Trading algorithmically a folio without stops (with IB), real $$$

Quote from elitetradesman:

I googled it, but nothing came up... Can you post the URL of your blog?

Thanks.
More...
Hi elitetradesman
Strange, maybe you mispelled it ? Thanks for asking anyway. A link to (free) copy request is <a href="http://www.datatime.eu/public/gbot/default.htm#copyrequest" target="_blank">here</a> (I maintain a private distribution list of people who receive periodic updates).
It looks like I have visits from 95 countries but almost 24% are from USA :-)
 
Hi fullautotrading,

what is the amount of capital in the account currently invested?

Very likely if you are investing only portions of the whole capital, the PNL will receive some shock after a novel portion is included, am I right?

Especially if the new portion of capital is used to invest in new instruments for which no past monitoring/investing by G-Bot has been done.

Thanks. Regards.
 
Quote from AItrader:

Hi fullautotrading,

so when you are saying:

>As a general consideration, it turns out
> the 3X (like DRN, ZSL, DGLD, ...) are not much comfortable to trade,

do you mean that G-bot strategy is not suitable for these type of instruments?
Could you explain why more in details?

Would you use 3X Etfs again in future portfolios or not?
Again could you please share your reasoning?

Thanks!
More...
Well, every instrument has pretty much his own "personality", and after a while they sort of become like friends, of whom you learn to know the all the strengths and weaknesses. It's therefore probably not much meaningful to generalize, as in fact one of the best performer so far is ERX, which is a 3X.

But yes, in general terms, all the instruments which have large "vertical $peed" (see: http://www.datatime.eu/public/gbot/MetricsForAlgorithmicTrading.htm) certainly do not work in our favor most of the time. The reason is that we would like to scalp rather tight and frequent. In particular, what is most useful is to have a large number of retracements (even in presence of strong trend, in case): what it is helpful is to be able to get in and out the largest number of scalps before being pulled too soon in a situation where we are forced to make "hedging" entries (that is stopping or defensive entries, which clearly slow down significantly the rate of growth of the gains).

So to respond to your question, I think that actual experience is always the best adviser. After all, the instruments actually tradable are not a huge number and one quickly learns to know them. In general terms, we do need some leverage, because most of the unleveraged stuff moves too little for our purpose.

Leveraged ETFs are certainly full of features and one really must get familiar. In particular, it is important to understand the inverse ETFs and be clearly aware of the "Universal Effects of Compounding " see for instance: http://www.proshares.com/funds/performance/the_universal_effects_of_compounding.html

Well, it should also be rather obvious, by just looking at the charts of these guys, that they are very special instruments, and need to be dealt with special care. See for instance these charts:

http://finance.yahoo.com/echarts?s=...n;ohlcvalues=1;logscale=off;source=undefined;
or
http://finance.yahoo.com/echarts?s=...n;ohlcvalues=1;logscale=off;source=undefined;

and so on. It's rather obvious they are no "ordinary" stuff :-)
 
fullautotrading,

thank you for your exhaustive replies as always.

I have a question about the price grid reference system used by G-bot.

Could you please provide a concrete example for the numeric variations in the last two months of:

a) the Short term SDX and a Long term SDX
b) Speed = Sydeways Speed + Vertical Speed
calculated on the FAS instrument in the current portfolio?

This would really help in understanding how G-bot "views" the FAS instrument during the period of time and decides how to deal with it.

Thanks.
 
Quote from AItrader:

fullautotrading,

thank you for your exhaustive replies as always.

I have a question about the price grid reference system used by G-bot.

Could you please provide a concrete example for the numeric variations in the last two months of:

a) the Short term SDX and a Long term SDX
b) Speed = Sydeways Speed + Vertical Speed
calculated on the FAS instrument in the current portfolio?

This would really help in understanding how G-bot "views" the FAS instrument during the period of time and decides how to deal with it.

Thanks.
More...
Hi AItrader,

About the capital, the investor has started with 201 K.

The account owner has switched to "<b>Portfolio Margin</b>" (instead of <b>RegT</b>) and this seems extremely beneficial to margins.
See: https://www.interactivebrokers.com/en/?f=/en/software/pdfhighlights/PDF-PortfolioMargin.php
It looks like they immediately dropped about to about 1/3 or less, as soon as the new regime has been enforced.

Actually, I think that without the "portfolio margin", in practice it would be nearly impossible to trade ETFs this way, as margin requirements are very large.

About FAS, since we have created that "option structure" we have seen previously, ALL the relative layers will be "frozen" in such a way to have a combined position of -400. [ To freeze or "lock" a layer one can just use the contextMenu > Force manual mode (to "lock" the layer) ].

We will re-evaluate, and possibly "awake" them, either at expiry or if the price reaches the bottom strike.

On Monday (when back to trading) I will provide those values you indicate: they can also be found (in general) by clicking contextMenu > Information > Layer Information, along many other useful things.
 
Quote from AItrader:

fullautotrading,
thank you for your exhaustive replies as always.
...

Could you please provide a concrete example for the numeric variations in the last two months of:

a) the Short term SDX and a Long term SDX
b) Speed = Sydeways Speed + Vertical Speed
calculated on the FAS instrument in the current portfolio?
...
More...
Hi AItrader,

here are the values (<b>resampled</b> series) currently stored in one of the FAS layer we have "locked" (see picture) from which the current SDX (<b>signed direction index</b>) is computed:
<table > <tr> <td style = "font-family: Courier New; width: 401px" > <code>
SDX <b>short term</b> - gridline hits:
2013-12-09 14:24:15:109 83.88
2013-12-09 14:29:03:081 83.97
2013-12-09 14:35:12:119 84.06
2013-12-09 15:26:16:979 83.97
2013-12-09 15:30:48:955 84.06
2013-12-09 15:36:56:810 83.97
2013-12-09 15:45:14:336 84.06
2013-12-09 15:48:42:506 84.15
2013-12-09 15:51:03:691 84.06
2013-12-09 15:59:48:247 84.15
2013-12-09 16:00:01:797 84.24
</code> </td>
<td style = "font-family: Courier New; width: 450px" > <code>
SDX <b>long term</b> - gridline hits:
2013-12-06 13:53:24:261 83.43
2013-12-06 15:32:04:523 83.25
2013-12-06 15:51:05:079 83.25
2013-12-09 09:39:09:991 84.15
2013-12-09 09:57:08:516 84.33
2013-12-09 10:19:49:207 84.15
2013-12-09 10:51:54:485 84.15
2013-12-09 11:48:44:364 84.51
2013-12-09 13:20:56:585 84.42
2013-12-09 14:24:15:109 83.88
2013-12-09 16:00:01:797 84.24
</code> </td> </tr> </table>

For the Short term and "longer" term SDX I am using currently 2 list of prices ("gridline-hit prices"), one long 11 and the other one long 101.
They are both resampled to size 11, so the first list is the same in the complete and "resampled" version. The second complete (trailing) list (from which the resampled version is obtained) is instead the following:


SDX long term - gridline hits:
<code>
2013-12-06 13:53:24:261 83.43
2013-12-06 13:55:00:541 83.52
2013-12-06 13:57:40:558 83.43
2013-12-06 14:06:44:779 83.52
2013-12-06 14:14:43:097 83.43
2013-12-06 14:19:54:672 83.34
2013-12-06 14:23:46:145 83.43
2013-12-06 14:46:23:667 83.34
2013-12-06 14:54:07:308 83.25
2013-12-06 15:11:07:226 83.16
2013-12-06 15:32:04:523 83.25
2013-12-06 15:36:12:233 83.16
2013-12-06 15:36:25:658 83.07
2013-12-06 15:36:42:303 82.98
2013-12-06 15:41:00:980 83.07
2013-12-06 15:44:36:258 82.98
2013-12-06 15:45:27:423 83.07
2013-12-06 15:46:04:723 83.16
2013-12-06 15:48:46:854 83.07
2013-12-06 15:50:38:864 83.16
2013-12-06 15:51:05:079 83.25
2013-12-06 15:59:30:980 83.34
2013-12-06 17:15:48:177 83.25
2013-12-09 08:42:10:344 83.88
2013-12-09 08:48:09:329 83.79
2013-12-09 09:10:56:531 83.97
2013-12-09 09:11:09:956 84.06
2013-12-09 09:27:52:370 84.24
2013-12-09 09:29:59:705 84.15
2013-12-09 09:39:01:081 84.24
2013-12-09 09:39:09:991 84.15
2013-12-09 09:41:26:667 83.97
2013-12-09 09:45:53:794 84.15
2013-12-09 09:46:08:674 84.06
2013-12-09 09:47:19:179 83.97
2013-12-09 09:47:31:624 84.06
2013-12-09 09:49:03:504 84.15
2013-12-09 09:49:57:244 84.06
2013-12-09 09:51:20:466 84.15
2013-12-09 09:55:37:606 84.24
2013-12-09 09:57:08:516 84.33
2013-12-09 09:57:42:686 84.42
2013-12-09 09:59:12:123 84.60
2013-12-09 09:59:44:278 84.51
2013-12-09 10:01:41:078 84.42
2013-12-09 10:05:59:877 84.33
2013-12-09 10:08:01:382 84.15
2013-12-09 10:08:28:217 84.24
2013-12-09 10:09:18:112 84.15
2013-12-09 10:14:09:157 84.24
2013-12-09 10:19:49:207 84.15
2013-12-09 10:22:48:213 84.06
2013-12-09 10:27:27:109 83.97
2013-12-09 10:30:22:144 83.88
2013-12-09 10:32:24:234 83.97
2013-12-09 10:38:51:953 84.06
2013-12-09 10:41:38:518 83.97
2013-12-09 10:46:42:715 83.88
2013-12-09 10:50:55:686 83.97
2013-12-09 10:51:27:605 84.06
2013-12-09 10:51:54:485 84.15
2013-12-09 10:54:22:342 84.24
2013-12-09 10:57:21:888 84.15
2013-12-09 11:06:00:244 84.24
2013-12-09 11:14:10:282 84.33
2013-12-09 11:15:49:492 84.42
2013-12-09 11:16:47:367 84.33
2013-12-09 11:23:58:877 84.42
2013-12-09 11:32:37:738 84.51
2013-12-09 11:36:25:017 84.42
2013-12-09 11:48:44:364 84.51
2013-12-09 12:02:18:576 84.60
2013-12-09 12:05:58:586 84.42
2013-12-09 12:11:49:788 84.33
2013-12-09 12:28:23:905 84.24
2013-12-09 12:43:11:158 84.33
2013-12-09 12:45:25:528 84.42
2013-12-09 12:52:41:359 84.33
2013-12-09 13:05:07:337 84.24
2013-12-09 13:12:01:388 84.33
2013-12-09 13:20:56:585 84.42
2013-12-09 13:25:46:693 84.51
2013-12-09 13:31:26:654 84.42
2013-12-09 13:41:43:850 84.33
2013-12-09 13:46:37:291 84.24
2013-12-09 13:48:35:226 84.33
2013-12-09 13:53:21:257 84.24
2013-12-09 14:09:29:901 84.15
2013-12-09 14:18:23:484 84.06
2013-12-09 14:20:47:109 83.97
2013-12-09 14:24:15:109 83.88
2013-12-09 14:29:03:081 83.97
2013-12-09 14:35:12:119 84.06
2013-12-09 15:26:16:979 83.97
2013-12-09 15:30:48:955 84.06
2013-12-09 15:36:56:810 83.97
2013-12-09 15:45:14:336 84.06
2013-12-09 15:48:42:506 84.15
2013-12-09 15:51:03:691 84.06
2013-12-09 15:59:48:247 84.15
2013-12-09 16:00:01:797 84.24
</code>
Actually this index is proving to be very useful to the purpose of creating games which better follow directional moves. Lately, I am using it more extensively to enhance the capability of the entries to follow directional (T players) moves, as opposed to the entries which wait for reversals (CT players).

Algorithmically, it is also suitable as it is very simple (and fast) to compute (more details on the computations are on this page: http://www.datatime.eu/public/gbot/MetricsForAlgorithmicTrading.htm#SDX ).

As you can see from the timestamps, it works quite tight, and looking at a short timespan. So, practically, we can provide a pretty fast reaction to price moves and direction changes, with good <b>noise-filtering</b> capabilities (due to the fact that the prices are taken on the price grid, and so not running after tickdata and subject to the influence of possibly different tickrates).

Clearly, the reason I use both short and "longer" term SDXs, is to be able to react quickly to possible directional changes, accelerations ("momentum") or slow down ("fading").

<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3911994" />
 

Attachments

so fullautotrading,

If I understand correctly the SDX values above are saying that the FAS instrument is trending (specifically going up, SDX positive).

But how do you use the Short vs Long SDX value lists?
Do you check for divergence in trends in the value lists?

So what do you do if for instance the Short SDX values are going laterally but the Long SDX values are going down?

Concerning dealing with FAS, it seems that, by locking FAS - manual trading set and embedding it in the option unit, you have decided to wait that FAS reverts so that the negative position turns negative.

So G-bot, if I understand well, will not scalp any longer on FAS, but will work only on the remaining instruments.

Thanks again for your time and patience in replying to my basic questions but they are really valuable to me to understand how G-bot works!
 
Quote from AItrader:

so fullautotrading,

If I understand correctly the SDX values above are saying that the FAS instrument is trending (specifically going up, SDX positive).

But how do you use the Short vs Long SDX value lists?
Do you check for divergence in trends in the value lists?

So what do you do if for instance the Short SDX values are going laterally but the Long SDX values are going down?
..
More...
Hi AItrader

The SDX index is a descriptive tool for realtime analysis of what is going on with the price. Sure, "divergence", as you say, is an appropriate term in this context.

Here follows a quick conceptual scheme on how a pair (short-term, "longer"-term) of SDXs can be used to detect some behaviors of the price curve.
The idea has analogies with the "oscillators" of course, but this one, of course, has been created specifically for a context of algorithmic trading.
In this case, I am currently using H = 10 and 100 and the resampling parameter R is 10. Clearly, H can be varied, depending on how tight we want to make our trading decision. Note that I simplified below, just to convey the general idea.

Of course those conditions on the SDXs are not sufficient for the indicated price behavior to occur. They are, instead, necessary.

So the implication is in this direction only:
something is going on with the price => the SDXs pick it

and *not* viceversa:
the SDXs signal it => something is going on with the price [not true].

So, there is no "predictive" intent, clearly.

<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3912559" />
 

Attachments

Hi fullautotrading,

thanks for you answer, it helps in understanding better how G-bot works.

As the trading of FAS has been locked, could you please

a) post an update on the portfolio and

b) maybe show us some interesting trading patterns on some instruments in the portfolio that G-bot has been trading recently?

Thanks!
 
Quote from AItrader:

Hi fullautotrading,

thanks for you answer, it helps in understanding better how G-bot works.

As the trading of FAS has been locked, could you please

a) post an update on the portfolio and

b) maybe show us some interesting trading patterns on some instruments in the portfolio that G-bot has been trading recently?

Thanks!
More...
Hi AItrader,

sure I am going to make a detailed report probably tomorrow, with all charts and pictures (I can't access right now the machine, probably in maintenance), anyway, as to now, all is going according to plans.

We are slowly printing $$$ at decent rate, even if "underwater", as jb514 expressively says, and simultaneously expanding the "investment". The margin usage has grown to about 100K and there is still room to push it further (capital is 201K), but I wish first to see some of the current "investment" to turn into realized gains.

FAS is under control, "locked" with the "option unit". Today the mkt has fallen considerably, so I think last time I saw it, FAS was about 80.2. If the fall continues at this rate, it won't take long to hit the bottom strike (72). The options are clearly inflating the DD, as they both show a sharp loss until expiry (which will drop to 0 or very small profit if they both expire OTM).

A good deal of $$$ is currently invested into GASX and other ETFs (mostly ultrashorts). So we need some patience for that investment to turn into realized gains too.

PS.

I added some details to previous sketch and posted on my metrics page: http://www.datatime.eu/public/gbot/MetricsForAlgorithmicTrading.htm
Here is a more detailed scheme:

<img src="http://www.datatime.eu/public/gbot/SDXDivergence.jpg" />

let me know if anything not clear, of you see any error.
 
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