As of yesterday: ~0% MTD, slightly negative for the year. My strategies did poorly in terms of taking advantage of this volatility but well preserving capital for better conditions.
I'm much the same - this is the strangest crash ever. No opening volatility followed by huge directional drives.
I spent years trying to do fully automated stock trading, thats why I dont do it now. turned over 10 million dollars in a month and only lost 4 grand (including fees and hosting which was hefty) (with a 250k account), was shitting bricks, glad I had no glitch, was doing HFT. Had an epiphany, thats why I do options only now, and nothing automated about it
If that's the outcome after years of running it then indeed not worth it. Unless that was seen a possibility during strategy development process then this is normal and to be expected. I heard people referring to $ volume in a same sense but personally I wouldn't use volume & PL relationship for gauging success of automated trading. Unless the volume represents a huge risk in your method / selection of instrument. Each stable strategy has optimal conditions. When they happen is outside of our control. If a strategy's equity line is inside of its' expected parameters there is nothing to do but focus on a process = keep executing. PS. Congrats on your success with options.
Thank you. I didn't do the volume to brag that's just how much I had to do to debug all the code.. it was rather tedious , it was a possible outcome I had gathered since the paper it was based on was experimental and I wanted to see if the authors theory was legit
I have a lot of respect for that sort of experimentation. Stuff published by someone else can take us only so far. Real traders have to glue pieces together, validate and own their end result.
I knew doubly stochastic processes were not realistic enough but I thought maybe the authors knew something I didn't.. was the other way around .. it was an adventure , I should write it down.. it spans quite a bit of time.. maybe one day
You should. 10mil$ on 250k account is very decent for an experiment assuming executions were live. There is an educator/trader here with something like 20y of experience who brags about his 4.7mil volume for a year..
It was a very rigorous task.. it would exhaust me even thinking about it to write the story up again.. it was 3 years ago to the day that I started going live with it.. i cant find the old screencasts I had of it in action but heres what it looked like .. it would try to achieve a balance between immediacy of execution and getting a rebate for providing liquidity... it was very rigorous, thats why I was able to run it without it exploding.. there are more advanced versions of this idea based on optimal stochastic control of Hawkes processes which are realistic models of order flow but I got tired of that game, though the underlying models were very instrumental in me gaining an intuition for how orderflow aggregates from the micro level up to the macro level. See https://dornsife.usc.edu/assets/sites/350/docs/Aditi-USC_Colloqium.pdf. Building the model: Stylized facts 1-2 *Markets are highly endogenous, meaning that most of the orders have no real economic motivations but are rather sent by algorithms in reaction to other orders, see Bouchaudet al., Filimonov and Sornette. *Mechanisms preventing statistical arbitrages take place on high frequency markets, meaning that at the high frequency scale, building strategies that are on average profitable is hardly possible.