Automated Trading

Discussion in 'Automated Trading' started by tatsimon, Oct 20, 2007.

  1.  
    #21     Oct 24, 2007
  2. telozo

    telozo

    Try this:

    Basic strategy: morning breakout
    1. Use a 5 min bar chart
    2. Ignore first 10 minutes
    3. At 10:00 mark the high and low of the last 4 bars
    4. Buy on stop at high + 0.05, sell short on stop at low - 0.05
    5. One entry per day, in one direction, whichever comes first
    6. Immediately after entry put a stop loss at 1% and a profit target at 3%
    7. No entry after 15:30
    8. Exit at 15:50 if no stop loss or profit target hit

    Stock selection:
    1. Each week trade 6 stocks, and alocate your intra-day buying power equally between them - it will determine how many shares of each you will trade.
    2. At the beginning of each week, pick a list of as many stocks as you want - I use 500 - with a decent volume, at list 200,000 a day on average for the last month, and at list $30 in price. Backtest them with the above strategy for the last two weeks, and pick the first 6 performers. These are the once you will trade the following week.

    I've been doing this for almost a year with an automated system in TradeStation, with consistent results - up 40% after comm, with a nice uptrending P/L. I trade a small account though, and didn't compound profits. Slippage can be a problem because I use stop market orders, so I get a fill when the entry is triggered, otherwise I would have to keep an eye on the system all day long.

    Hope this helps.
     
    #22     Oct 24, 2007
  3. maxpi

    maxpi

    Toby Crabel's book went into that strategy quite nicely...
     
    #23     Oct 24, 2007
  4. telozo

    telozo

    The strategy itself is well known, but what is more important is the stock selection, the money management, and beeing consistent in applying it.
     
    #24     Oct 24, 2007
  5. I have 5 different systems that I run completely automated in TradeStation. I often leave it unattended during the day. I have had a small amount of lost profit due to issues but it has not been that bad. I am considering writing my own system (or perhaps using an open source solution) and changing to a different broker. I think this could resolve all the problems I have seen at this point.
     
    #25     Oct 31, 2007
  6. maxpi

    maxpi

    I decided against Tradestation because a strategy can get out of synch with the account. There needs to be tighter feedback.
     
    #26     Nov 2, 2007
  7. #27     Nov 2, 2007
  8. sagredo

    sagredo

    I'm kind of new to the trading game, & am using IB. Anyone know how to get it on auto-pilot for trading?
     
    #28     Nov 2, 2007
  9. sagredo

    sagredo

    I'm kind of new to the trading game, & am using IB. Anyone know how to get it on auto-pilot for trading?
     
    #29     Nov 2, 2007
  10. telozo

    telozo

    I had this problem with limit orders not beeing executed in the account, but filled in strategy, and you do get a lot of warnings. My question is, if there are systems that automatically get back in synch, how do they do it?
     
    #30     Nov 2, 2007