Is there anyone here who has a consistently profitable automated trading system?

[murray t turtle]

It is such a privilege to have here on this forum the some of the “worlds’ best” programmers and always reassuring us that it is possible to do what nobody else can.

Obviously, their methods are simply not made public, only talking about it is public. We understand, it's all secret.

PS: The real issue I have with your posts is that it gives newbies false hopes and then they can waste many months running to the West looking for a sunrise.

%%
TRUE, I have what thy call ''flag patterns'' in my trading books;
but i much prefer something more objective like a 200dma........
NOT saying I'm against US or UK flags LOL
Its like WO'N [IBD founder] noted, ''new traders want to much, with too little work''
NON Wall Street business can commonly average profits every month;
But seasonals can apply anywhere . Profits every week is not very good, with a lack of a spending plan.
But my favorite contract business may have had some slow 4th quarters;
no problem with a good budget.

 

[Blitzjoker]

There are many pitfalls for a fully automated trading system. (For example you are trading stocks and you need good fills, then you also need to consider bid/ask volume and level 2 data, which makes it complicated for automated trading execution. There are many other pitfalls too, like hardware and software stability, the problems with software updates especially on windows machines and so on. Sometime you do not get execution done over the broker or confirmations are missing, so you need to double check your positions anytime too. Then there are special market conditions like on high volatility situations where you automation could fail too. Not to speak on (costly) glitches. This is only a small example what can go wrong on a fully automation of a trading strategy.)

If I were you I would start with some rules from your actual market knowledge. Over the time these rules get organized in a more systematic manner so over a longer time period of trading based on your rules you could also automate your trading to save some time. If you are not sure about your rules just give you some more time on your trading. You will get ideas to finetune your rules for sure over the time when you are trading and observing the markets. So it is only a matter of trading for a longer time period until you have clear and well defined rules. And every trader should have some rules, even (s)he is only a discretionary trader. And trading without any rules should not be done at all (in my opinion).

One more thing. If you think with a fully automation you could save a lot of time, this is not the case (in my eyes). Because you need to put in so much work and then you need to watch and babysit it, so that with a half automation you could save a lot of more time. So you need to find your own trade-off when the reason of automation for you is to save some time. Also do not forget you need to observe the markets too, so that you can gain market knowledge. Because it does not work that you are just programming and that's it. You need to spend some screentime too, and that must be continous over the time, so you can get additional ideas. Also markets do change over time so you need to adapt too. So in the end there is nothing like a once fully automation and there you are done for the rest of your life. That won't work. So be careful what you are asking here. Do not get wrong impressions. For most traders a half automation would save the most time. You only need very clear and organized rules. Then you only need to be discplined and patient for the right trading setups. And with half automation there is no need to sit in front of the screens all the time. So that would save a lot of time, giving you free time to spend your valuable time on other activities. But usually there is a long way until then. Especially if you want to be consistent profitable.

So in the end a fully automation makes the most sense if you cannot react that fast as a human, especially on high frequency trading and you have no other choice than fully automation. In all other examples I think half automation is the ultimate time saver already. That is my opinion here.

There is also thing I do not see that it can be solved via programming and there fore fully automation the trading process. That is intuition. Myself I had to learn over the past half year some things which I did not know before in that clarity. So any trading automation would result in a lot of extra programming, which would cost also a lot of time. You cannot program any software having human intuition. But sometimes it is important to stay out of the markets or reducing your risk without knowing all the details in beforehand. So there is no easy way at all to fully automate trading in any way, as the markets are totally dynamic and that cannot be coded in that way (so far). Sometimes you just need a "nose" for the markets or a "lucky hand" (as intuition), which cannot be programmed on a fully automated trading system. So one thing is for sure, you need to adapt over the time (and any programming code does not rewrite itself based on changes because of dynamic markets as I know). [And I have not seen an intelligent AI on trading or heard of so far. There is lot of garbage here too.]

Thanks very much for this. I think you make some good points. At the moment I am trading discretionarily to see what works and what doesn't. Until recently I thought I could just try systems with different parameters until I found the holy grail, and of course that is fraught with problems.

A hybrid approach sounds plausible to me; using data and recommendations from a system, but then trading it by hand in the moment. Certainly something worth looking into.

 

[chris.page]

I may make an expanded post here at some point, just dipping my toe in this community.

I have worked with a couple of math PhD's and a couple of sharp developers to do exactly this. We started in crypto in 2015 part time, went full time in 2018 (BAD timing for crypto), pivoted to traditional markets in 2020 (banks and funds would not touch crypto, no surprise in hindsight), settled on futures trading in late 2021, and went live in May of 2022. The following results are 100% LIVE automated algorithmic trading (our most conservative portfolio) through Interactive Brokers:

The following are several accounts we've started trading the above system in this year (some set for more aggressive trading than others). Screenshots are Interactive Brokers "Realized Summary" statements:

We only trade ES contracts. 100% automated, I NEVER place a manual trade or override an automated trade signal.

So, it's possible.

 

[NoahA]

The following results are 100% LIVE automated algorithmic trading (our most conservative portfolio) through

Amazing results. Out of curiosity, what is the basis of your algo? Is it just crunching numbers on prices and volume? Any type of cross market referencing or looking at options to help gauge market direction?

 

[TrAndy2022]

I may make an expanded post here at some point, just dipping my toe in this community.

I have worked with a couple of math PhD's and a couple of sharp developers to do exactly this. We started in crypto in 2015 part time, went full time in 2018 (BAD timing for crypto), pivoted to traditional markets in 2020 (banks and funds would not touch crypto, no surprise in hindsight), settled on futures trading in late 2021, and went live in May of 2022. The following results are 100% LIVE automated algorithmic trading (our most conservative portfolio) through Interactive Brokers:

The following are several accounts we've started trading the above system in this year (some set for more aggressive trading than others). Screenshots are Interactive Brokers "Realized Summary" statements:

We only trade ES contracts. 100% automated, I NEVER place a manual trade or override an automated trade signal.

So, it's possible.

What was the peak-to-valley max. drawdown here from May '22 on ? And how many points or ticks is your average trade ?

 

[chris.page]

Amazing results. Out of curiosity, what is the basis of your algo? Is it just crunching numbers on prices and volume? Any type of cross market referencing or looking at options to help gauge market direction?

Hi. We use AI models (evolutionary computation, genetic algorithms and several other "classic" machine learning models, not the current LLM craze) that have access to over 300 technical indicators to discover algos to try. Obviously there is EXTENSIVE and pessimistic vetting/backtesting, and out of the millions a month that can be generated, one or two might graduate to the next stage of running forward in paper trading. An algo goes through a LOT before it ever sees one real dollar in trade authority. But to answer your question, at this point, our algos are strictly TA based. We do look cross-market (sectors, large ETFs) for correlations, but those are still measured using TA only. We have looked at sentiment as an indicator (we used to half-jokingly talk about creating the TTI "Trump Tweet Indicator" ), as well as put/call spreads, but we have not seen improvement for our style of trading (most positions are held less than six hours, with dynamic but tight stop loss and take profit targets).

Our algos are also tuned every weekend on multiple timeframes going back as far as Sept 2021 currently, with more recent timeframes more heavily weighted.

 

[chris.page]

What was the peak-to-valley max. drawdown here from May '22 on ? And how many points or ticks is your average trade ?

Our Max P2V DD was 14.9% in Sept 2022. We DO (though not since Feb currently) see periodic drawdowns approaching the 10% range, probably ten times or so since May 2022. Our average trade (we only trade ES E-Mini futures) takes profit after $7-$12 of favorable price movement.

As a side note, we have tried using trailing stops for our exit, but over time, our strats seem to always do better taking profit in a fixed (and pretty tight) range rather than "letting it ride."

 

[TrAndy2022]

Our Max P2V DD was 14.9% in Sept 2022. We DO (though not since Feb currently) see periodic drawdowns approaching the 10% range, probably ten times or so since May 2022. Our average trade (we only trade ES E-Mini futures) takes profit after $7-$12 of favorable price movement.

As a side note, we have tried using trailing stops for our exit, but over time, our strats seem to always do better taking profit in a fixed (and pretty tight) range rather than "letting it ride."

Do you mean $12 per 1 contract ? So less than 1 tick as it is $12.50 on 1 contract ES ? Did you factor in slippage and comms too ? Second what time frame you use for backtesting ? 1 minute or tickdata like second bars already ?

 

[chris.page]

Do you mean $12 per 1 contract ? So less than 1 tick as it is $12.50 on 1 contract ES ? Did you factor in slippage and comms too ? Second what time frame you use for backtesting ? 1 minute or tickdata like second bars already ?

Sorry, I mean $7-$12 of underlying price movement of the price of the current quarterly ES futures contract (currently $4526), or 28-48 ticks. Our average profit (ES = $50 per $1 (or four ticks) of price movement) per trade is $350-$600 per contract traded.

Our modeling and backtesting do factor in both fees/commissions and slippage. The nice thing about ES volume is the OB spread is is pretty much ALWAYS one tick (unless you're placing a $20M+ market order), so that's what we backtest with. We also factor in not assuming a trade fills in backtesting or paper trading unless the bid/ask price has EXCEEDED our target price by one tick, to avoid optimistically assuming an order is filled just because our target price is touched for a split second.

Factoring in fees/comms/slippage and pessimistic fills (bid/ask exceeds target price) during strat discovery and validation weeds out a lot of higher frequency algos that look good until you factor those real life variables in. We learned that lesson the hard way a couple of years ago.

We use multiple timeframes from 1 min to 1 hour, but always generate/update trade signals on one minute bars. Our exits are resting SL/TP OCO orders, so they of course get filled whenever they get filled, but we update them once per minute.

 

[NoahA]

But to answer your question, at this point, our algos are strictly TA based. We do look cross-market (sectors, large ETFs) for correlations, but those are still measured using TA only. We have looked at sentiment as an indicator (we used to half-jokingly talk about creating the TTI "Trump Tweet Indicator" ), as well as put/call spreads, but we have not seen improvement for our style of trading (most positions are held less than six hours, with dynamic but tight stop loss and take profit targets).

Wow... I'm shocked and happy to read you are using TA. There isn't much support on this board for TA trading.

I'm not very smart with how algos work, so this may be a dumb question, but how does an algo analyze TA? Visually, we of course look for the standard things like higher lows or highs, double tops, reversals are key levels, some people use fib retracements, etc. Do your algos look at it the same way?

Our algos are also tuned every weekend on multiple timeframes going back as far as Sept 2021 currently, with more recent timeframes more heavily weighted.

I absolutely love this! I was never a fan of people saying you need to go back 10 years. I always thought that markets were fundamentally different back then, especially if we consider that 10 years ago, the algo trading was I'm sure much less. So why use data for analysis when things are done differently this time.