Adventures in Automation

Discussion in 'Journals' started by fan27, Jan 21, 2019.

  1. fan27

    fan27

    I have not backtested with ES yet. The strategy uses volume bars which requires tick data.
     
    #411     May 8, 2020
  2. fan27

    fan27

    I can't share to many details right now, but apparently AlgoTerminal V3 is going to have a new pricing model which is going to be competitively priced for retail traders.
     
    #412     May 9, 2020
  3. fan27

    fan27

    Well gents, my NQ Puke system blew up this passed week losing -$8235. I had a max 10% draw down rule in place and my equity high with this strategy since 4/20/2020 was about +$4000 and it traded down -$5584.3. With my account at about $100,000 to start with I pulled the plug on the strategy. Not what I hoped for but I think the strategy still has merit but really needs a hedging component.

    The week was not all bad as my Night Trader strategy made +$993.
     
    #413     May 16, 2020
    tommcginnis and themickey like this.
  4. Snuskpelle

    Snuskpelle

    What do you think went wrong? Too short training data?
     
    #414     May 17, 2020
    fan27 likes this.
  5. fan27

    fan27

    Likely...it is a tick based strategy that uses volume bars so I only have about 7 months of data. Plenty of trades and different market conditions but still not much data. I knew it was a risk going in and my bet was I would get decent gains before taking a hit. I am going to revisit this once I have my Strategy Builder V2 done and I can more easily test other ideas, which might be adapting this approach to minute data which I have plenty of.
     
    #415     May 17, 2020
  6. fan27

    fan27

    Greetings gents. Not much trading lately as I have been building Strategy Builder v2 and porting it from AlgoTerminal to SigmaTrader. My goal for the second half is to crank out one new strategy a month starting in September and continue to polish my product. Below is my performance YTD...basically flat.

    PerformanceYTD.JPG
     
    #416     Aug 16, 2020
    guru likes this.
  7. guru

    guru


    Your live performance looks similar to most of my strategies. This usually means overfitting, though I suspect it’s more related to the market being efficient. Basically you can extract whatever inefficiencies are in the market, but they barely pay for commissions :)
     
    #417     Aug 16, 2020
  8. fan27

    fan27

    Yeah...I canned all my strategies but one which is performing nicely but does not trade that often. Expect to see much more activity in this thread in the coming months.
     
    #418     Aug 16, 2020
  9. fan27

    fan27

    Folks...it was a slow year but expect more activity in 2021. Flat for the year (up 2.78%).

    EquityCurve2021.JPG
     
    #419     Dec 31, 2020
  10. fan27

    fan27

    Starting the year off with a bang!!

    ResultsYTD.JPG
     
    #420     Feb 1, 2021
    yc47ib, _terminus_, They and 3 others like this.