>>>more contracts traded>>>>>>>more pool extraction>>>> more help to those who need it.
I will now start doing Q's. Read this week"s Newsweek page 51, etc..
I will get these in the mill by email to you and you can package them to get them up for support.
I am a little unreliable at this time. I have to keep from getting puffy.
09-15-08 09:42 PM
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Quote from jack hershey:
In "Think" (IBM, 1957) there was a discussion on people and their way of perceiving (sensing). Vertical and horizontal are the choices. To maintain a neutral bias it is best to work in a horizontal orientation.
You can check a person's orientation by reading what they write or how they describe things.
So that is why the lines of boundaries are named the way they are. At some point more differentiation will occur and we will build three levels of price movement boundaries (envelopes that are nested).
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Jack, please help with some B.P.A. related questions. Terminology is critical in this process.
1. What boundaries? Are you referring to channel lines?
To get underway, yes I am thinking of channels that sare edfined as two sloping parallel lines. Any slop is possible. I refrained purposely from using the owrd channels as a BPA oriented approach. The next answer will go further
2. In referring to price movement boundaries you call them "envelopes that are nested" parenthetically. What are envelopes? Is that also another term for channels?
they number them at statioary stores. the area is in direct correspondence to the number assigned by convention that started in the late 1700's.
In SCT these channels boundaries on three fractals have specific names and all that you have been reading uses these specific names for calrity of communication. The seven cases are innermost and one rule set is used to go from nest level to lest level. ehorn has a lot of work done on the seven cases especially case 1 and case 2. My mind does this. screens (I will show some soon) show this some this stuff automatically because the platform people have a folder that is a collection of files (script) that works to help the functionality of the display.
Look at the forums and gather the vocabulary so everyone can use it.
So I interpret this as you explaining why the channel lines are named left and right rather than top and bottom.
Smile. There is no need to interpret. What a person does to make 30 points in one trade with 20 contracts is use his "differentiated" mind. BPA is designed to record what the mind is doing (my case) and what a learner is acquiring by repetition until his short term memory becomes long term memory. After a while, the mind begins to get organized. When it does this is called "differentiation". The mind is getting "addresses" set up too. It is a go to thing. after a while "states" are referrable too as "Gee I know what the market is doing now". Read Doidge with a four color pen. turn down pages as you read and build an annotated table of contents. Scotch tape in a couple of pages to interleave each page of the contrents so you have a reference page for each thing about the mind's operation that is in support of getting a better BPA work sheet set up. You will need columns on it to this thread and to Dodge and three other books on the mind. smile.
If so, fine. If not, please clarify.
late lunch time. I shall return.
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Quote from jack hershey:
In "Think" (IBM, 1957) there was a discussion on people and their way of perceiving (sensing). Vertical and horizontal are the choices. To maintain a neutral bias it is best to work in a horizontal orientation.
You can check a person's orientation by reading what they write or how they describe things.
So that is why the lines of boundaries are named the way they are. At some point more differentiation will occur and we will build three levels of price movement boundaries (envelopes that are nested).
--------------------------------------------------------------------------------
Jack, please help with some B.P.A. related questions. Terminology is critical in this process.
1. What boundaries? Are you referring to channel lines?
To get underway, yes I am thinking of channels that sare edfined as two sloping parallel lines. Any slop is possible. I refrained purposely from using the owrd channels as a BPA oriented approach. The next answer will go further
2. In referring to price movement boundaries you call them "envelopes that are nested" parenthetically. What are envelopes? Is that also another term for channels?
they number them at statioary stores. the area is in direct correspondence to the number assigned by convention that started in the late 1700's.
In SCT these channels boundaries on three fractals have specific names and all that you have been reading uses these specific names for calrity of communication. The seven cases are innermost and one rule set is used to go from nest level to lest level. ehorn has a lot of work done on the seven cases especially case 1 and case 2. My mind does this. screens (I will show some soon) show this some this stuff automatically because the platform people have a folder that is a collection of files (script) that works to help the functionality of the display.
Look at the forums and gather the vocabulary so everyone can use it.
So I interpret this as you explaining why the channel lines are named left and right rather than top and bottom.
Smile. There is no need to interpret. What a person does to make 30 points in one trade with 20 contracts is use his "differentiated" mind. BPA is designed to record what the mind is doing (my case) and what a learner is acquiring by repetition until his short term memory becomes long term memory. After a while, the mind begins to get organized. When it does this is called "differentiation". The mind is getting "addresses" set up too. It is a go to thing. after a while "states" are referrable too as "Gee I know what the market is doing now". Read Doidge with a four color pen. turn down pages as you read and build an annotated table of contents. Scotch tape in a couple of pages to interleave each page of the contrents so you have a reference page for each thing about the mind's operation that is in support of getting a better BPA work sheet set up. You will need columns on it to this thread and to Dodge and three other books on the mind. smile.
If so, fine. If not, please clarify.
late lunch time. I shall return.
So if the '7 cases' are the baseline fractal, I would assume that 'traverse' would be the next fractal, followed by a channel. I assume that for the purposes of the ATS that intermediate channels and multi-day channels are being exluded for simplicity. Therefore, the system can start anew w/ bar 1 each day?
I have come to appreciate the simplicity of the 7 cases, taking note of the order they appear, open vs. close point and volume changes. Is this the type of work you mention as being productive, particularly for the ATS?
Incoming:
I will attempt to break down what you say. Please correct me as needed.
By vertical, you refer to the mindset of looking at price moving as going up and down, right?
YES
By horizontal, you refer to the idea of looking at price as moving from left to right in time
I look at TRENDING price as moving from RIGHT to left. In terms of boundaries price, when moving with the TREND, price is going from the RTL of the boundary (channel, generically speaking) TO the LTL.
The second half of what could be going on is more complicated. This is because price is moving from the LTL to the RTL and to say it is moving from left to right is harder to understand when a person's mind is as yet undifferentiated.
crayola 101 is used to make the point. Lets say you are doing BPA and you want to be complete. You say:"By horizontal, you refer to the idea of looking at price as moving from left to right in time" The missing "eh?" is easy to add mentally for me. But what I have difficulty with is why you know about up and down and you do not differentiate with equal differentiation on the horizontal. My trouble over here. Your BPA level over there.
I do workout sheets for programmers. Why? They, ordinarily, do not take good notes. It troubled me until I improved my Tia Chi.
Someone said to me about a year after they handled a sentence I offered. Then there was a little BPR on that person's part. He was iteratively refining to get back to the original sentence.
Left and right is the identity with up and down. They are both of very poor quality. Very means more than as in an inequality.
Going with the TREND and going AGAINST the trend turn out to be beautiful yet identifiable separate characteristics of market operations. Where does the TREND come from? Within or without? For BPA is comes from within and for BPR it comes from without.
The progress report says good. From now on one change. We will use critical thinking for BPA and BPR. We means I shall and you should.
Frankly, if that's what you mean, then I agree. It felt like an epiphany finally grasping what you write about how you can plan out several trades in advance. Is that thinking horizontally?
Luckily, there is no other way to do anything in trading. Most people have to lay on their left side so to speak. It is possible to imagine a conrtarian laying on his right side.
The delviness of this is not difficult. A person has to get to a neutral bias some how. Using a sldege hammer just makes a person shorter though. Yoga is better.
If you begin to do BPA from a neutral orientation then we will get to the orthogonalities sooner and farter away from opposites faster.
I am unfamiliar with planning trades. What I deal with is information the market delivers to me that is framed in the logic of alternatives being eliminated in a multivariant system where the differentiated mind allows a person to unconsciously (like a coded up computer would) "know that he knows".
Thinking from the future to the present?
Keep that coin with you at all times. Super and yes.
Trading is way back thee in the Present. As you look through the pane between you and pack there in the present, you see the place where there is a focal plane that ALWAYS contains the ONLY alternative that in a moment the Present will change to, if a change will be occurring; if not, not. You are nearer or farther from the Present at your choice as you sit in the Future and look back to the Present.
You have a definite time advantage all of the time.
Hopefully, I'm making headway and getting into the groove of how you perceive the market. Perception is everything!
Perception is 100% as you say. Its two parts are sensory 10% and inference 90%. Read "The Itch" in the NEW Yorker. About reading, get to a point you know what page everything is on. In the article, you can see how the diagram below works on real people.
It seems that concept relates to the pace of the market. You talk about the human nature of it operating faster and gradually slowing till lunch, then quickening again right after lunch, then decelerating till a big final burst in the afternoon due to automated risk management.
It's clear that if a person or ATS can get into the "rhythm" of the market, then the TIME to reverse can be "felt" or planned irregardless of the price level. In fact, you talk about trading with the price bars completely OFF the screen just by watching pace and volume indicators.
It's absolutely genius. Jack, THAT is the true essence of your trading skill. I think you're the first to even come close to describing the "knack" for trading that people develop with experience.
Many others can't seem to express why they can trade almost automatically at the right moment.
It will be a challenge for YOU and for ME both to reach the goal. That is, of course, for me to understand and automate your perception.
My response to the above will take a while
It seems however, that we need to first stick to getting the channel states sorted out, right? Is that the first step?
I will trail along and be responsive along with all the others. We do need three levels of annotation; the syllabus shows that. The beginning part was two months long.
--------------------------------------------------------------------------------
We will see that "building" can go in either of two directions: analysis or synthesis. People communicate from these points of view too.
Knowledge and technique are paired for making money. What and why are in the locus of knowledge and the how and when relate to technique. I presume that the B. P. A. will nail the knowledge in a series of steps and the B. P. R. will nail the technique (skill levels) in a series of steps.
--------------------------------------------------------------------------------
Yes. Precisely! I won't bore with all the steps.
I will attempt to break down what you say. Please correct me as needed.
By vertical, you refer to the mindset of looking at price moving as going up and down, right?
YES
By horizontal, you refer to the idea of looking at price as moving from left to right in time
I look at TRENDING price as moving from RIGHT to left. In terms of boundaries price, when moving with the TREND, price is going from the RTL of the boundary (channel, generically speaking) TO the LTL.
The second half of what could be going on is more complicated. This is because price is moving from the LTL to the RTL and to say it is moving from left to right is harder to understand when a person's mind is as yet undifferentiated.
crayola 101 is used to make the point. Lets say you are doing BPA and you want to be complete. You say:"By horizontal, you refer to the idea of looking at price as moving from left to right in time" The missing "eh?" is easy to add mentally for me. But what I have difficulty with is why you know about up and down and you do not differentiate with equal differentiation on the horizontal. My trouble over here. Your BPA level over there.
I do workout sheets for programmers. Why? They, ordinarily, do not take good notes. It troubled me until I improved my Tia Chi.
Someone said to me about a year after they handled a sentence I offered. Then there was a little BPR on that person's part. He was iteratively refining to get back to the original sentence.
Left and right is the identity with up and down. They are both of very poor quality. Very means more than as in an inequality.
Going with the TREND and going AGAINST the trend turn out to be beautiful yet identifiable separate characteristics of market operations. Where does the TREND come from? Within or without? For BPA is comes from within and for BPR it comes from without.
The progress report says good. From now on one change. We will use critical thinking for BPA and BPR. We means I shall and you should.
Frankly, if that's what you mean, then I agree. It felt like an epiphany finally grasping what you write about how you can plan out several trades in advance. Is that thinking horizontally?
Luckily, there is no other way to do anything in trading. Most people have to lay on their left side so to speak. It is possible to imagine a conrtarian laying on his right side.
The delviness of this is not difficult. A person has to get to a neutral bias some how. Using a sldege hammer just makes a person shorter though. Yoga is better.
If you begin to do BPA from a neutral orientation then we will get to the orthogonalities sooner and farter away from opposites faster.
I am unfamiliar with planning trades. What I deal with is information the market delivers to me that is framed in the logic of alternatives being eliminated in a multivariant system where the differentiated mind allows a person to unconsciously (like a coded up computer would) "know that he knows".
Thinking from the future to the present?
Keep that coin with you at all times. Super and yes.
Trading is way back thee in the Present. As you look through the pane between you and pack there in the present, you see the place where there is a focal plane that ALWAYS contains the ONLY alternative that in a moment the Present will change to, if a change will be occurring; if not, not. You are nearer or farther from the Present at your choice as you sit in the Future and look back to the Present.
You have a definite time advantage all of the time.
Hopefully, I'm making headway and getting into the groove of how you perceive the market. Perception is everything!
Perception is 100% as you say. Its two parts are sensory 10% and inference 90%. Read "The Itch" in the NEW Yorker. About reading, get to a point you know what page everything is on. In the article, you can see how the diagram below works on real people.
It seems that concept relates to the pace of the market. You talk about the human nature of it operating faster and gradually slowing till lunch, then quickening again right after lunch, then decelerating till a big final burst in the afternoon due to automated risk management.
It's clear that if a person or ATS can get into the "rhythm" of the market, then the TIME to reverse can be "felt" or planned irregardless of the price level. In fact, you talk about trading with the price bars completely OFF the screen just by watching pace and volume indicators.
It's absolutely genius. Jack, THAT is the true essence of your trading skill. I think you're the first to even come close to describing the "knack" for trading that people develop with experience.
Many others can't seem to express why they can trade almost automatically at the right moment.
It will be a challenge for YOU and for ME both to reach the goal. That is, of course, for me to understand and automate your perception.
My response to the above will take a while
It seems however, that we need to first stick to getting the channel states sorted out, right? Is that the first step?
I will trail along and be responsive along with all the others. We do need three levels of annotation; the syllabus shows that. The beginning part was two months long.
--------------------------------------------------------------------------------
We will see that "building" can go in either of two directions: analysis or synthesis. People communicate from these points of view too.
Knowledge and technique are paired for making money. What and why are in the locus of knowledge and the how and when relate to technique. I presume that the B. P. A. will nail the knowledge in a series of steps and the B. P. R. will nail the technique (skill levels) in a series of steps.
--------------------------------------------------------------------------------
Yes. Precisely! I won't bore with all the steps.
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