Frosty, good luck on your strategy. I'm trading automated as well but I went the other way (from equities to futures). Are you trading nasdaq only stocks? How are you getting filled on your odd lot shares? I had a hard time getting filled at my price on even the most liquid NYSE stocks (e.g. JPM) when I was trading odd lots.
Engine99, Only about half of the stocks are NASDAQ stocks. I am using market orders for my entries and exits and have not had any fill problems.
Thus for during the morning session the bot has traded: 239 shares for +$44.59 Nice to see it finish the morning in the green.
The strategy had a wild afternoon. But didn't make much extra. Total shares for the day was 778 for a gain of +$51.24 after the $22 in commissions were paid. There were times today were I wanted to scream at the computer to get out. I have to find a way to solve the "reacting" too slowly to changing conditions problem.. All of my effort is currently being devoted to solving this dilemma. Good news is I am net positive after running for 3 days. Considering this is my "development" time, I feel very good being up.
The first few posts of this journal explains the reason. I am essentially taking a different approach to system development. A "develop" as you go method. After developing many great systems "in backtesting" that failed under real conditions, I am doing things in reverse this time. Developing a strategy while UNDER real conditions the whole time without extensive backtesting. I believe this method will allow me to avoid all the pitfalls of backtesting I have encountered before. However, this method clearly has its drawbacks as well. Will be an interesting experiment.
I still have not figured out a good way to exit the market, so I did not make any changes yet. For example right now I am looking at the bot and its up a little over $100 right now with its 5 open positions. I see it get way up like this everyday. By time the morning session is over it might still have $20-$50 of those gains if lucky.. Have seen some days where it goes up over $100 in unrealized P/L and by time it closes those positions it'll be negative. Hopefully today won't be one of those days. The entries seem solid considering nearly all the entries go positive at some point. The exits are atrocious however. Maybe instead of looking for an exit signal, I should try some sort of trailing stop. Perhaps a Chandelier exit. I have used that in the past with some success on futures.... I also believe I read a study once that showed even with random entries you can be profitable with that type of exit. Anyone here uses a Chandelier exit with success?
Today should be very interesting to see how much profit it can hold on to. Still has 5 open positions and an unrealized gain of +$250
do you still backtest the system to see if it projects profitability over a long period of time? even though you are developing it 'as it goes'?
No... I have lost just about ALL faith in backtesting. Especially backtesting over data that I bought somewhere and did not collect in real time. I have found that even the smallest differences in data can greatly alter results. So all the data I have bought over the years or downloaded from places such as opentick is completely useless for a real time system. When developing "as i go" and I find a change or tweak I want to put in, I do take a few of the days of REAL time data I recorded over past 2 weeks and I test it randomly on those days to ensure that the tweak I put in is not TOO specific to only that days action. But beyond that I do not do any long term profitability backtesting anymore. However, variations of this strategy I am now running has been tested and even run live with futures over very long periods of time. So, I do have "IDEA" how the strategy matches up as far as long term profitability.... but I do not put much weight into those results.... One benefit to what i am doing, is it allows me to be a little bit more agile.... Can tweak the strategy to pickup on fundamental changes in the market.... I have a good feeling about this method of strategy development.... Although will be months before I have enough trades to really know if I have something or not....