Automated scalping system

Discussion in 'Automated Trading' started by dom993, Jan 11, 2013.

  1. dom993


    Hi there,

    I am reasonably successful with my automated reversal system for CL, but it has a low frequency trading (100 to 250 trades per year) and that goes against the law of large numbers ...

    ... I want to develop a much higher frequency system, 3 to 10 trades per day - which probably needs a scalping approach. However, I am not a scalper, if at all possible I'd rather joint forces with someone with a good scalping technique and no programming skills, and automate that for the benefit of both.

    I use NinjaTrader for my systems development.

    PM me if interested.

    Thanks in advance
  2. Why not simply expand vertically (increase position size, add more timeframes) and/or expand horizontally (add more markets):confused:

    unless...the system is not robust = no edge

    also, you should go back and re-read what the law of large numbers mean
  3. gmst



    Although you didn't ask for it but I have a suggestion for you.

    Instead of going for a scalping system with 3-10 trades per day, it makes much more sense to develop independently 3-4 more systems like your current one. Then you will end up with a portfolio of 4-5 systems each trading 100-250 trades per year. Independent systems based on uncorrelated concepts (e.g. reversal, momentum, breakout etc.) will make your overall equity curve much more stable. Also, if 1 or 2 systems start under-performing, still your portfolio equity curve will remain upward sloping.

    With scalping systems you will run into liquidity and slippage issues (as soon as you increase size say to 10+ contracts), but with systems with holding period of hours, available liquidity is much more. Also, programming is much more involved when you consider scalping systems (though this is not a concern for you since you are an experienced programmer).

    Due to above reasons, I prefer longer hold time intra-day systems over any scalping system. I thought I will share with you what I have learnt. Cheers.
  4. dom993


    I am trading it to the max of my current account size ... it trades a specific reversal price pattern, identifying the pattern from the ambient noise requires to filter that ambient noise, it is working quite well on CL (1100 trades on 6 years), it requires too much filtering on ES which lower the number of trades too much IMO (400 trades on same 6 years, pretty much identical P/F, and max. DD scaled down), objectively it struggles on 6E (needs even more noise filtering), I haven't tested it beyond those 3 markets.

    That said, the topic for this thread isn't my CL reversal system, but a collaboration towards automating a scalping technique.
  5. then I guess I don't understand because my strategies work on all timeframes and all markets so scaling it isn't an issue
  6. Hey just out of curiosity what is your profit factor? How about your win/loss ratio? Average % profit?
  7. dom993


    I trust you on this ... I am nowhere close to being there, I would love someone to point me in the right direction to achieve that goal ... but short of that, I'll keep working at developing new strategies - hopefully someday I can see the light and create one truly multi-instruments / multi-timeframes.
  8. dom993


    hi gmst, thanks for the suggestion, it make sense in some ways ...

    ... the reason why I want to go higher frequency is to have backtests covering 10K+ trades instead of 1K+ ; I hope this would truly be a barrier against overfitting such strategy.
  9. dom993