Just show me one intraday mechanical trading system that is profitable

Discussion in 'Technical Analysis' started by Kris, Jan 11, 2009.

  1. Kris

    Kris

    Your fees look pretty reasonable from the chart posted. I have one very simple 1 min system that has backtested profitable but would need prop firm type fees and execution (ie $0.25/100 shares for removing liquidity)... and I not sure how a guy gets this kind of deal...

    Again, great work on that system.

    Any one else care to share?
     
    #11     Jan 13, 2009
  2. Baywolf

    Baywolf

    Yes I did. Sample, out of sample, walk-forward... portfolio exposure is @ 25% in backtests, but in real trading I run @ 50% exposure.
     
    #12     Jan 13, 2009
  3. Bob111

    Bob111

    what for?
     
    #13     Jan 13, 2009
  4. Kris

    Kris

    Out of curiousity, how many years did it take you guys to formulate the idea, build the system, automate and run it?
     
    #14     Jan 13, 2009
  5. can you run multiple automations on 1 account? Who else uses Sterling besides Echo?
     
    #15     Jan 13, 2009
  6. Brandonf

    Brandonf Sponsor

    I would seem to think that you have not looked hard enough and you might also be barking up the wrong tree with what you are looking at. Just because you can't do it does not mean no one else is. I've never been able to run the 100m in under 10.9 seconds (in HS), does not mean no one else ever have. Likewise I have not ever been able to develop a mechanical trading system of any type that works very well, but there are plenty of people who make boatloads of money with them..and alot are simply intraday traders. Some of them don't even hold anything on average for more then a few seconds.
     
    #16     Jan 13, 2009
  7. bespoke

    bespoke

    Oddly enough, it works best during meltdowns. Its best period in the backtests were during the tech meltdown. And it had it best months live during the credit crunch (beginning july 07) in terms of cents per share. I just got lucky when I discovered it. It was actually a small coding error in a formula I was using (put the square around the wrong brackets). Funny thing is, correcting the error produces no profit. Lucky me! Tight stop and hope for the best.

    forsalenyc: ya you can run as many strategies as you want. depends entirely on your program and how you keep track of your trades/positions. i just decided to run certain strategies on different accounts on different computers because i don't like then interfering with each other. and you can connect to the api as many times as you want with as many programs as you want.
     
    #17     Jan 14, 2009
  8. That's a great story. It seems what is most counter-intuitive produces the best results. I better let you get back to whatever you are working on now - probably a shorting strategy that works best in bull markets LOL!
     
    #18     Jan 14, 2009
  9. I am in the middle of getting up to speed with an intraday system and I'm finding that a much tougher nut to crack. I'm profitable simulated (my own simulator and IB's) and I have traded it live a bit but I'm just not comfortable with it. I think multiple systems tuned for different markets is the way to go but that will take some time.
     
    #19     Jan 14, 2009