Back in the game..

Discussion in 'Automated Trading' started by frostengine, Jun 30, 2008.

  1. Well I took a nice long break from auto trading to gather my thoughts. Hoped it would help me see how the market worked... Now I am back and excited once again on my journey.

    I have a new strategy that I will be starting to walk forward tomorrow. Completely different than any strategy I have ever done. Figured if I am going to take a break and come back, I should start fresh. So that is what I did. I will use this journal to chronicle this new adventure.

    I would also like to open the journal up to the strategy development side of things a bit. Such as types of strategies to automate. I have long tried to develop strategies solely on the price. Normally some variation of minute bars. After all this time I now feel there are no great edges there. I feel like I have exhausted all ideas dealing with that. Now I am exploring other ideas such as using volume... minute bars, and even some market depth in my decision making..

    I'm also exploring the idea of using different securities to help the entries of others. Such as using data on ES, YM, NQ all together to determine buy/sell signals for just a single security...

    Anyone has any feedback or wisdom concerning these areas of exploration to share?
  2. make your time frame longer.
  3. Well was an uneventful day for my walk forward. Not a single trade was generated.

    The strategy I am currently forward testing is one that takes a trade about once every other day.. sometimes once every 3 days. It does not trade very often,but when it does trade its normally right.

    This is a bit different than strategies i've done in the past. Normally my strategies trade 2-5 times a day. The strange part is this strategy works on a time fractal that is MUCH smaller than any strategy I have done before, and yet it still hardly produces any trades. One fear I have is that it may be too fitted to the past data. Will be interesting to see how it performs on this walk forward test.