Offering auto-trading long-only options system "sys13"

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Chubbly said:
You can create a paper trading account of 1 Million dollars

https://www.interactivebrokers.com/...unt_management_for_paper_trading_accounts.htm

Now go create an account and then forward test. If you can prove 1% a day for 1 month I will buy your system. Very simple
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Ok, that would indeed work. I was under the impression that it is only 100k. Anyways.
But what about the other requirements, ie. the streaming data? And: can their API be used with such a paper account?
And: is options trading possible with the paper account?
 
botpro said:
Ok, that would indeed work. I was under the impression that it is only 100k. Anyways.
But what about the other requirements, ie. the streaming data? And: can their API be used with such a paper account?
And: is options trading possible with the paper account?
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Yes. It is fully functional with their API
It has a 20 min delay for data
 
botpro said:
Hmm. but then people could accuse me of looking at the realtime data... Isn't it?
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It depends how long your trades remain open. In my system i keep trades open avg 40 days so 20 min means nothing. So if you are holding even a few days then 20 min means nothing.
If you hold trades for 20-60 minutes then yes you can fake it.

Right now you use fake GBM data that you make up so this is better.
 
Chubbly said:
It depends how long your trades remain open. In my system i keep trades open avg 40 days so 20 min means nothing. So if you are holding even a few days then 20 min means nothing.
If you hold trades for 20-60 minutes then yes you can fake it.

Right now you use fake GBM data that you make up so this is better.
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You better should be careful with your unfair accusations. The GBM data is neither fake nor made up.
It is in my very own interest to have everything as realistic as possible.

This is an example of trade durations in days:
Code: 
Trade durations in days:
Days Trades cumTr cumPct
  1:  1153  1153  66.00
  2:   293  1446  82.77
  3:   134  1580  90.44
  4:    82  1662  95.13
  5:    42  1704  97.54
  6:    21  1725  98.74
  7:    13  1738  99.48
  8:     4  1742  99.71
  9:     2  1744  99.83
11:     1  1745  99.89
12:     1  1746  99.94
14:     1  1747 100.00

I'll change it to get this statistics for 15 minute intervalls, ie. 26 intervalls/day.

BTW, above you talk of your own system. What kind of instruments do you trade with it? Options?
 
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Chubbly said:
It depends how long your trades remain open. In my system i keep trades open avg 40 days so 20 min means nothing. So if you are holding even a few days then 20 min means nothing.
If you hold trades for 20-60 minutes then yes you can fake it.
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Why "20-60"? Should that not be just 20 when the data is 20 minutes delayed?

My stats show that in the current version about 35% of all positions last less than 20 minutes or 38% last less than 60 minutes.
I think I can change this, so that this percentage then gets halved or so (but this then only for the 20 minutes).

Hmm. I think I can even try to keep a position at least 20 minutes. I have confidence in my system; it should master even that constraint.
But which impact that will have on the P/L I have yet to test.

Regarding your system: don't you pay too much time value when holding an options positions for so long, ie. on avg a whopping 40 days as you say?
 
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botpro said:
Regarding your system: don't you pay too much time value when holding an options positions for so long, ie. on avg a whopping 40 days as you say?
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I buy ITM Call options that expire 12-48 months away if I have a directional bias, they have very little time value deterioration
I also sell options when the opportunity is right. I enjoy exploiting the nature of the VIX term structure is also a favorite trade.
 
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Chubbly, it is impossible to test this with delayed data, without getting accused of fraud by peeping into the realtime data.
Even if I keep a position at least 40 minutes, or 60 minutes...
It can function only with realtime data.
Any ideas?
 
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Some statistics about trade durations after 252 trade days
(just an example, changes with each run and depends on the params):
Code: 
Used params for each bot (each bot trades just 1 instrument; trade means also strategic hedge-trades):
  MinWaitSecondsBetweenTrades = 300
  MinHoldSeconds = 600

Trade durations in 390 intvls/day:
Intvls =   Days   =  Minutes: Trades cumTr cumPct
    6  =   0.0154 =     6.00:    20    20   0.89
    7  =   0.0179 =     7.00:   394   414  18.34
    8  =   0.0205 =     8.00:    10   424  18.79
    9  =   0.0231 =     9.00:    20   444  19.67
   10  =   0.0256 =    10.00:    13   457  20.25
   11  =   0.0282 =    11.00:    10   467  20.69
   12  =   0.0308 =    12.00:     9   476  21.09
   13  =   0.0333 =    13.00:     9   485  21.49
   14  =   0.0359 =    14.00:    15   500  22.15
   15  =   0.0385 =    15.00:     2   502  22.24
   16  =   0.0410 =    16.00:    11   513  22.73
   17  =   0.0436 =    17.00:    11   524  23.22
   18  =   0.0462 =    18.00:     6   530  23.48
   19  =   0.0487 =    19.00:     6   536  23.75
   20  =   0.0513 =    20.00:     5   541  23.97
   21  =   0.0538 =    21.00:     6   547  24.24
   22  =   0.0564 =    22.00:    10   557  24.68
   23  =   0.0590 =    23.00:     8   565  25.03
   24  =   0.0615 =    24.00:     5   570  25.25
   25  =   0.0641 =    25.00:    12   582  25.79
   26  =   0.0667 =    26.00:     3   585  25.92
   27  =   0.0692 =    27.00:     8   593  26.27
   28  =   0.0718 =    28.00:     6   599  26.54
   29  =   0.0744 =    29.00:     2   601  26.63
   30  =   0.0769 =    30.00:     8   609  26.98
   31  =   0.0795 =    31.00:    11   620  27.47
   32  =   0.0821 =    32.00:     4   624  27.65
   34  =   0.0872 =    34.00:     6   630  27.91
   35  =   0.0897 =    35.00:     2   632  28.00
   36  =   0.0923 =    36.00:     5   637  28.22
   37  =   0.0949 =    37.00:     2   639  28.31
   38  =   0.0974 =    38.00:     7   646  28.62
   39  =   0.1000 =    39.00:    11   657  29.11
   40  =   0.1026 =    40.00:     2   659  29.20
   41  =   0.1051 =    41.00:     8   667  29.55
   42  =   0.1077 =    42.00:     4   671  29.73
   43  =   0.1103 =    43.00:     3   674  29.86
   44  =   0.1128 =    44.00:     5   679  30.08
   45  =   0.1154 =    45.00:     9   688  30.48
   46  =   0.1179 =    46.00:     3   691  30.62
   47  =   0.1205 =    47.00:     3   694  30.75
   48  =   0.1231 =    48.00:     6   700  31.01
   49  =   0.1256 =    49.00:     5   705  31.24
   50  =   0.1282 =    50.00:    12   717  31.77
   51  =   0.1308 =    51.00:     1   718  31.81
   52  =   0.1333 =    52.00:     5   723  32.03
   53  =   0.1359 =    53.00:     7   730  32.34
   55  =   0.1410 =    55.00:     4   734  32.52
   56  =   0.1436 =    56.00:     8   742  32.88
   57  =   0.1462 =    57.00:     3   745  33.01
   58  =   0.1487 =    58.00:     4   749  33.19
   59  =   0.1513 =    59.00:     8   757  33.54
   60  =   0.1538 =    60.00:     5   762  33.76
  ...
  100  =   0.2564 =   100.00:     4   905  40.10
  ...
  174  =   0.4462 =   174.00:     5  1132  50.16
  ...
  258  =   0.6615 =   258.00:     5  1355  60.04
  ...
  368  =   0.9436 =   368.00:     2  1581  70.05
  ...
  539  =   1.3821 =   539.00:     1  1806  80.02
  ...
  846  =   2.1692 =   846.00:     1  2032  90.03
  ...
  1227  =   3.1462 =  1227.00:     1  2146  95.08
  ...
  1532  =   3.9282 =  1532.00:     1  2201  97.52
  ...
  1714  =   4.3949 =  1714.00:     1  2212  98.01
  ...
  2220  =   5.6923 =  2220.00:     1  2235  99.03
  ...
  2505  =   6.4231 =  2505.00:     1  2246  99.51
  2519  =   6.4590 =  2519.00:     1  2247  99.56
  2527  =   6.4795 =  2527.00:     1  2248  99.60
  2550  =   6.5385 =  2550.00:     1  2249  99.65
  2551  =   6.5410 =  2551.00:     1  2250  99.69
  2565  =   6.5769 =  2565.00:     1  2251  99.73
  2708  =   6.9436 =  2708.00:     1  2252  99.78
  2751  =   7.0538 =  2751.00:     1  2253  99.82
  2842  =   7.2872 =  2842.00:     1  2254  99.87
  2922  =   7.4923 =  2922.00:     1  2255  99.91
  3424  =   8.7795 =  3424.00:     1  2256  99.96
  3795  =   9.7308 =  3795.00:     1  2257 100.00
 
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