Trading Robot's Journal

Discussion in 'Journals' started by AntTrader, Dec 3, 2012.

  1. Welcome to our journal where we are going to keep track of our systems trading results.

    We invite everybody to participate in the discussion regarding various subjects: trading systems, risk management,
    real time automatic trading, behavior of trading robots under various market conditions, etc.

    About Us

    We offer fully automated solutions for individual traders and investors around the world with the help of our trading robots.

    Our trading profiles consist of thousands of trading robots that are based on various strategies and include hundreds of stocks from different sectors.
    This approach allows you to get an attractive risk-reward ratio over long term.

    AntTrader is a software program that allows trading platform to accept the result of work of our trading robots.

    More information>>

    Working principles of trading systems

    In order for us to prove that we do not create black boxes, we will share the working principles of our trading systems.
    The understanding of mechanisms of decision making by our trading robots will let you better understand the risks and expected profitability for your accounts during various phases of stock markets.

    Basic principles

    Trading robots are based on intraday swing strategies.
    Stop loss and take loss parameters are set really wide, majority of all positions are closed in the end of the day.
    Wide stop losses allow larger flexibility and protection against market gyrations and price level squeezes.
    Large take profits help to take the maximum possible profit from the large moves.


    The main idea is behind this pattern is based on statistical purchase of stocks after large intraday drop.
    What do you think happens to the average stock after 3 percent intraday drop?
    What is the possibility of it dropping another 3 percent? 50 percent? Or 25? Less than 13 percent.
    We have full statistical information on hundreds of thousands of such occurrences, including news, earnings, crisis years and periods of relative calm.

    Strength and weakness

    Everybody involved with equity markets heard about the concept of strong and weak stocks.
    Many traders and investors use this concept in their trading systems.
    But there are several ways to determine strength or weakness.
    If stock closes near its high and index closes near low, this stock is strong and vice versa.
    The main problem for traders dealing with these stocks is to determine the moment when the stock-general market divergence is no longer the case.
    It happens all the time.


    Traders love gaps. It almost always indicates action, increase of volatility and ranges.
    However, gaps on separate stocks do not carry any significant advantage for algorithmic trading - the chances of filling the gap and continuation after the gap are about even.
    It is different for general market gaps. There are scenarios that swing the odds toward the "right" move after the gap.
    We can define pattern GapDown as the massive purchase of the strong stocks after significant drop of the general market previous days and the following gap down.
    We can define pattern ShortGap as the massive short of stocks after gap down with heightened volatility and general weakness of the market.

    More information>>


    Start conditions:

    • The initial deposit is $25,000
    • Leverage is 4 to 1
    • Use Trading profile Supreme
    • Maximum size in risk-manager - 3000 shares
  2. [​IMG]

    The pattern Toughie opened a mass entrance long position in the morning as there was a significant divergence between S@P and large number of stocks.
    Stocks were bought on the gap down .
    Maximum loss was no more than $350.
    The potential for manual closing of the positions occurred when S&P closed the gap .
    After that the profit decreased about 40 percent.
    At this moment the portfolio behavior correlated to the behavior of general market.


    The portfolio started to behave better than the general market about two hours before the closing bell as the profits gradually increased with every spike up.
    Usually this is a very strong argument to keep your positions opened.
  3. [​IMG]

    Second day in a row the mass entrance position was opened by pattern Toughie, but this time stocks were sold short.
    We got a strong divergence again.
    Therefore, we ought to get higher volatility shortly.
    We got a friendly gap (up) but the significant fall in the morning did not develop and the market trended higher from there till the closing bell.
    The potential for manual closing was after the market closed the gap.
    After that, market reversed, stocks recovered and the profit disappeared.

  4. [​IMG]

    The scenario is similar to the one yesterday.
    Mass short entrance in the morning, some profit at some point intraday and reversal on the market.
    At the end we got a loss which is about the same size as maximum unrealized profit for the day.
    It made sense as our position behaved stronger than the general market.
    These days the experienced trader can sense it and manually close the positions. On long distance, the automated systems make money, mostly because during the best days traders ALWAYS make a lot less money than automated systems.

  5. 12-03-2012


    There was no mass entrance pattern this morning.
    Therefore, we were buying oversold stocks using xBar strategy.
    Days like that are similar.
    The market fall, we go against the early trend and buy the stocks that fell the most.
    If market bounces more than 35 percent from the low the portfolio will be in positive territory and if the market closes at or near lows we will have a loss for the day.
    During periods of heightened volatility there would be a lot of stocks that have wild gyrations intraday with rapid falls often used by professional market makers to boost their inventory and bid it back up.
    You can get a proof of that by looking at the statistics of Advanced profile where we use only xBars patterns.

    See all deals>>


    Do you use similar tactics in your trading?
    Or you would rather short betting on continuation?
    Please share your thoughts.
  6. 12-04-2012


    Not much to comment on a day like that.The range was moderate.
    The market bounced off the lows. Our xBar positions bounced accordingly.
    Small but steady. No sweat. Six winning trades out of seven.
    We’ll take it any day.


    See all deals>>
  7. 12-05-2012


    We got very interesting day from the standpoint of positions behavior.
    Usually, after the market's fall and sharp reversal after that with the new highs, we get a substantial profit on a sizable portfolio of seventeen positions that we accumulated during the fall.

    But this time around, the portfolio behaved itself differently.
    During each move to the highs or near highs of the market profit would decrease.

    It is a troubling sign and speaks volumes about general market strength. Under these circumstances, it makes sense to close positions manually.
    In the end of the trading day, general weakness of a large group of stocks forced the indexes lower and the fall continued in the beginning of the next day.

    Detailed analysis of portfolio's behavior might help to make a right decision about forced liquidation as well as predict next morning's action.


    See all deals >>
  8. 12-06-2012


    This morning we got a mass entrance of short positions based on divergence between stocks and S&P 500.
    We had the best profit of $600 at best, but later on stocks got pulled up by the market.
    The potential of manual closing of positions appeared during market's test of the low when the portfolio stayed negative.
    The loss for the day was $420.
    In days like that one question would be obvious.
    Why not to use trailing stop to keep the profit?
    The answer is simple.
    There would be days when the potential profit can be several thousand dollars but no trailing stop can sustain the volatility of these days and all positions would be closed before maximum profit is reached.


    See all deals >>
  9. 12-07-2012


    Pretty common scenario for the general market.
    Got a gap in the morning on the general market, gap got filled then the market bounced.
    These days few positions would be initiated. In total we had a small profit with no drawdown whatsoever intraday.


    See all deals >>
  10. 12-10-2012


    The date started with a mass entrance of short positiions - pattern Toughie.
    The portfolio of shorts started behaving well right away (weaker then general market).
    Even when the general market went up, we still had a profit.
    This kind of divergence is the strongest indicator for market reversal.
    Our best paper profit for the day was around $1000 but there was no reason to close positions.
    The profit decreased some with the move higher but not much.
    The fireworks on a downside today are expected.
    Good luck!


    See all deals >>
    #10     Dec 11, 2012