Sometimes it’s hard to figure out what the title should be, sometimes its hard to figure out what category something should go under… This is one of those times (and I am sure there will be more of them in my future)
Ultimately what I have is an algorithm that encapsulates a strategy. The major difference from some technical analysis or chartist artwork is that this does not put up anything but buy and sell orders. That is, it tells you when to buy, and tells you when to sell, and its FAR from finished as its in it’s first iterations, and since I discovered it, I still have a long way to go to understand how and why it works, and from that improve it.
Before I move on, the title is a hat tip to an old SNL skit from the days of the original players called “Shimmer”. It’s a desert topping it’s a floor wax skit, where Chevy Chase steps in on a husband and wife arguing as in old B&W commercials and fixes their lives by informing them, it’s both, a dessert topping AND a floor wax.
Those wishing to go back in time and see Shimmer skit can go here:
https://www.nbc.com/saturday-night-live/video/shimmer-floor-wax/n8625
I recently posted in this thread an example of my recent work:
https://www.elitetrader.com/et/threads/a-strategy-that-is-a-secret.339655/
But soon after thought that i needed my own thread... so here we are.
As with anyone trading (as opposed to investing), we are all looking for signals to buy, signals to sell, ways of knowing how long to stay in, and all manner of strategies and all manner of methodologies we try to stick to.
Recently i was on Quantopian, and now moved over to Quantiacs, as I wanted to learn Python, and why not kill two birds with one stone? I had more recently been experimenting with various strategies on ThinkOrSwim... (and am looking for a platform where a strategy can be used to trade as that was the original intent).
Now before i go on and on, and get into the results, I need to point out that ThinkOrSwim has no automated trading (though i hear it used to, which now is nice trivia). Also, it really does not do great back testing of ideas or strategies (good enough is good enough), and its methods for making trades in strategies has a lot to be said negatively. So understand that what i will be putting up is kind of loose, in terms of implementation. Its buy and sell signals are slightly off, and only within how that programs methods work. BUT also note that given the results, being a tiny bit off is not a show stopper killer... if something goes up five points and your off by 5 cents on entry or exit, it may not be accurate, but its also not so far off what your looking at is not worth looking at.
I am also coding things for Quantiacs so that i can do a richer more accurate back test, and its current incarnation is good enough as a means to manually trade on the ThinkOrSwim platform.
Also, do not ask for the code, it will not be provided... but you CAN ask me to run the code against some stock, future, etc, as a back test to see how it would perform, and if there isn't too many of them, i will be glad to do that. This is to avoid the claim that what i did was cherry pick.
Note that this came out of experimenting to find some niche trading algorithm that would boost returns, and that starting next week i will be forward testing it manually for day trading, and for swing trading. Not all funds use software to automatically trade. ALSO, many of them take the signal, then manually trade with it, because their positions are so large that they need to do so. They are never going to get perfectly accurate entry and perfectly accurate exits either.
Other than trade this one myself, my wife and i really dont know what to do...
When i first got results i was gobsmacked and still am, and still do NOT believe it.
The method does NOT look ahead at all, and its not complicated with lots of various averages, stochastic points, etc... so its not possible it's fitting to the past.
let me state this clearly for the sake of honesty:
It was mostly dumb freaking luck that what i tried and was playing with turned out the way it did, it was just an odd look at it and some playing and then gob-smack city where i have to share it, just cause i dont believe it yet myself.
Ok... so with all those caveats hoping to negate the most common criticisms i wish to share my results... so far (and welcome some targets to test against).
First a post to show how things can be off a bit... and that i know this, and that it doesnt really matter as much as one may think. Even less so going forward given that it isnt software that is trading it, and that limit and market orders and other kinds of entries are possible in real life.
below is one of the kind of oddities...
And it shows that the graph vs the entry is a bit off.
The computations are done on the close of the prior candle to the display
and the buy is at the open price of the next candle...
Given that this algo is great at capturing the long runs, and by best guess is only in about 7% to 10% of the time, its not a huge deal. Even less so if one thinks that one sees the signal, and then enters manually (at least in TOS). AND it matters even less if one divides the results in half just to give it a negative 50% error rate in its consideration!!!!!!!!
This particular example was pseudo randomly picked. I never heard of the company, dont know what they do, and they came up on a search. TD does not let you batch your back tests or lets you build a portfolio and do so. that will have to wait till i finish implementation on another system that will give metrics on top of just graphic results and sheets records of the trades. Well call it something to look forwards to.
in this case i was looking to see how it did to see if i could use it to day trade for enough to live on (since i have this time that i am now out of work after 15 years of writing software applications for medical research and a college, and am learning python,and so on and so on).
After i put these next two images up, i will start another post, as i dont want them to get uncomfortably long.
This test was a day test set to 1 minute periods, long buying only, and with 100 shares. my live paper test will be the same, but maybe i might do it with 500 shares as a bit more realistic.
Given enough of a time period, the method so far has not lost money...
this is why i dont trust it... it HAS lost money in its trading period, but not in terms of the whole. this is why i dont trust it, but am willing to try it. Weirder things have happened in the world...
next post... 10 year results for a few stock, futures, Forex, and an index (NASDAQ bank). to make sure they are accurate, i will rerun them just for these posts, in case i mixed something up or some such.
10 year, daily chart, 1000 units (whatever that comes to), and the result side of the charts if they are too long to fit on screen... which if 10 year and daily, will be too long to fit...
Ultimately what I have is an algorithm that encapsulates a strategy. The major difference from some technical analysis or chartist artwork is that this does not put up anything but buy and sell orders. That is, it tells you when to buy, and tells you when to sell, and its FAR from finished as its in it’s first iterations, and since I discovered it, I still have a long way to go to understand how and why it works, and from that improve it.
Before I move on, the title is a hat tip to an old SNL skit from the days of the original players called “Shimmer”. It’s a desert topping it’s a floor wax skit, where Chevy Chase steps in on a husband and wife arguing as in old B&W commercials and fixes their lives by informing them, it’s both, a dessert topping AND a floor wax.
Those wishing to go back in time and see Shimmer skit can go here:
https://www.nbc.com/saturday-night-live/video/shimmer-floor-wax/n8625
I recently posted in this thread an example of my recent work:
https://www.elitetrader.com/et/threads/a-strategy-that-is-a-secret.339655/
But soon after thought that i needed my own thread... so here we are.
As with anyone trading (as opposed to investing), we are all looking for signals to buy, signals to sell, ways of knowing how long to stay in, and all manner of strategies and all manner of methodologies we try to stick to.
Recently i was on Quantopian, and now moved over to Quantiacs, as I wanted to learn Python, and why not kill two birds with one stone? I had more recently been experimenting with various strategies on ThinkOrSwim... (and am looking for a platform where a strategy can be used to trade as that was the original intent).
Now before i go on and on, and get into the results, I need to point out that ThinkOrSwim has no automated trading (though i hear it used to, which now is nice trivia). Also, it really does not do great back testing of ideas or strategies (good enough is good enough), and its methods for making trades in strategies has a lot to be said negatively. So understand that what i will be putting up is kind of loose, in terms of implementation. Its buy and sell signals are slightly off, and only within how that programs methods work. BUT also note that given the results, being a tiny bit off is not a show stopper killer... if something goes up five points and your off by 5 cents on entry or exit, it may not be accurate, but its also not so far off what your looking at is not worth looking at.
I am also coding things for Quantiacs so that i can do a richer more accurate back test, and its current incarnation is good enough as a means to manually trade on the ThinkOrSwim platform.
Also, do not ask for the code, it will not be provided... but you CAN ask me to run the code against some stock, future, etc, as a back test to see how it would perform, and if there isn't too many of them, i will be glad to do that. This is to avoid the claim that what i did was cherry pick.
Note that this came out of experimenting to find some niche trading algorithm that would boost returns, and that starting next week i will be forward testing it manually for day trading, and for swing trading. Not all funds use software to automatically trade. ALSO, many of them take the signal, then manually trade with it, because their positions are so large that they need to do so. They are never going to get perfectly accurate entry and perfectly accurate exits either.
Other than trade this one myself, my wife and i really dont know what to do...
When i first got results i was gobsmacked and still am, and still do NOT believe it.
The method does NOT look ahead at all, and its not complicated with lots of various averages, stochastic points, etc... so its not possible it's fitting to the past.
let me state this clearly for the sake of honesty:
It was mostly dumb freaking luck that what i tried and was playing with turned out the way it did, it was just an odd look at it and some playing and then gob-smack city where i have to share it, just cause i dont believe it yet myself.
Ok... so with all those caveats hoping to negate the most common criticisms i wish to share my results... so far (and welcome some targets to test against).
First a post to show how things can be off a bit... and that i know this, and that it doesnt really matter as much as one may think. Even less so going forward given that it isnt software that is trading it, and that limit and market orders and other kinds of entries are possible in real life.
below is one of the kind of oddities...
And it shows that the graph vs the entry is a bit off.
The computations are done on the close of the prior candle to the display
and the buy is at the open price of the next candle...
Given that this algo is great at capturing the long runs, and by best guess is only in about 7% to 10% of the time, its not a huge deal. Even less so if one thinks that one sees the signal, and then enters manually (at least in TOS). AND it matters even less if one divides the results in half just to give it a negative 50% error rate in its consideration!!!!!!!!
This particular example was pseudo randomly picked. I never heard of the company, dont know what they do, and they came up on a search. TD does not let you batch your back tests or lets you build a portfolio and do so. that will have to wait till i finish implementation on another system that will give metrics on top of just graphic results and sheets records of the trades. Well call it something to look forwards to.
in this case i was looking to see how it did to see if i could use it to day trade for enough to live on (since i have this time that i am now out of work after 15 years of writing software applications for medical research and a college, and am learning python,and so on and so on).
After i put these next two images up, i will start another post, as i dont want them to get uncomfortably long.
This test was a day test set to 1 minute periods, long buying only, and with 100 shares. my live paper test will be the same, but maybe i might do it with 500 shares as a bit more realistic.
Given enough of a time period, the method so far has not lost money...
this is why i dont trust it... it HAS lost money in its trading period, but not in terms of the whole. this is why i dont trust it, but am willing to try it. Weirder things have happened in the world...
next post... 10 year results for a few stock, futures, Forex, and an index (NASDAQ bank). to make sure they are accurate, i will rerun them just for these posts, in case i mixed something up or some such.
10 year, daily chart, 1000 units (whatever that comes to), and the result side of the charts if they are too long to fit on screen... which if 10 year and daily, will be too long to fit...
