Real Money Automated Trading Journal

[clearinghouse]

Quote from frostengine:

I wish I was using the SIM account. Unfortunately, I am trading using live money. I am being told to "replicate" the issue on SIM to "prove" its an issue with NinjaTrader. Sounds like your having issues on SIM as well. Hopefully they can resolve it.

Frosty, just stop using NinjaTrader or any of these junk retail platforms. Write your own order management system. It will take you a few weeks to debug and work out the kinks, but it will pay off in the long run in ways you wouldn't imagine.

Those retail platforms are almost for casual gamblers, click traders, and people who have hold times on the order of days. Their charting is usually very good, but the actual automation side of it -- they are almost always disasters in the long run.

 

[frostengine]

My strategy is officially out of the draw down. It has hit a new intra-day high of $1022.

 

[mirzaof]

Have you thought about using more than one strategy?
SOrt of like diversification in gunslinging?

 

[frostengine]

Yes, I refer to the term strategy generically.

I have a strategies utilizing 4 range bars on the following currencies (each is its own strategy)
- EUR/USD
- NZD/USD
- AUD/USD
- USD/JPY
- GBP/USD

I have strategies on 10 minute bars for the following currencies:
- EUR/USD
- NZD/USD
- AUD/USD
- GBP/USD

Which gives me 9 total strategies which make up my "strategy"

 

[frostengine]

<b>Results for the week of 8/26-8/31</b>
<b>Starting Balance:</b> $1000.83
<b>Ending Balance:</b> $1023.13
<b>P/L:</b> +$22.30
<b>Pips:</b> +223
<b>Trades:</b> 33
<b>Avg Trade (pips):</b> +6.75
<b>Skipped Trades:</b> 5
<b>Total Slippage:</b> -12.8 pips
<b>Commission:</b> $-.05
<b>Total Cost Per Trade (pips):</b> -.403 pips

<b>Thoughts</b>
Great week!!! The draw down period is now over. It lasted about 4 weeks. I am also pleased with the number of skipped trades. Past 2 weeks, roughly 1/4 of all trades were being skipped. This week only 13%. Still need to improve in that area however.

Now that I have survived the first draw down, I have enough confidence to increase size. I have put another 4k into the account. I will use this to start slowly scaling up the strategy so that I can identify bugs and issues that happen as size increase. I imagine this will increase the likelyhood of partial fills.

My account balance going into next week will be: $5023.13

<b>Challenges</b>
Phantom trades continue to be a bother. Only once occurred this week and actually made a little money on it.

 

[arbus]

Hi
Nice thread!

How do you work out your trade exits?
with an average of 6 pips you are really at war with your broker.

Last time i checked my slippage was neutral. Sometimes I get a better price, sometimes worse.
Your slippage seems extreme. -12.8 pips on 33 trades. That is like giving over 2 profitable trades to your broker out of 33 trades. You actually have to make 4 extra profitable trades to be where you should be without the slippage.

If your broker is a STP, there should be a 50/50 chance of getting a better or worse price?

 

[frostengine]

I should probably clarify regarding slippage. I am using "limit" orders so there is no slippage from the actual execution. I consider slippage to be the difference between the last "close" price that generated the signal versus the price I get filled to enter the position. Its not really a slippage due to the broker so much as just the reality of entering a position after a signal was generated in a rapidly moving market.

 

[frostengine]

This week I am increasing my size from 1000 to 2000. I had originally planned on increasing to 5000 to match my account value. However, I made very substantial execution changes this weekend in the hopes of achieving 4 goals:

#1 Put a hard limit on the max slippage I can incur in a trade. Since my strategy can auto adjust the limit price to try and get a higher fill rate, I had the potential to incur more slippage than I wanted.

#2 I have gone through great lengths to try and improve my fill rate. I expect this week to have the best fill rate since starting the limit orders a few weeks ago.

#3 I made my EOD close use limit orders as well. I noticed those trades are the ones causing me to be around break even on commission instead of actually "making money" due to MBT pay for limits. This week should result in positive commission.

#4 I discovered another potential phantom trade condition,and have added code to detect so that I can manually resolve if it occurs.

If all goes well from an execution standpoint, I will move to 5000 next week.

 

[frostengine]

<b>Results for the week of 9/2-9/7</b>
<b>Starting Balance:</b> $5023.13
<b>Ending Balance:</b> $5055.48
<b>P/L:</b> +$32.35
<b>Pips:</b> +162
<b>Trades:</b> 45
<b>Avg Trade (pips):</b> +3.6
<b>Skipped Trades:</b> 2
<b>Total Slippage:</b> -26.3 pips
<b>Commission:</b> +$.02
<b>Total Cost Per Trade (pips):</b> -.58 pips

<b>Thoughts</b>
Another great week, skipped trades have decreased substantially and are now at a comfortable level, however slight up tick in slippage has me concerned. I believe its related to the mechanisms put in place to capture more trades.

Will continue slowly scaling the strategy up.

<b>Challenges</b>
Two new phantom trades this week. I need better mechanisms for detecting as they both went undetected until closing at end of day. It cost me about 50 pip this week.

 

[frostengine]

Is anyone really reading this journal?