take a look at my portfolia curve.

Discussion in 'Automated Trading' started by trend2009, Nov 23, 2019.

  1. use ib scanner and yahoo calendar and social media
     
    #11     Nov 23, 2019
  2. Craig66

    Craig66

    So you're looking for big pre-market gaps?
     
    #12     Nov 23, 2019
  3. daily bars
     
    #13     Nov 23, 2019
  4. Filter out any stock with news
     
    #14     Nov 23, 2019
  5. News is hard to play it can go either way though my model expectancy is positive with news but with wild swings which I dislike. I hate loss.
     
    #15     Nov 23, 2019
  6. R1234

    R1234

    I've tried backtesting intraday strategies using daily bars in the past. For simple rules the daily bars are OK. But once I introduce some complex rules such as profit taking or stop loss I had to start making some significant assumptions on the day's price path - like which occurred first, the High or the Low? The backtest could yield significantly different results depending on my assumptions. How do you get around that issue?
     
    #16     Nov 23, 2019
  7. for up day, i always assume low comes first, then go up; vice verse for down day. that is because I entered at low. I admitted by that assumption, the back-test result is significant different from live trading, but backtest results are positive, that is a green light for me to go live anyway.
     
    #17     Nov 23, 2019
  8. fan27

    fan27

    Those stats are fantastic if they are real! How much capital do you estimate you could deploy to this strategy without significantly degrading performance?
     
    #18     Nov 23, 2019
  9. i never compound, because i feel most comfortable at the current amount. it can handle much much more though.
     
    #19     Nov 23, 2019
  10. a little about my background. bachelor and phd from top universities. landed a research scientist position in US government institute, working on big data. tweaked my expertise to finance. luckily hit a strategy that has been working so far, so quitted the job in 2008. In the last 10 years, focusing on developing a new strategy that has capacity in billions and sharpe ratio around 4. I have not completed the task yet, but quite close. if the new project is successful, I will compound to the last bit of its potential.
     
    #20     Nov 23, 2019