It's a algorithm, it's a strategy, it's BOTH an algorithm and a strategy
- Thread starter Artfldgr
- Start date
This is an effort to move another thread and keep the discussion going on this subject in one thread..
From
easymon1
Mr Artfldgr,
Time permitting, would you please run that same GC futures contract, but this time on a 30 minute per bar chart instead of daily bar?
Another suggestion follows:
Preliminary Prototype Runs:
Range Bar Charts
https://www.investopedia.com/articles/trading/10/range-bar-charts-different-view.asp
Volume bar charts
https://www.quantshare.com/how-288-how-to-create-volume-bar-charts
Tick Charts
https://emini-watch.com/emini-trading/tick-charts/
Heikin-Ashi
https://www.investopedia.com/trading/heikin-ashi-better-candlestick/
When you move this thread, please let me know.
Cheers
From
easymon1
Mr Artfldgr,
Time permitting, would you please run that same GC futures contract, but this time on a 30 minute per bar chart instead of daily bar?
Another suggestion follows:
Preliminary Prototype Runs:
Range Bar Charts
https://www.investopedia.com/articles/trading/10/range-bar-charts-different-view.asp
Volume bar charts
https://www.quantshare.com/how-288-how-to-create-volume-bar-charts
Tick Charts
https://emini-watch.com/emini-trading/tick-charts/
Heikin-Ashi
https://www.investopedia.com/trading/heikin-ashi-better-candlestick/
When you move this thread, please let me know.
Cheers
Well, this was interesting... the shorts lost money...
without enough trades, it doesnt have enough to win to make up for the few not wins
but overall...
$1,530.0 Bull
($230.00) Bear
------------------
$1,300 which is still ahead...
surprise... i also included 5 min 1 contract charts for you too..
There was enough potential trades in a day that these both won..
$2,970.00 Bull
$1,420.00 Bear
-------------------
$4.390.00 isn't too shabby..
without enough trades, it doesnt have enough to win to make up for the few not wins
but overall...
$1,530.0 Bull
($230.00) Bear
------------------
$1,300 which is still ahead...
surprise... i also included 5 min 1 contract charts for you too..
There was enough potential trades in a day that these both won..
$2,970.00 Bull
$1,420.00 Bear
-------------------
$4.390.00 isn't too shabby..
and thanks for the links.. i love to learn.
did you know that one of the examples for quantiacs is the ashi?
https://github.com/Quantiacs
i wonder if combining that with what i have may make a better thing..
hmmmmm... tick tock goes da brain..
did you know that one of the examples for quantiacs is the ashi?
https://github.com/Quantiacs
i wonder if combining that with what i have may make a better thing..
hmmmmm... tick tock goes da brain..
Mr Artfldgr,
Position Sizing
Your system spins off numbers. That's good. You have a record of past performance. Beauty.
Here comes a Sh*t Storm or I'll eat a charred T-bone steak.
Why not see if you can find an hour or so to focus and familiarize with Position Sizing.
Here's a handy place to start, chapters 4, 5, and 6. See what you think.
chapters 4, 5, and 6
https://www.interactivebrokers.com/en/index.php?f=26662
Futures margin requirements are based on risk-based algorithms. All margin requirements are expressed in the currency of the traded product and can change frequently.
Eventually, nearer the time to implement Position Sizing, go look at what the sh*t storm blew in and take a look at what's suggested.
Perfection doesn't exist. 80/20 Pereto principle does.
Cheers
Expectancy Calculation, cued up.
Given the nature of the beast (system) there will be some columns that may use different headings. No worries, it's a good place to start. Don't compare your Exp'y Calcs to a Stop-Based system's. Compare them within the genre.
Know how to generate on the fly, the 'Expectancy' of various prototypes, products, trade sessions, eg. gold after 7:am to xx:xx?
It's easy. Some of this does not apply, but when you iron a sheet, why overthink it, pick a spot, get started, iron out from there. Adapt it as you go.
this part is not rocket science.
and Cheers
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Mr Artfldgr,
Products
The ES, CL and ZN products listed above offer very high volume compared to a product like, say, PA, palladium, which is a low volume product.
This may be important for your systematic approach in order that there be a great enough number of bids/ offers to offset the entry/ exits generated by your system. High volume helps limit slippage and timelag between the order and the fill, all things being equal.
Palladium and Lumber on the other hand might give bad fills away from the price desired. I'll post contract info on these below so you can test and see if that's the case.
These contracts should provide interesting results and spin off some useful numbers when run through some of the various prototypes, timeframes, chart types, etc. Those numbers could be fed into position sizing calculations to start prototyping that.
It's all good.
Know that all you have to do is hold your goal before you. Everything else takes care of itself.
Cheers
Products
The ES, CL and ZN products listed above offer very high volume compared to a product like, say, PA, palladium, which is a low volume product.
This may be important for your systematic approach in order that there be a great enough number of bids/ offers to offset the entry/ exits generated by your system. High volume helps limit slippage and timelag between the order and the fill, all things being equal.
Palladium and Lumber on the other hand might give bad fills away from the price desired. I'll post contract info on these below so you can test and see if that's the case.
These contracts should provide interesting results and spin off some useful numbers when run through some of the various prototypes, timeframes, chart types, etc. Those numbers could be fed into position sizing calculations to start prototyping that.
It's all good.
Know that all you have to do is hold your goal before you. Everything else takes care of itself.
Cheers
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Mr Artfldgr,
Here's something you might have a use for ...
Interactive Brokers - API Software
https://www.interactivebrokers.com/en/index.php?f=5041
1. build trading applications - Interactive Brokers clients can build their own trading applications, obtain market and chart data and view IBKR account detail using our API solutions.
2. Python - Our API solution supports a number of languages, including Java, .NET (C#), C++, Python, ActiveX or DDE.
3. demo account - We also let you use a demo account to back-test your setup and test trade ideas before going live.
cheers
Here's something you might have a use for ...
Interactive Brokers - API Software
https://www.interactivebrokers.com/en/index.php?f=5041
1. build trading applications - Interactive Brokers clients can build their own trading applications, obtain market and chart data and view IBKR account detail using our API solutions.
2. Python - Our API solution supports a number of languages, including Java, .NET (C#), C++, Python, ActiveX or DDE.
3. demo account - We also let you use a demo account to back-test your setup and test trade ideas before going live.
cheers
