After advice from others who know better!

Discussion in 'Automated Trading' started by kiwiautotrader, Sep 19, 2009.

  1. Hi there how’s it going everybody...

    My name is Sam and I am a long time listener , first time caller!

    Perhaps it is best if I begin by introducing myself. While my profile may show 0 posts "noob", I have been lurking and reading hundreds of interesting (and sometimes inspirational posts) on ET for the past two and a half years. I have never made a post as I have never deemed myself successful enough to have an opinion - but have recently found myself quite depressed as a result of what appears to be a failed project and have decided to come forth and ask for some help or advice. I would like to genuinely thank all of those contributing members that have made this such a successful and engaging community. I know I have learnt an incredible amount from it, and would like to think that one day I will be able to give something back.

    I have been involved in trading stocks for about 4 years now, albeit rather infrequently. I have had success scalping the Nasdaq by tape reading - however that is unsustainable as I live in New Zealand and have to get up in the middle of the night to trade the US market. The NZ and AUS market are not suitable to trade in this manner.

    I am currently employed as a Software Engineer (contractor) and an Emergency Services Worker ( fulltime) and that is why an automated system really appealed to me. I could put my skills to good use as well as being able to trade a market that was open in the middle of the night). As a result I have spent many months writing an automated trading system. The system currently lets me back/forward test a variety of strategies as well as placing and managing orders e.t.c (that is all old hat suck-eggs stuff for you guys so I wont go into it in detail other than to say it is written in Delphi and uses TWS API).

    All of the strategies I have developed have been purely around price action (as that suits the way I see the world!) and usually works by trying to identify trends and run with them. Over the years I have built up a solid understanding of money management and most other fundamental aspects of trading. The problem is......

    I do not seem to be able to get consistent results from any of my tested strategies........ So in essence none of my strategies work.

    An example strategy that I have tested would be:

    1. Find a stock that has good volume, good historical trending tendencies and that has gapped up or down the previous night

    2. Start tracking the stock in 5 and 15 minute bars.

    3. Look for a time when we are getting three 15 minute bars trending (i.e. all green HH,HL's).

    4. Switch to 5 minute bars and wait for a two (red) bar retracement followed by a green bar closing above the previous red closing.

    5. Enter the trade with say a 10cent (or proportional stop). When the trade has moved in my direction say 20c, put a trailing 5c stop in place and ride until it is closed out.

    Basically after hundreds of hours of coding and several years of education I feel I have nothing and need to evaluate my position and perhaps walk away.

    I feel I have kind of done my apprenticeship in terms of the hard yards, but even after a phenomenal amount of work, I really have nothing that is useful to me. The software itself is fine, it is finding a consistent strategy that is the trick (as you all know!).

    So why am I here emailing in this forum now?

    Well firstly, I am not after a hand out, a holy grail or to take something that others have worked so hard for.

    I guess I would just like to appeal some advice from anyone who may have been in a similar position or be able to relate to what I am talking about?

    It seems a real shame (eats me up actually) to throw away a dream I have work sooo hard to achieve, but hey sometimes things just don’t work out no matter how hard you work at them huh. Maybe its just time. Anyways, that’s my problem (not yours!).

    Anyway, thanks for listening to my rambling. Any advice, feedback would be greatly appreciated.


  2. rwk


    Your experience is pretty typical, I would say. Finding something that works, especially using price action or indicators, is by far the hardest part. But I also believe that the notion of building a trading bot that can run unattended while you go lie on a beach or work at a day job is largely a pipe dream for most individuals. Unless you can commit to trading full time, it is unlikely you will get much beyond where you are now. That's not necessarily bad, as you have a job at least. You might focus more on investing instead of trading, at least until you work situation changes.
  3. If you consider your past suffering a nightmare, not a dream, you will be more than happy to throw it away.

    I mean, everybody is happy to wake up from a nightmare, right? Nobody wants to prolong a nightmare, right?

    I often had this nightmare of taking an exam that I haven't prepared for, hate it. I guess I was traumatised by my student life. thinking about suing the schools I went to.

    Any way, it's good to wake up from a nightmare.
  4. Why isn't your strategy working?

    Low % of winners? Stopped out too soon? How many trades have you taken to determine it's not a good strategy?
  5. Thanks for the comments rwk, i appreciate them.

    So you are suggesting that auto trading is a significant part of my problem here. Writing the software (as we all know) is very easy but it seems that (reading between the lines) auto trading is even harder than manual trading? Presumably you are suggesting that it is difficult to capture market sentiments/mood e.t.c with a bot?
  6. Hey thanks BPTrader, that is a unique way of looking at it and useful device!

    If after this thread has run its course I cant find a way to move forward I may well look at it as you have mentioned!
  7. Hi Duhmentor, I wasnt very specific was I sorry, i will try to elaborate.

    I guess the problem that I have is I have never been able to determine any scenario that seems to throw probabilty my way.
    Everything I have tested around price action e.t.c seems to end up being a fifty fifty trade. I havn't really managed to find anything to "grab" on to. I have not found an "edge".

    It is hard to be specific when answering because I have tried many variations that have altered win lose % as well as profit % e.t.c. I typically test about fifty symbols over a two month period.

    I have tried many strategies written about here (AHG e.t.c) but nothing really seems to give ME any particular confidence in a profitable system.

    I hope that kind of made sense?

    Maybe there is a piece of the puzzle I am missing.

    I am more than happy to explicitely discuss all of the strategies I have tried if people are interested. I have no secrets.

    Thanks again.
  8. I'm not really interested in your specific strategies

    I’m interested to know how you have determined that they don’t work.

    If you are auto trading then you have taken human emotion out of the equation.

    Are you back testing or sim trading? How many trades does it take you to discard a strategy?
  9. rwk


    I'm not suggesting your problem is autotrading per se. I have tried longer-term investing, trading in an arcade, and autotrading. Only the latter worked for me, but that's because of my nature, and each of us is different. I prefer autotrading because I get bored easily, and it gives me greater consistency. Like you, I was a professional programmer in a prior lifetime, and my use of technology gives me my best advantage.

    Your problem is, to use a metaphor, that you're working old mine tailings. You're looking at the same things that thousands of traders looked at before you. To make consistent profits, you need to find a market inefficiency and exploit it. That's usually something not everyone else is doing.

    As for where to go from here, you might take some time off work (if your employer will let you) and day-trade full time for the experience. Sometimes it helps simply to give up trading entirely and come back in a few months or a few years. Reading books can sometimes help, though there is a lot of dross out there. The more different things you try the more knowledge you will have to draw from. Once you have a base of knowledge, you can try brain-storming or sitting quietly and meditating on it.

    Good luck! The answer is out there. . .
  10. kxvid


    "After 60 years of working day and night I gradually acquired a deep understanding of the movements of the rice market." -Homma Munehisa famous 18th century japanese rice trader. Its never easy. It wasn't easy then it isn't now. Just keep working.
    #10     Sep 19, 2009