Robotrading: CT + Trending Strategy on folios of futures

CT LS results (no hedgers)

(running from wed)

<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3065553" />

 

Another week has elapsed. Our trading bot is running with no problems (i keep it on even on saturdays, where you see the flat PNL).

Some instruments have been pretty volatile. Realized has grown to more than <b>30K</b>, which has provided an effective "cushion" for the "investments" on the most volatile instruments (SI, EUR, CHF, RB, etc.).

This is "CT LS" strat. (At around 15:00 it closed all taking a "global profit") [img reduced to 1200 px width].

<IMG SRC="http://www.elitetrader.com/vb/attachment.php?s=&postid=3072267" WIDTH="1200"

(People interested in single trades, just PM me as always. In a while will post the chart of the other "strategies" under test).

In the meantime have added <b>expiration date</b> on the trading panel. Finally, also solved a long standing problem I had with the data feed on win 7 64 bit, with the help of Raymund (IB).

Tom

 

Hi Fullautotrading, I haven't found any info regarding the starting capital at the beginning of the thread. Do you mind sharing with what capital in the account you started?

 

Hi LeeD,

Thanks. This is paper trading, i just did not care of how much capital was in the account. What I care when testing a strategy is the ratio:

AvgDailyProfit
----------------- * 100K
| MaxDD |

because this expresses the "strength" and efficiency of the procedure.

It expresses the <b>average daily profit for every 100K of drawdown</b>.

The absolute value of the drawdown one can have depends on the folio size, the trade size, the scalp size, entry distance, and other strategy "parameters".
A good way to have an idea of possible drawdown and therefore <b>capital requirements</b> to survive is experimentally, using past data and random data. One <b>should clearly have at least a multiple (like, for instance, 2 times) of the largest capital requirement</b> ever seen. So one would <b>calibrate the parameters so that he can trade with the available capital</b>. Clearly if the available capital turns out to be insufficient he should not start trading (in fact you dont see me trading ;-)).
For instance you can look at <a href="http://www.datatime.eu/public/gbot/Strats%20G-BOT/default.htm">these </a> simulation results (click on strategy...):

Once one has determined the capital requirements to trade a certain combination of strategical rules, then he should <b>be prepared to make capital "injection" </b>of that order of magnitude, on order to continue trading and not to be liquidated, when there are large moves which call for additional investments.

Here is the market which "dictates" the investment, the most volatile instruments will naturally take comparatively more "investments" (= drawdown).

Tom

 

Fullautotrading, thanks for explaining how this works.

Do you have any target you want to hit in order to start trading with real money? Or do you leave it to subjective judgement?

I noticed G Bot is not on the Elitetrader software list. It looks good from your screenshots. Do you think you'd like to write a review some time?

 

Thanks Lee,

well writing a review myself wouldn't probably be fair. This project was originally started from mere personal intellectual curiosity towards the <b>challenge of trading</b>, but in time is getting bigger and bigger. I never meant it to be a boxed "commercial" product, and it will <b>never</b> be. I am just sharing it with a few persons who have expressed interest and, in fact i send them individual and strictly personal emails with the new setup everytime i solve a bug or add a feature (i hope i dont bother with my frequent updates ;-)).

If in the future i will see a review of it on ET by some of these persons, clearly it will be something which will make me happy (hope it won't be too bad!). But probably they wont feel this need, as i am in contact with most of them all the time, through skype, and any wish becomes immediately a feature (for instance the DBMS functionality and many others have been suggested this way). So they won't be able to criticize much, as while they do, I would immediately correct the problem ;-)))

This project has taken me a tremendous amount of time and effort, and, frankly, when i embarked in this adventure I did not had a real clear idea of what it was eventually going to take.
I had anyway on my experience even much larger and complex projects (several millions of code lines). This one has anyway specific difficulties though, which are not only due to the implementation (multithreading, graphics, asynchronous events), but also to the "conceptual development" (strategies, view of the market, etc.).
This has also been somehow aggravated by my character, always striving to create the best implementations, so sometimes i have rewritten single pieces of code literally some hundred times, until i felt satisfied with it. Also strategy development is a very time consuming activity.

Tom

 

I didn't realise you were the proud author of G Bot!

 

LOL! ;-))

Well we have been discussing and developing these strategies on ET for quite a while now. You may have been missing some previous threads. In fact * much * the input of ET members has been incorporated in these developments. These strategies are no secrets here, and almost anyone knows exactly what i am doing.

For me it's crucial to "feel" the reaction of the experts and experienced traders because this helps me a lot stay on the right track while developing and growing up. I am always ready to backup and restart from scratch.

Tom

 

This is a chart of the trades of one of the "most lucky" performers (Heating Oil); RB also was a pretty lucky one.

<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3072367" width="1200" />

When the price moves up or down it calls for new entries, thus calling for new "investments".

The new entries can have a purpose of avg up/down or of position "inversion", depending on the various rules we select when putting together a strategy (not here, because this is applying CT LS).

In this thread we have been "wasting some time" in determining the "best" rules for the so called "hedgers". That's why i developed the random generators (GBM): because I felt that the past data was not enough for that task, because could easily lead to curve fitting.

Tom

 

Sorry LeeD i think i missed to anwer this one. I am not sure what you meant there.

If you are referring to the avgProfit/MDD ratios, i think that what i am seeing is compatible with risking real money, if one has enough resources. In general, my opinion is that people with small capital, should stay out of the market, unless they take trading has an <b>occasional "entertainment"</b> (one usually pays for entertainment). People, with relatively large capital (or banks), can practically "print money" with strategies like these. Making them lose money requires some serious effort or highly specialized stupidity ;-)))

Tom