Schizo Greybox Trading

[schizo]

Here's the running tally of the trades thus far. I might have screwed up with the math, so do your own calculation. All in all, I ain't too impressed, to say the least.

Cumulative P/L:

Prior to Opening Bell

-0.25
-0.75
-0.50
-0.25
+0.00
+0.00
-0.25
-0.25
-0.75
+0.25
-0.50
-0.50
=======
-3.75

Since the Market Open

-1.50
+0.00
+0.50
-1.25
+0.50
+2.25
+0.00
+0.75
+1.00
-0.75
+0.25
+1.75
-0.75
+0.25
+0.75
-0.25
-0.25
-0.75
+0.50
+0.50
-0.75
-0.50
+0.25
-0.75
+0.50
+0.00
-0.25
-1.00
+1.00
=======
+2.00

 

[theapprentice]

I doubt many could beat it with their own realtime calls in fairness! lol

 

[i am nobody]

A trader making plenty of money holding for 15 minutes per trade is entirely realistic and common, therefore it's not one of your fantasy 'ifs'.

A trader losing plenty of money holding for 15 minutes per trade is entirely realistic and common, therefore it's not one of your fantasy 'ifs'. And losing is more probable than winning.

My 60 min was also just an arbitrary value. Just to show the difference between traders who hold seconds or 1-2 minutes versus traders who stay in for a longer time.
If you should predict the weather for the next 10 seconds or for the next minute it is very easy. But with the lenght of time predicting becomes much more difficult.
For short or very short term you don't need to be an expert, for longer periods it becomes harder if not impossible for most.

 

[syswizard]

Cumulative P/L:

Prior to Opening Bell

-0.25
-0.75
-0.50
-0.25
+0.00
+0.00
-0.25
-0.25
-0.75
+0.25
-0.50
-0.50
=======
-3.75

Why on earth would you trade the pre-opening hours with all of the chop ?
Your system works decent when there is adequate volume and movement.
Stop and Reverse systems like yours are great when there is good movement....terrible when there is not.

 

[d08]

A trader losing plenty of money holding for 15 minutes per trade is entirely realistic and common, therefore it's not one of your fantasy 'ifs'. And losing is more probable than winning.

My 60 min was also just an arbitrary value. Just to show the difference between traders who hold seconds or 1-2 minutes versus traders who stay in for a longer time.
If you should predict the weather for the next 10 seconds or for the next minute it is very easy. But with the lenght of time predicting becomes much more difficult.
For short or very short term you don't need to be an expert, for longer periods it becomes harder if not impossible for most.

It's "easy"? So why aren't you raking it in? In fact you can trade more often, compounding your money into billions "easily".
You're not thinking about what you're saying, are you.

 

[schizo]

Thanks for all the comments. Frankly, I'm too damn tired to respond to y'all. I will look over them later and respond appropriately, where needed.

BTW this system is still work in progress. Moreover, I'm still relatively new to automated trading so, yeah, it would likely take more fix to become useful.

 

[schizo]

I had a friend who spent Five years running four computers constantly trying to solve trading, just like there are people who thought they could solve chess, he thought he could solve trading. He goes "live" after three years of back-testing his baby, a few minor tweaks(the two years were searching, the last three was mastering his perfect program) and he's ready for the Big Time! He lost $1762.80 after five days of FX trading, walked away never to trade again!



He gave his computer program and laps tops away and decided to sell stocks for AG Edwards shortly before 2008(AG was absorbed in WACI, WACI bought out by WFC and most AG were absorbed or laid off). Someone made a few tweaks to his system, they ended up making on average $900 a week consistently, don't tell old Chuck someone used his system and it worked!

Let's do some math. How much, in terms of $$$, would all the time and effort he invested in testing and implementing his trading system? It would definitely be more than $1762.80. Even working at McD for 3 years would earn you more than that!

So after gruelling for 3 years, he simply walks away because he lost a measly $1762.80? That's incredible. I've been known to lose ten times that much in one day's trading. :eek::eek:

 

[schizo]

Do you also curve-fit in this latest system?

If yes, it is very likely that it would not last.

Can you be 100% free of curve-fitting? If so, please enlighten me.

 

[schizo]

That's an interesting point. although I'm not sure whether my limited programming skill is sufficient to code it. I would probably need to hire someone to run the laundry. Can you provide some concrete example? I get the overall gist of your point but something more concrete would be helpful.

There's 390 or 405 (1 minute) bars in the day session.

Instead of using a fixed 233 tic bar everyday you can calibrate size to time using TotalTicsPerDaySession/390 and average the result over nn days. It will seem strange using a different bar size everyday but this is how size is calibrated to time. If you want the equivalent of 15 second bars divide the result by 4.

 

[schizo]

what is your stop for each trade? Way too many trades going on in a chop range.

No stop. It's either BUY or SELL SHORT.

You're correct. Trading in the chop zone is the biggest contributor to losses. But then, I have yet to find a good method of telling the damn algo how to differentiate between trend vs chop--before it actually happens. If you do, please let me know.