Developing "Spartan"

Discussion in 'Journals' started by nooby_mcnoob, Feb 3, 2019.

  1. They

    They

  2. Can you help me understand why that is relevant? I can make $/pip whatever I want with spot forex.
     
    #72     Feb 14, 2019
  3. They

    They

    Just providing the link to the CME contracts specs for forex futures, that all.
     
    #73     Feb 14, 2019
    nooby_mcnoob likes this.
  4. I have experience in trading futures, but not with forex itself. So I can't tell you whether one is better than the other.
    You mentioned that getting volume indication is important for your trading system. With forex IB does not provide a volume indicator, but with futures they provide the number of contracts traded as volume indicator.
     
    #74     Feb 15, 2019
  5. Productivity

    Things are starting to shape up. I feel productive. Forward and backtesting is roughed in, but recording trades on disk to generate reports still needs to be implemented. This will allow me to verify whether I'm bullshitting myself. Backtesting currently works like this:

    1. Press Alt+1 to start a backtest in a random period (this creates a new fake account and deposits the initial balance)
    2. Review and place orders
    3. Step day-by-day
    4. Stop at day 90 (or whatever)

    Before I do the trade persistence, I need to implement the risk management strategy which is really one of the reasons why I'm going through this process of developing Spartan. Roughly, the risk management works like this:

    1. Only risk X% of account on each trade
    2. Set a volatilty-related stop loss
    3. Set a profit target for half the trade
    4. After profit target is hit, move the stop loss to breakeven

    I've done this manually during back testing, but man is it painful, and also allows me to be discretionary which is what I'm trying to avoid.

    The other thing that I currently do manually, but will want to automate somehow is since I'm trading a few currency pairs, they will often signal together like say EURUSD and EURJPY. This could mean that I have double exposure to EUR. I don't have a formulaic approach to this, but I think there is a dumb thing that could work which is basically to take the current portfolio, take each position in each currency and scale it to the number of signals for that currency. So in this case, if I was signalling long both EURUSD and EURJPY, I'd risk X/2% on each. I haven't worked this out yet, so what I currently do is not take one or the other trade if I still have a position in EUR.

    A little bit rambly, but fun.
     
    #75     Feb 15, 2019
  6. traider

    traider

    Did you get your 5x consulting to build iOS?
     
    #76     Feb 15, 2019
  7. Nah I decided not to put in an official quote. This has two benefits, they will either leave me alone or come back to me in which case I am likely to get the 4x project value. I've already verbally told them that this will be the cost. I've done this a few times, works surprisingly often. And it's not for iOS. My software is already in iOS.
     
    #77     Feb 15, 2019
  8. traider

    traider

    Do take the project when they offer you 4x. Seriously trading is a declining industry unless you are armed to the teeth with technological edge in a big firm or have lots of sticky money.
     
    #78     Feb 15, 2019
  9. Is this position size based on the account value? For example: suppose the account value is 100 k USD and you take 1% per trade, the position size would be 1,000 USD.
    Or is it adjusted for the risk that you are about to take? In other words: volatility adjusted? Some random example: if one lot has a daily volatility of 250 USD you would take four lots to get a total risk of 1,000 USD (1% of 100 k USD account value). If that one lot had a volatility of 500 USD you would only take two lots.
     
    #79     Feb 15, 2019
  10. Thanks for the advice.
     
    #80     Feb 15, 2019