Nooby McNoob becomes a quant

nooby_mcnoob · Apr 20, 2018

Journal entry

I haven't been consistent with the journal because I've been busy (7 figure contract), but the algo has been trading. The main thing is that I've been able to replicate bad live (paper) entries in back testing!

The other day I watched the algo make repeated stupid decisions while trading live and I understood completely why this was happening and more importantly what auxiliary data I need to create to avoid it. Now that I've been able to reproduce the bad paper entries in back testing, it means that I can fix this problem.

I was also able to resolve the issue with the algo randomly crashing on me.

However, I'm not sure when I'll get back around to it. I'm looking to the contract to build up a bigger cushion as I am expecting a 2008-style slowdown in the next year or two.

Here is where I'm at:
- Automated trading system in the cloud that brings itself up and down and alerts me if anything is wrong
- Backtesting matching live trading (after a lot of pain!)
- Commissions/slippage modelled in backtest
- A thesis on how to avoid the bad entries that I'm seeing
- A system that appears profitable even with the bad entries + commission

I will continue to monitor that backtesting entries match paper trading over the next month. I will not trade live until I have them matching for a month or so. Even though I have bad live entries costing a lot in commission, if back test + paper trading give me a minimal profit, or stay flat, I will trade live starting June 1, 2018 to get that experience.

digitalnomad · Apr 20, 2018

Sounds awesome. I think you’ll turn out to be a real prodigy

Your journal has inspired me to possibly start my own. I’m getting a little bored with the site content here, and it will allow me to stay active on occasion.

HobbyTrading · Apr 20, 2018

nooby_mcnoob said:
Journal entry

I haven't been consistent with the journal because I've been busy (7 figure contract), but the algo has been trading. The main thing is that I've been able to replicate bad live (paper) entries in back testing!

The other day I watched the algo make repeated stupid decisions while trading live and I understood completely why this was happening and more importantly what auxiliary data I need to create to avoid it. Now that I've been able to reproduce the bad paper entries in back testing, it means that I can fix this problem.

I was also able to resolve the issue with the algo randomly crashing on me.

However, I'm not sure when I'll get back around to it. I'm looking to the contract to build up a bigger cushion as I am expecting a 2008-style slowdown in the next year or two.

Here is where I'm at:
- Automated trading system in the cloud that brings itself up and down and alerts me if anything is wrong
- Backtesting matching live trading (after a lot of pain!)
- Commissions/slippage modelled in backtest
- A thesis on how to avoid the bad entries that I'm seeing
- A system that appears profitable even with the bad entries + commission

I will continue to monitor that backtesting entries match paper trading over the next month. I will not trade live until I have them matching for a month or so. Even though I have bad live entries costing a lot in commission, if back test + paper trading give me a minimal profit, or stay flat, I will trade live starting June 1, 2018 to get that experience.

Well done! You now seem to have full understanding of your code, and full control over it. This will enable you to focus more on the trading aspect and less on the software aspect of the project.

nooby_mcnoob · Apr 20, 2018

HobbyTrading said:
Well done! You now seem to have full understanding of your code, and full control over it. This will enable you to focus more on the trading aspect and less on the software aspect of the project.

I have a lot of ideas where the software will help me to find edges automatically, but I will only go down this road if this strategy proves even moderately profitable over some time period. Everything I've built until now _should_ help there, but even if it doesn't, and I'm making a few hundred bucks a day on average, that would fund me.

Dreams...

digitalnomad · Apr 20, 2018

nooby_mcnoob said:
I have a lot of ideas where the software will help me to find edges automatically, but I will only go down this road if this strategy proves even moderately profitable over some time period.

Makes much sense, as I see no point of analyzing variations of a method without proven implementation and robustness.

221bazookas · Apr 28, 2018

nooby_mcnoob said:
I feel like the next steps are to print out all the trades and manually go over them using a third data provider to make sure everything is lining up and my backtests are executing correctly without lookahead bias. Thoughts?

..great thread !! Out of curiosity, did you stick with FX? Which data vendor(s) are you using?

221bazookas · Apr 28, 2018

nooby_mcnoob said:
Journal entry

Profit: 862.50
After commission: 702.40

Once I realized that the data was bad, I tried to minimize where the bad data was coming from (I would treat it as unchanging, but low and behold, the data would change midday - data correction? bug in code?).

Now I know where backtests are not matching live data. The next step is to slowly debug the issue. It's easy for me to verify when data is not matching, so theoretically I should track this down soon.

To answer @kj5159: I'm getting the backtest data and live data from IB. I can actually run a backtest WHILE the live data is trading and I get different information. This means to me that I am likely processing something incorrectly, somewhere.

..since your trading FX, it would be neater to add your daily +/- in pips.

221bazookas · Apr 28, 2018

digitalnomad said:
This is a huge issue. For example, if your system implements granular/precision calculations in real-time, you’ll see a drastic difference in execution when feeding it with IB snapshot data, as opposed to IQFeed tick data.

@digitalnomad , I believe he mentioned his system is not tick based, but ohlc based...would filtered tick data still be something to consider if his strat is based on ohlc? Or do you suggest this due to IQfeed having cleaner data?

221bazookas · Apr 28, 2018

@nooby_mcnoob..Found your thread today...glad to have found it! Noobie question:
Ive heard of auxilary data before as part of the design of the algo, can you explain whats the purpose of it compared to the primary data? Thanks in advanced

nooby_mcnoob · May 5, 2018

221bazookas said:
..great thread !! Out of curiosity, did you stick with FX? Which data vendor(s) are you using?

Welcome

Yes, FX. Just using IB for quotes for now.

221bazookas said:
..since your trading FX, it would be neater to add your daily +/- in pips.

This is a good idea.

221bazookas said:
Ive heard of auxilary data before as part of the design of the algo, can you explain whats the purpose of it compared to the primary data? Thanks in advanced

I'm as noob as you, but what I mean is that there is a calculation I do on top of the price to help me decide whether to enter.