Signals Generated by Automatic trading system

Discussion in 'Automated Trading' started by Sun Light, Dec 7, 2012.

  1. Greetings,

    Here is my website where i am pushing live trading signals generated by my fully automatic trading system.

    What is the system?
    The system is based on measurement of historical data using programs.
    There are several strategies combined in it. Not a single long strategy tested has Sharpe ratio less than 1.5. There are no good quantitative short strategies in stocks. The system can takes multiple entries in the same instrument on the same day or spanned across few days. It holds the position for few hours to about a week. It will take time based exit in maximum 7 trading days if no prior exit happen based on signal or target.

    The system has different levels of bearings such as:
    1. Global parameter to set, Up trending/down trending or horizontal movement anticipated on the trading day. This affects all the signals.
    2. Individual signal: level Delay or actfast parameter. this will affect individual signal. This parameter decides if trade has to be taken early or delayed (with respect to price, not time).
    3. Selection and prioritization of various systems (or signals). This will be on the start of the trading day, by considering the performance, activity of various signals in last few days.

    These 3 settings can be driven by Expert Human opinion at the beginning of the day. It can be changed anytime in the day.
    In Totality the system stays 90% quantitative and 10% Human. But the Human effect on the equity curve can be more than 10%. It is walk forward thing. Can not be measured or predicted accurately.
    So the signals generated are mixed bags of quality 1 signals, quality 2 signals and quality 3 signals. and i am not posting which signal is what quality.
    (to discourage the reverse engineering.) The sell signals can be used to exit. Very rarely a sell signal can be used to short. Some of the quality3 signals are used only to gauge the market the performance of strategies.

    The entire system can be geared towards long term trading of few weeks hold period by adjusting the scaling In and scaling out as well position sizing algorithm. It can be certainly adapted for day trading, to generate higher Sharpe Ratio.

    Is it only for stocks? what about futures/forex?

    I have similar system that works fully automated for Futures and spot forex. It divides futures in different baskets (e.g. grains, energy etc). It uses asset allocations in different baskets, scaling in and scaling out at multilevel, back tested correlation between baskets and common cash reserve. I am not posting trading signals of Futures/forex on website.

    What is my goal here?

    I am trying to connect with professionals,fund managers,high frequency trading to see if I can take it next level.

    The signals are are free for whoever wants to use it, as of now.
    I am for sale. i.e. either I can take the entire system to a Fund and fit it in it's Trading/Risk management infrastructure. OR I can develop similar system for you using whatever trading logic you want.

    If you are a retail trader:

    I am looking at at as work in progress. Feel free to use the signals FREE on your own risk. I will discourage anybody to use it as a plain Black box.
    It is free as of now, and I will keep it running as far as I can.

    There are 3 important part of a successful trade. Entry logic, Position sizing and Exit logic. If i have to give weight of importance, the Entry and Exit logic together will occupy less than 35%.
    Position sizing/Risk management is the most important part of any executed trade. Without proper risk management plan, any entry signal is useless.
    Unfortunately, I do not know a general solution that can tell what is best risk management for you as an individual.

    I think the webpage can be better use as supplementary to whatever else you are using in trading.

    Can it place automatic order?
    Yes. I have tested it with IB api paper account. It is fully functional with order entry management module. It checks previous positions, pending orders, cash balance etc. etc. before placing a order in. Unfortunately IB's paper account is limited to 100K so portfolio level performance can not be tested in forward testing.

    If you are a quant/system Developer:

    I can answer to generic questions if you have any. But you know what type of information can be shared or not. I am not particularly interested in public education at this thread.

    Am I trading all the signals generated here?

    No I am not. I use may be one or 2 signals. That also along with Fundamental and event information that I know about the instrument. It can be best used in a portfolio level hedge fund along with fundamental analysis.

    I am trading mainly Forex. It is based on similar system analysis and automated signal generation. It has evolved in to longer time frame trading.
    Forex spot has capacity to absorb all my trading capital and i am staying with it. It also becomes easier for me to follow news/events/fundamentals in forex. (compare to 3000 individual stocks). and signals in forex are not available to post free or for a price.

    Feedback appreciated.