Designing and Building a Profitable Automated Trading System

Discussion in 'Automated Trading' started by ScottD, Dec 9, 2008.

  1. ScottD

    ScottD

    We’ve made substantial progress and this seems like a good time in the project to draft a summary of where we’ve been and where we’re heading.

    Progress and milestones
    • We started the Cashcow project in earnest on December 9, 2008.
    • Jack and I have established rapport, clear communications, and an effective design-build process.
    • We have codified a powerful set of logic, and Jack has certified each major release so far (1.0, 1.1, 1.2) as accurate.
    • We created an ATS dashboard, which has turned out to be an efficient and effective analysis, diagnosis, and validation tool.
    • We publically shared the baseline logic and code. Others, even antagonists, have taken the ideas and run with them, a beautiful thing.
    • The “I deserve…” , “feed me…”, “it’s not possible [for me]…”, and the “I’ll take but not give…” types display their true colors and filter themselves out.
    • We continue to share the latest ATS with a self-selected community of contributors from around the world.

    Real world testing and performance
    • We have been focused on deductive reasoning instead of curve fitting profits. Having said that, we did expect each release to be profitable.
    • Each logic release has had some profitable days and flashes of brilliance, but the logic has not been profitable over a sustained multi-week forward test or multi-month back test period.
    • Notwithstanding, I feel we have made truly excellent progress and we'll get there.

    Looking forward
    • Release 1.3 is work-in-progress and includes powerful new logic, such as Hold, Major Change, and Volume Differentiation.
    • Release 1.4 is scoped to include MACD Sequences and Rays.
    • I feel it is possible to design and build a profitable ATS based on ‘beginner’ logic.
    • I feel there is a real advantage to designing and building a profitable ‘beginner’ release prior to incorporating greater sophistication/complexity associated with YM or intra-bar decisions.
    • The ATS architecture and code remains organized, modular, clean, intuitive, flexible, easily modifiable, and easily validate-able.
    • We continue to deductively analyze the real world performance and make excellent additions and refinements.
     
    #231     Mar 20, 2009
  2. LOL... you made progress but in no particular direction iow... LOL, and Jack certified everything...

    Of course you want strong moderator intervention in the thread !! Somebody might point out that you are going nowhere... makes sense to me...
     
    #232     Mar 21, 2009
  3. This is a quality post from a quality guy. Take heed Scott, of his sound advice based on his selective reading, or more probably unintentional retention, of what you had to say in your most recent update. It's Saturday morning and life will be better in America becuase of what you are offering.

    lj
     
    #233     Mar 21, 2009
  4. When you start feeling funny about your progress google cognitive dissonance.
     
    #234     Mar 30, 2009
  5. This thread took a major detour into why Jack's theories were proved and insisted upon being profitable in the middle of December. Basically, you're working with two completely different sets of data. The data that had Jack's theories working is no longer available. It's either for old timers using WL4 data, or a slightly less dependable version in WL5 on .SPX data.

    The data being used is useless, as this is being developed in TS. The data will be profitable with a volume of 31,200, not 20,000. This volume relationship is the primary cause of the lack of profitability.

    My version has been written and is being "incubated" for testing at futurestruth.com. It's been about two months since the version I had written in WL transposed into TS was developed and submitted. Prior to submittal the test on 1 contract was a profit of $28,000 with a drawdown of $10,000 on the past two years using pre- and market 15 minute data , and that's essentially all I've heard since we modified the volume condition. It will be another couple months before we hear the results of the profitable version that will be available to all who wish to trade Jack's theories, having been modified by someone that knows what he's doing.

    I believe this whole thread is a waste of time, without adjusting both the entries and exits, as well as the volume conditions.
     
    #235     Mar 30, 2009
  6. ScottD, how about an update? This is over two months old and your last post on ET. Jack claimed yesterday you're still working on this but was very evasive...
     
    #236     May 23, 2009
  7. AkibaDeep

    AkibaDeep

    How do I download cash cow or get involved?
     
    #237     Feb 19, 2020