Just show me one intraday mechanical trading system that is profitable

Quote from bespoke:

ok i'll bite. here are the results of one of my intraday strategies. i show this one cause it's the most consistent due to the number of trades it takes everyday. a very simple R/S system that trades from 10 until 4.

here are friday's results (i could show you a better day but then i'd be cherry picking). it was a really slow day, well below average in terms of volume and # of stocks traded. efficiency (cents per share) has very low variance day to day. on a 100+ day positive streak. 100% automated. unfortunately only scalable to about 1mil a year as it is. hopefully will be able to tweak it for more.

so there. there's a profitable intraday system. obviously i won't give the details except to say it's very simple (no macd, stoch or whatever BS)
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Your fees look pretty reasonable from the chart posted. I have one very simple 1 min system that has backtested profitable but would need prop firm type fees and execution (ie $0.25/100 shares for removing liquidity)... and I not sure how a guy gets this kind of deal...

Again, great work on that system.

Any one else care to share?
 
Quote from Kris:

Tight Face did you backtest extensively before implementing your system?
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Yes I did. Sample, out of sample, walk-forward... portfolio exposure is @ 25% in backtests, but in real trading I run @ 50% exposure.
 
Out of curiousity, how many years did it take you guys to formulate the idea, build the system, automate and run it?
 
Quote from bespoke:

there's lots of people here that have fully automated intraday systems that make a killing. especially opening strategies (i use 2 myself). i doubt they'll post though.

i didn't backtest this. it was just something i observed from my own trading and i decided to automate it. this goes for my other strategies as well. i only run 1 strategy that has been backtested. i have backtested everything you can think of intraday and only thing i've found to work is a falling knife strategy.

trend fader, i trade with sterling
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can you run multiple automations on 1 account? Who else uses Sterling besides Echo?
 
Quote from Kris:

In response to the other thread posted, it is apparent that there are numerous daily trading systems using TA that are profitable. However, intraday is a different story and I didn't see anyone mentioning successful intraday systems they've developed (I'm talking equities only, no overnight holds). I've had some success with my own trading systems on the daily timeframe, but when tested on 15, 5, or 1 min timeframe do not show nearly the same results. Anyone had success on the intraday playing field?
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I would seem to think that you have not looked hard enough and you might also be barking up the wrong tree with what you are looking at. Just because you can't do it does not mean no one else is. I've never been able to run the 100m in under 10.9 seconds (in HS), does not mean no one else ever have. Likewise I have not ever been able to develop a mechanical trading system of any type that works very well, but there are plenty of people who make boatloads of money with them..and alot are simply intraday traders. Some of them don't even hold anything on average for more then a few seconds.
 
Quote from mikesmithv:

Just curious, have you been trading your falling knife strategy in the past 4 months? Ether you are very clever about knowing when to step aside or you have another strategy that makes a killing on those market meltdown days (probably both). I don't even have those strategies on my main hard drive these days!
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Oddly enough, it works best during meltdowns. Its best period in the backtests were during the tech meltdown. And it had it best months live during the credit crunch (beginning july 07) in terms of cents per share. I just got lucky when I discovered it. It was actually a small coding error in a formula I was using (put the square around the wrong brackets). Funny thing is, correcting the error produces no profit. Lucky me! Tight stop and hope for the best.

forsalenyc: ya you can run as many strategies as you want. depends entirely on your program and how you keep track of your trades/positions. i just decided to run certain strategies on different accounts on different computers because i don't like then interfering with each other. and you can connect to the api as many times as you want with as many programs as you want.
 
That's a great story. It seems what is most counter-intuitive produces the best results. I better let you get back to whatever you are working on now - probably a shorting strategy that works best in bull markets LOL!
 
Quote from Kris:

Any one else care to share?
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I am in the middle of getting up to speed with an intraday system and I'm finding that a much tougher nut to crack. I'm profitable simulated (my own simulator and IB's) and I have traded it live a bit but I'm just not comfortable with it. I think multiple systems tuned for different markets is the way to go but that will take some time.
 
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