Trading Robot's Journal

12-11-2012

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Today our trading robots bought stocks in stocks with news – FDO, DLTR, DG.
The statistics indicate that after the sharp drops related to negative news, on average, these stocks have significant bounce later on and seldom close at the lows, even though intraday drops can be quite large.

One of the bought stocks (FDO) dropped very deep from the points of entrance and did not come back.
As a result we had a decent minus in P&L column despite of a small number of transactions. There is absolutely nothing we can do about it.
There are no systems in the world that are profitable every day.
The losses are a part of a trading game.


WTQCjsI2



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12-12-2012

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That was a rather quite day for our trading robots, despite of heightened volatility second half of the day.
Got a decent profit on one trade in JOY.
The other trades did not appear to have any significant impact.
Small profit for the day.


lWIS5Imp
 
Hi AntTrader,

Thank for your journal! Being a quant myself and having backtested/worked on a system very similar to xbar I have been reviewing your trades.

It seems that you are not using a 3% interday drop as entry criteria. I assume that you are volatility adjusting and calculating limit prices based on that. I have had some success with using an ATR based entry.

Trading this way I assume you set a allocate a certain amount of capital per trade and therefore limiting the number of positions you can take. In my testing the "bad trades" seemed to tricker first and not always leaving enough capital for the good ones. Would you mind sharing a little more on the entry and also the position sizing?


Kind regards,
Steffan
 
Quote from sondermark:

Hi AntTrader,

Thank for your journal! Being a quant myself and having backtested/worked on a system very similar to xbar I have been reviewing your trades.

It seems that you are not using a 3% interday drop as entry criteria. I assume that you are volatility adjusting and calculating limit prices based on that. I have had some success with using an ATR based entry.

Trading this way I assume you set a allocate a certain amount of capital per trade and therefore limiting the number of positions you can take. In my testing the "bad trades" seemed to tricker first and not always leaving enough capital for the good ones. Would you mind sharing a little more on the entry and also the position sizing?


Kind regards,
Steffan
More...

Hi, Steffan

We do not measure intraday drops in %,it does not work.
Sometimes 3% is too much, sometimes is very little.
Therefore, we try to adjust to volatility, using our own methods .

When xBars in play, it is very important to work with risk management.
On bad days, the first deals will almost always be at a loss and for the best deals may not be enough buying power.

This issue can be handle differently.
One way, we implemented it in the service - small lots for all deals so would have enough BP in case we have more(you will never know how many you'll get!)
The second way - to have hedging of positions, using indexes, futures, ETF, etc.
 
12-13-2012

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That was not a very good for our scenarios.
Mass long entrance pattern Toughie did not work - strong stocks could not handle the pressure of overall market.
Thankfully, our broker has some technical issues in the morning and only a partion of positions opened in the morning in our demo account.

Later on, we had some additional Xbars buys and the result was as not that bad.
The trading without the restrictions of limits would generate a loss of a little bit more than $1000.
Scenarios like that do not happen often and lead to sizable losses but statistically days like that market rises from the lows and leads to profits.
As they say, the proof is in the historical numbers.


vGmEcgrJ
 
12-14-2012

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There was another strong divergence day between index and stocks.
We had a buy in the morning on pattern Toughie and several XBars during the day.
The market did not follow up the strong stocks again and closed near its lows.
It did not work out.
However losses were minimal as several stocks demonstrated its relative strength.

4i8o2exl
 
Quote from AntTrader:
... Thankfully, our broker has some technical issues in the morning and only a partion of positions opened in the morning in our demo account ...
More...
So it's a demo account. What steps are you taking to ensure demo fills are realistic?
 
In this case, demo means for demonstration.
All reports in this topic are from real time traded accounts.
Sterling's demo accounts are way off from the real ones in the sense of prices and execution.

With Regards,
AntTrader
 
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