Reasons for failur in automatic trading systems

traderdragon · Jun 9, 2006

Today I had to turn off the new system very early because I identified a bug due to last nights tweaks. Made $200. I dont want to even know what it would have made If I check the simulation, ill probably cry :eek:

Quote from jstox:

Schweeet!!!

Mine did good also ($1000.30). 27 trades, a little more than normal. Had some initial slippage issues and quickly changed to LMT orders in the program.
Definitely see room for improvement.

I'm not getting excited. My system has faults and fully expect to get bitten in the ass on a series of choppy days, today was good.

Congrats, again.
--jeff
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jstox · Jun 10, 2006

Quote from traderdragon:

Today I had to turn off the new system very early because I identified a bug due to last nights tweaks. Made $200. I dont want to even know what it would have made If I check the simulation, ill probably cry :eek:
More...

One of my best ideas came from a coding mistake. Could be a new feature and not a bug. <g>

--jeff

MartinGr · Jun 10, 2006

I sent Mr. Cohvi a detailed analysis of a portfolio of systems which I had developed, as per his request. I never had the courtesy of a reply, positive or negative. This suggests to me that Mr. Cohvi is merely a troller, looking for someone to donate a system(s).
Very unprofessional.

BertH · Aug 19, 2006

Quote from acrary:

Here's a example. Years ago when the Stock Traders Almanac first came out one of the tendencies described was the last two days and first 5 days of the month being market movers. I verified the condition existed and persisted from month to month in the SP futures. I could have stopped there and used a envelope strategy to try to catch any trend starting around the end of a month. This would be how a person with only market data might analyze the market. I went on to try and figure out why the market moved during those days. I knew mutual funds were big and thought maybe it was caused by inflows into the funds. There were and are sources of mutual fund flows available so I got some data and did some tests. I found that fund flows in and out had a lag due to reserves in the funds, but the tendency was for large inflows to be put to work within 5 days after receipt and outflows caused selloffs in the funds around 3 days after the funds were disbursed. I setup the software to do a weekly trade based on buying when inflows were strong and sell when inflows were weak. If the inflows remained on the side I was already in then no new trade was initiated. From 2001 - 2002 there were no losing trades and the average winner was 28k per-contract in the SP. That's a difference between mapping to market data and pulling the profits out of the market based on a edge.
I went on to build a whole series of models based on this edge things like ... if the market early in the week went against my edge then I'd initiate new positions to take advantage of the opportunity knowing they'd be active within a day or two.
Anyway, there's a example for you. There's lots of these edges around...just don't expect to find them in the o, h,l, c data.
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Acrary's example edge above would be even difficult in some ways for me to trust at that time. If fund flows were to be integrated into the trading system, what about the fact that the largest inflows precede market tops and vice-versa? Maybe he would have faded extreme inflows.

TSGannGalt · Aug 23, 2006

Quote from BertH:

Acrary's example edge above would be even difficult in some ways for me to trust at that time. If fund flows were to be integrated into the trading system, what about the fact that the largest inflows precede market tops and vice-versa? Maybe he would have faded extreme inflows.
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Test everything.

WinDiff · Aug 23, 2006

Be suspect of everyone, including myself here

So yes test EVERYTHING, including Acrary's bullshit

BertH · Aug 24, 2006

Quote from WinDiff:

Be suspect of everyone, including myself here

So yes test EVERYTHING, including Acrary's bullshit
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Strong opinion.

ATradingSystem · Aug 25, 2006

Did you ever finish your Automated Trading System?

Regards

es175 · Feb 21, 2007

Quote from WinDiff:

Be suspect of everyone, including myself here

So yes test EVERYTHING, including Acrary's bullshit
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It certainly is a strong opinion. I don't agree with it 100% but there is merit in it nonetheless.

The quotes and links posted below are a reminder to investigate and verify ideas for oneself.

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"You might be interested to know that the SP market starts trending with 30 min. bars. For shorter duration trades, it's better to look for a counter-trending method."
http://www.elitetrader.com/vb/showt...8&highlight=countertrending+method#post135048

"The data from 1min. resolution per-bar through 30min. resolution per-bar is primarily in a trending mode."
http://traderclub.com/discus/messages/18/1643.html?ThursdayFebruary920060453am#POST6864

"There's way too much opinion being accepted as fact. Believe nothing I've posted. Look into it."
http://www.elitetrader.com/vb/showt...perpage=6&highlight=acrary bunch&pagenumber=3

"Actually what I posted was mostly a bunch of nonsense to see if anyone has done the math."
http://www.elitetrader.com/vb/showthread.php?s=&threadid=11054&perpage=6&pagenumber=3

Don Bright · Feb 21, 2007

A working automated trading system, IMO, is merely a manual system that works well, put to automation with triggers and responses....both of which continually change with market conditions. My "automated" groups spend more time on homework than any of my manual guys....usually well worth the time. Backtesting, again IMO, is not of much value since you can't know all the peripheral information going back in time (daily volatility, volume, PREM/DISC, news, etc.).

FWIW,

Don