Congratulate me! Or not...

Discussion in 'Automated Trading' started by kanonka, Mar 16, 2008.

  1. kanonka



    "Dry run" of the black box that I wrote makes 16% (on average) A DAY. "Dry run" means full production mode, except orders are logged instead of being sent to execution (as I didn't code that piece yet).


    I hoped to 1-2%. But real outcome drives me nuts. I don't believe my own eyes. Now it's time to verify, verify, verify...

    Just wanted to share, because I feel like I will explode if I wouldn't tell someone:)
  2. "Just wanted to share, because I feel like I will explode if I wouldn't tell someone"

    I remember those days prior to being married.
  3. On what information input and in what market?
  4. kanonka


    OpenTick raw tick input (including Level 2 quotes), market is NASDAQ + NYSE for tickers with highest liquidity.
  5. kanonka


    It's very close :)
  6. cold


    the wonderful thing about internet is that you can come across some really really smart fucks like me

    well I am more of a genius than your smart ass

    so let me teach you few things, if your system really makes 16% that is not bad but here is MAJOR problems with it

    if you make 16% per day, that means you use high leverage OR that means you place many trades per day OR you do both

    what that means further is : let me break it for you, cause I am a nice guy

    1. if you place few trades but use high leverage, you are having a HUGE draw downs and could one day soon wipe your account in 3 days

    2. if you place many small trades during day to get 16% return per day, you are unable to scale up your system and will forever be making chump change, sure you can try to go higher time frame and go overnight holding but tough luck cowboy

    3. if you use BOTH at the same time, well you are completely screwed my friend

    what I am trying to teach you is this, I as a genius can do 100% in 2 months, are you telling me that you are smarter than me

    tough luck, young guy
  7. kanonka


    That's a good post for calming down. Although you wanted to kick me off :), but thank you for mentioning the scalability. I'll try that. So far I tried to start with $30K. Let's me push this up to, let's say, $3mln. I'll let you know the outcome.
  8. kanonka


    Hmm, your were right. To some extent. At $3mln it increases to ~18%, but at $30mln it dives down to ~2% (sorry, I only checked two market days to see the appx. results, so can't give you more defined numbers).

    Another problem with $30mln is that it starts to issue up to 4 orders in a second, and I doubt broker's system will be able to react this fast.

    But I'd say that even half-a-million in a day (that's 16% from 3mln) is WAY better than my current salary, so I'm OK with it :D

    I still will devote next month to validation of my results. It's too good to be true. I must be mistaken somewhere.

    But here are some stats:
    - Average order size - 179 shares
    - Min order size - 100 shares (this limit is hardcoded)
    - Max order size - 1537 shares
    - Average time from buy to sell - 32 sec
    - Min time from buy to sell - 2 sec
    - Max time from buy to sell - 72 sec
    - Average income per trade - $2.24
    - On average it makes 1 trade per 5 seconds.

    Basically, this is classic scalping, I guess :)
  9. "But I'd say that even half-a-million in a day (that's 16% from 3mln) is WAY better than my current salary, so I'm OK with it"

    Are you going to produce an infomercial with a harem of bakini clad foxes on your new yacht?

    Could I be the oil man?
  10. I think the reason why its too good to be true is because you need to recalculate everything accounting for commission, slippage, partial fills, etc. 2.24$ a trade most likely wont cover that. This could easily transform +16% into -20%. a trade per 5 seconds results into 4500 trades a day... I don't trade stocks but futures so i'm not sure who are the cheapest stock brokers out there, but the lowest im seeing on the net is IB @ around 2.5$ for 179 shares (most likely they also have hidden fees)

    right there your system lose money.

    you need to find a way to keep the operating cost below the raw % profit.

    the 1st step towards this goal is to reduce the insane amount of trades its taking IMO. 4500 trades a day isn't scalping, its a epilepsy seizure.
    #10     Mar 16, 2008