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Kohanz
Registered: Aug 2006
Posts: 61 |
02-04-11 03:28 PM
Quote from Rol:
I'm a retail trader with a full time job and dreams of retiring early to just trade. I dont' say trade full time because one reason for automating my trading is so I won't have to do this full time. It is more just a challenge for me to find the elusive "holy grail."
I can definitely relate to that. Pure curiosity: what field do you work in?
Quote from Rol:
I don't decide on which stocks to trade on a given day. The individual stocks, based on their price action, will determine whether they are potential candidates for trading. I scan the day before to narrow the list based on my criteria, and then during the trading day, if they hit my buy price, it triggers an order. It is on a first come first serve basis.
Thanks for that description - it gives me a better picture of the setup. Do you narrow down the list to a number that your API can simultaneously support? Is there even a limit of that? Which broker/API are you using?
Quote from Rol:
With a small positon size, I feel much more relaxed about holding even currently underwater stocks, because there are usually some other stocks I'm holding that are profitable, so it helps smooth things out.
I assume your risk distribution is automated - does it vary per stock or is it more or less fixed?
Quote from Rol:
I don't use stops with the strategy other than to keep a profit from turning into a loss. I know that is heresy to many, but in backtesting it hurt my performance drastically to use stops. Actually, I am buying when others are being stopped out. 
Far from heresy - the vast majority of times I see people using stops, they are not back-testing.
Quote from Rol:
When my exit conditions are met, that is when I exit, whether it will be a profitable trade or not, which is another thing that is hard to do if you have too large of a position size. I know others use profit targets and such, but to me that is like trying to predict where the stock will be heading. I admit I don't know where it will be heading and don't even really care. The more disconnected I can become from the trade, the better. I thought if I could step out of the fear and greed battle, it would be all the better.
This seems like a very good mentality, IMHO.
Another question: you talked about market orders at the open. Just wondering how (not why) you typically enter and exit positions and how much of your strats profitability is related to that. For example, if you just used market orders for everything, how profitable would your strat be compared to what it is now.
Thanks and good luck - looking forward to more updates.
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Rol
Registered: Jul 2009
Posts: 425 |
02-04-11 10:15 PM
Hi, I just wanted to post an image of a trade from today to practice inserting images along with a message. I'll post more later of results for the week and answer questions.
 abc.jpg
This has been downloaded 2023 time(s).
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Rol
Registered: Jul 2009
Posts: 425 |
02-05-11 12:41 AM
Here are the results for the week:
Total Net Profit $1,217.15
(Per Share) $0.39
Gross Profit $1,356.01
Gross Loss ($138.86)
Profit Factor 9.77
Total Number of Trades 33
Percent Profitable 69.70%
Winning Trades 23
Losing Trades 10
Avg. Trade Net Profit $36.88
Avg. Winning Trade $58.96
Avg. Losing Trade ($13.89)
Largest Winning Trade $158.08
Largest Losing Trade ($47.12)
Max. Consecutive Winning Trades 9
Max. Consecutive Losing Trades 4
Total Shares/Contracts Held 3094
Total Commission $76.36
Return on Initial Capital 2.43%
Annual Rate of Return 205.73%
Buy & Hold Return 0.87%
Trading Period 4 Dys, 6 Hrs, 28 Mins
Percent of Time in the Market 81.26%
Mark-To-Market Period Analysis:
Period Net Profit % Gain Profit Factor # Trades % Profitable
2/4/2011 $379.36 0.75% 100 8 100.00%
2/3/2011 $443.78 0.88% 4.79 16 75.00%
2/2/2011 ($264.47) -0.52% 0.14 13 30.77%
2/1/2011 $505.32 1.01% 9.51 10 70.00%
1/31/2011 $153.17 0.31% 6.28 13 61.54%
Mark-To-Market Rolling Period Analysis:
Period Net Profit % Gain Profit Factor # Trades % Profitable
2/4/2011 - 2/4/2011 $379.36 0.71% 100 8 100.00%
2/3/2011 - 2/4/2011 $823.13 1.56% 30.71 17 82.35%
2/2/2011 - 2/4/2011 $558.66 1.07% 4.13 20 65.00%
2/1/2011 - 2/4/2011 $1,063.99 2.08% 8.25 27 74.07%
1/31/2011 - 2/4/2011 $1,217.15 2.43% 9.77 33 69.70%
equity curve.jpg
This has been downloaded 1973 time(s).
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Rol
Registered: Jul 2009
Posts: 425 |
02-05-11 02:09 AM
Kohanz, thanks for the interest. It helps keep me thinking about things and not get lazy. I am a Medical Technologist at a major medical center hospital. Working around automated analyzers in the laboratory helps me appreciate the role computers can play in strat automation. The instruments follow programming instructions to perform functions tirelessly. A lot of success in trading I believe is just about being at the right place at the right time, and a human just can't keep up. I mean what person would just sit there for weeks to months at a time with their finger on the buy button, hoping it doesn't turn out to be a "Fat" finger. 
I use the TradeStation platform and the limit is 1000 symbols in what is termed their RadarScreen. I don't trade off of charts, otherwise I would need a separate chart for each symbol. The RadarScreen is similar in function, it appears, to what others are doing with Excel.
Let me just say that if you trade futures or forex, don't use TradeStation. If you go to their forums, you will hear many complaints about bad tick data, bad fills, disconnects, and fees for futures data. I only trade stocks, and you don't pay for the platform if you trade at least 5000 shares per month. I have developed into my code the ability to handle disconnects and position mismatches, so that is no longer a big problem for me.
Depending on what the market is doing overall, the number of signals can vary from a few to hundreds. In my code it prints the symbol and time that a valid entry occured, and each night I compare the trades I took to how many I could have. This was an unexpected surprise during my strat development because it meant that the strat could adapt to changing market conditions without my interference. When markets are quiet I am more in cash, but when things start moving, I am slow to enter, but quick to get out.
My position size is an equal dollar amount per position. This is necessary for me to be able to calculate the maximum number of positions I can take. A lot of what I have been doing recently has to do with determining that sweet spot between position size and maximum number of positions to maximize net profit.
With regard to entries and exits, I always use limit orders for entry and market orders for exit. I use market orders for exits because when the strat says to go flat, I am willing to give up a few points to do so. There is a bit of slippage in backtesting because it assumes I buy at the bid and sell at the ask, when the opposite is usually true. I am not scalping so it really is not a big issue. If one is developing a daytrading strat with tight margins, I would suggest they assume they have to buy at the ask and sell at the bid to get a realistic perfomance report (unless they are a quant trader working next door to Wall Street). 
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Kohanz
Registered: Aug 2006
Posts: 61 |
02-07-11 06:35 PM
Quote from Rol:
Kohanz, thanks for the interest. It helps keep me thinking about things and not get lazy. I am a Medical Technologist at a major medical center hospital. Working around automated analyzers in the laboratory helps me appreciate the role computers can play in strat automation. The instruments follow programming instructions to perform functions tirelessly. A lot of success in trading I believe is just about being at the right place at the right time, and a human just can't keep up. I mean what person would just sit there for weeks to months at a time with their finger on the buy button, hoping it doesn't turn out to be a "Fat" finger.
Totally agree. Impressive results last week, btw. The equity curve is nearly ideal. You have been running live for just over 4 months now, correct? How closely have you found that your live results are reflecting your backtesting results and how do you perform this comparison (statistically). Do you monitor this relationship (backtesting vs. live) closely and frequently?
Quote from Rol:
I use the TradeStation platform and the limit is 1000 symbols in what is termed their RadarScreen. I don't trade off of charts, otherwise I would need a separate chart for each symbol. The RadarScreen is similar in function, it appears, to what others are doing with Excel.
So you use a market "scanner" to find candidates for your strategy. Do you find that such a scanner (1000 symbols) has bandwidth or CPU issues or is it relatively lightweight?
Quote from Rol:
I have developed into my code the ability to handle disconnects and position mismatches, so that is no longer a big problem for me.
I think I might know what you mean by "position mismatches", but could you please elaborate?
Quote from Rol:
When markets are quiet I am more in cash, but when things start moving, I am slow to enter, but quick to get out.
I think I understand the first part, but the "slow to enter, quick to get out" I'm not sure about. Do you mean that your strat only takes a smaller portion of a larger trend?
Quote from Rol:
My position size is an equal dollar amount per position. This is necessary for me to be able to calculate the maximum number of positions I can take. A lot of what I have been doing recently has to do with determining that sweet spot between position size and maximum number of positions to maximize net profit.
Without going into details if you don't want to - I'm interested in a general idea of what this calculation looks like. Do you take into account commissions, liquidity, etc.?
Quote from Rol:
With regard to entries and exits, I always use limit orders for entry and market orders for exit. I use market orders for exits because when the strat says to go flat, I am willing to give up a few points to do so. There is a bit of slippage in backtesting because it assumes I buy at the bid and sell at the ask, when the opposite is usually true. I am not scalping so it really is not a big issue. If one is developing a daytrading strat with tight margins, I would suggest they assume they have to buy at the ask and sell at the bid to get a realistic perfomance report (unless they are a quant trader working next door to Wall Street).
Sounds like good advice. Thanks!
All the best this coming week.
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Rol
Registered: Jul 2009
Posts: 425 |
02-08-11 01:51 AM
Quote from Kohanz:
Totally agree. Impressive results last week, btw. The equity curve is nearly ideal. You have been running live for just over 4 months now, correct? How closely have you found that your live results are reflecting your backtesting results and how do you perform this comparison (statistically). Do you monitor this relationship (backtesting vs. live) closely and frequently?
I began code development on a portfolio basis using Amibroker because TradeStation didn't have the capability (they say it is coming). 
Each night I import the trades that Amibroker took and compare that to what I did. Some days it is 100% the same, but if there are too many signals, they don't always match. When I was discretionary trading all the time and taking big risks, I would compare my performance to Amibroker's and it always did way better. I felt like it was taunting me with a high win rate, while I was being blown out or just trying to break even. I was convinced that somehow it was programmed to cherry pick the winners using hindsite. I thought what would be the motivation of the developers, because the backtesting engine was a one time fee, no subscription. Then I looked closer to the symbols it was trading over several years and noticed that more symbols started with the letter "A" than randomness would suggest. I thought, is that the secret to great results" Just buy symbols that start with the letter "A"? I actually considered doing that just to buy the exact same stocks that Amibroker was. Then it dawned on me that it was just going alphabetically down the list of tickers, and when it got to a trade signal, took the trade until it reached its maximum allowed trades. (since then I have learned to code it to be random). This was great news though because it meant that the strategy didn't depend on picking only the winners to work . It just had to include enough different symbols to hit the expectancy.
Currently, I am performing as well as backtesting, although not exactly the same symbols. Actually the bactester took a long trade in RINO (now in the pinksheets) in november, but is still at all time highs.
So you use a market "scanner" to find candidates for your strategy. Do you find that such a scanner (1000 symbols) has bandwidth or CPU issues or is it relatively lightweight?
The scan is performed when markets are closed and takes about 2 or 3 minutes to complete. I have actually included a 1000 symbols in RadarScreen and it takes a while to load, but doesn't seem to get bogged down during market hours, even with a cheap Dell from Walmart.
I think I might know what you mean by "position mismatches", but could you please elaborate?
position mismatches are when the number of shares your strategy thinks you have doesn't match the realworld number. If the strat tried placing a sell order for say 100 shares and you only had 99, it would get rejected.
I think I understand the first part, but the "slow to enter, quick to get out" I'm not sure about. Do you mean that your strat only takes a smaller portion of a larger trend?
No, it has more to do with the idea of that say you have a target price to buy at thinking that is close to the bottom, wait until tomorrow, because you'll probably be able to get it at an even better price  .
What I mean by quick to get out is the strat monitors intraday price action and once conditions are met, it exits. Some of my trades last only a few minutes. Overnight holding can also be disastrous if the stock were to gap down the next day.
Without going into details if you don't want to - I'm interested in a general idea of what this calculation looks like. Do you take into account commissions, liquidity, etc.?
As a starting point you would take your
Networth x2/Position Size to determine the most number of positions you should be holding. My calculation is a bit more complex though, but that is where I started.
Sounds like good advice. Thanks!
All the best this coming week.
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