rt ES ATS journal

I've been a way for a bit, so haven't posted in a few days. Time to catch up...

Thursday, 05/07/2009
Security: ESM9
Session PNL: ($161.40) USD
To-Date PNL: $7,241.94 USD
Account Balance: $92,619.08 USD
 

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This sequence of days is a good example of a drawdown that can really test your patience. I have yet to discover a system that can avoid times like this....

Monday, 05/11/2009
Security: ESM9
Session PNL: ($836.40) USD
To-Date PNL: $5,650.84 USD
Account Balance: $91,027.98 USD
 

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Quote from rickty:

RoughTrader,

Interesting journal; I would never of thought of using a trend following approach on the ES. Have you looked into applying your method on other stock indicies?

Please keep those updates coming. I think you would have made out like a bandit today (but maybe not so well yesterday).

Richard
More...

Hi rickty,

I trade the ES, NQ, and YM on my largest account, which is used for long-term growth. I also trade the 3 stock indexes in my income account, but on a notably smaller scale. This account I'm documenting here is a pet project of mine, and I'm only documenting ES trades starting with the smallest of size. I want to use it to force myself to document my performance better (forces me to update my spreadsheet for each account every day), but also to see if I can show fellow ETers that it is possible to be profitable from automated "hands-free" mechanical daytrade systems. This entails demonstration of both entry and exit as well as money management.

I've been in a drawdown for about a week now, but today was a fairly good day. We'll see if we can get a series of sessions that will pull the account out of the DD....

rt
 
Quote from sphedge:

Are you using Tradestation? For both strategy automation and as a broker?

Thanks
More...

I use TS with ninjatrader via NTdirect.dll for order execution. I have scripted my own custom execution script which is implemented as an easylanguage "indicator" in a tradestation chart. The "indicator" is referencing NTdirect.dll to issue commands to IB TWS through Ninjatrader.

This has worked fine for me for some time. My style of trade would even allow using TS as the broker, as I obviously do not employ a rapid-fire intraday method. I don't like the way TS has set up their brokerage service, requiring specific accounts to trade specific instruments, and wiring funds out of your account is a pain in the ass.

Right now I'm looking into using NTdirect.dll inside ninjascript. Because ninjascript is C# with specific custom classes, the language is more powerful than easylanguage. Again, the goal is to avoid using a canned approach to automation. I feel automated execution is a completely separate and distinct development effort from strategy design, which is simply a modeling effort.

I have more investigating to do, but I'm pretty sure ninjascript can reference functions provided by NTdirect.dll. If so, I will port my easylanguage execution script to ninjascript/C#. I have also been curious about the zenfire feed for some time, so I am also thinking to open a small account with mirus futures to see if I can implement order execution using zenfire / NT, and reserve TS only for offline modeling and strategy design.

rt
 
Can you suggest a few articles or books for intro into automated trading? I read the previous post and realize how little I know.
 
Quote from smgreen:

Can you suggest a few articles or books for intro into automated trading? I read the previous post and realize how little I know.
More...

My previous post was about automated order execution, so I guess you want to learn more about that.

There are canned solutions that offer strategy design / backtesting AND automated order execution all from one script. TS is a good example. I generally disagree with the soundness of this approach.

I believe using "order entry macros" is the way to go. These macros are nothing more than commands issued to your broker platform. They are order submission, order modification, and order cancellation. TS has the order entry macros that can be called from script, and NinjaTrader does as well. I chose to use NinjaTrader.

You can go to NinjaTrader's website to find documentation on automated trading. There really is no book to learn from, but you have to overcome a programming learning curve if software design is not your thing.

rt
 
will you update your last results ?

i am very curious how your ats has been performing this
week in those volatile trending days

i also apreciate the tips you have been given very much

this tread keeps me motivated not to give up on my current work and stay creativ as it is proof automated trading can be done


good luck
 
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