Who wants to program my Profitable Trading System?

Discussion in 'Automated Trading' started by scalpmaster, Aug 22, 2007.

  1. Hi,

    was wondering if anyone is interested in programming this method I use for spread trading U.S indices futures?

    Can a method of averaging be optimized in a simple system of trading the same contract(using 2 accts) or, for single acct, closely correlated contracts (e.g. indices futures YM&ES, er2&NQ) simultaneously but in opposite directions?

    On the winning side (regardless of long or short position),

    Average UP 1, 2, 3 … contracts (variation of Anti-Martingale Model)
    adding 1 contract at each level

    Levels are based on N/2 increment where N could be 10, 20 or more ticks.

    i.e. +1@ N/2, +1@ N,...

    basically, just accumulate one every N/2.

    On the losing side (short or long),

    Routine: Just average 1 contract every N, 2N, 4N, 7N levels…

    (*In practice, I close both sides at 3N to reduce exposure and re-start the whole algorithm*)

    If the trend reverse and the winning side retrace by N/4,

    a)For 1 contract accumulated, hold and start the losing side routine when it retrace by N...

    b)For 2 contracts accumulated, take profit of 1 contract and start the losing side routine when it retrace by N…

    c) For >2 contracts, take profit of half of the total number of contracts accumulated... When it retrace to the average of the original losing side, square off both sides.

    If, however, after taking profit, it changes direction again and reverts back by N/4, start accumulating 1 contract at the time as per normal at the designated levels.


    When it trends more than 3N level on either the long or short side, close both sides and restart. The net should always be a profit even after commissions (I use IB).

    The goal is at the end of the day/week, I want maximize the total net profits.

    We can extend this single pairs/accounts trading method into an integrated series of multi-pairs/accounts with different starting points placed at N distance apart (or any given interval), each generating profits on its own.
  2. Retief


    How do you decide to initially enter the market? Randomly, at a particular time, or based on some relationship between the securities being spread-traded?

    What do you use for stops? It is possible for both sides of the spread to go against you.
  3. I'm confident to say that this won't test well.

    I'm also confident to say that that it will make you very frustrated if you see the results of running this live in ATS.

    One issue is you have the core trading decision way too fuzzy to make you (OP) to feel that ATS doesn't work.

    For starters, define what you mention as a trend in your post.
  4. The stop can be at 3Ns or more on either direction. If you are
    concerned with spreads divergence, then trade the same
    contract on 2 accts in opposite directions.
  5. This trading approach has been profitable for me for 2 years...

    I trade er2 on 2 accts with N=20 ticks but I am tired of doing it manually and ...
    I was hoping that some able program trader would be willing to discuss with me further
    on automating this algorithm...
    I will share more...

    not fuzzy comments saying how confident it will not work...
  7. Why not quickly test this system using Tradestation before committing major resources towards building it from scratch in Java or C#, etc ?
  8. OK... so you literally place a Stop Order on a xx tick interval? How long has your trading style worked consistantly?

    PS. If you can't take another person's opinion, mind as well not post anything. Why are you annoyed by me?

    Actually, I'm supportive towards what I agree with. Just because I don't agree with you, don't take it personal. If it's been working for you and making tons of money out of it... you should be a bit more confident on what you mentioned... why get annoyed?
  9. --------------------------------------------------------------------------------
    Quote from scalpmaster:

    This trading approach has been profitable for me for 2 years...
    If you cannot read then do not participate...

    The returns are not fantastic ...about 100%/year of total capital
    but it will do for me...unlike some super traders going for over 500% with directional methods.

    I totally agree with Bluegar3

    Quote from Bluegar3:

    it would also help if you shut up. You have got to be one of the most annoying posters on this forum, and probably the most negative person I have come across. Every post I read from you are bashing on someone of calling someone an idiot. Why are you so darn upset with life?

    Quote from TSGannGalt:

    Sorry... I'll shut up.
  10. Aren't there laws about trading opposing positions of the same underlying instrument on 2 different accounts? It may not be illegal in the futures Market, but if I recall, it's not legal in the equity Markets.

    Doing that technique on a large scale might get you in trouble.


    BTW: GannGalt is right in the general case, I'll bet you $100 that your "real time" system doesn't work in the real world of automated trading. I code these things myself and coming up with something that makes consistent money in any Market is way harder than 99% of the people on this board suggest. But good luck, 3-4 years of testing ideas will get you where you want to go.
    #10     Aug 23, 2007