Here's the weekly results for the system I developed several weeks ago. It currently runs on a single stock.
Monday: (0.5%)
Tuesday: No trade
Wednesday: 0%
Thursday: 0.36%
Friday: No trade
Weekly Overall P/L: (0.14%)
Complete Overall P/L: 1.6%
(Note: I'm updating the methodology of the system in order to utilize multiple stocks and potentially increase expectations and lower variance. Plus, intraday strategies may be added, such as the one I recently backtested).
Friday, September 28, 2012
Thursday, September 27, 2012
Backtest
I ran a backtest on a technical pattern I've been interested in this last week or so. It turns out that on AAPL it pays off handsomely for a mere 8 minute hold (profit could be extended if I programmed several other pattern exits).
It can be difficult to figure out exactly what leads where, but it is especially helpful if you can quantify the traits you are looking for. At least, that way, you can run expectation tests on your data. Even if it is not perfect, it can give you an idea of what works and what does not.
I'm going to keep these results for myself, and perhaps, run it on a few other high volume stocks :) This time around I'm looking for stocks with slightly tighter spreads. I'd like an average of $0.02 or less...
On as side note, I'd recommend signing up for all the free services Rob provides at OvernightEdges.com. They're helpful, and very interesting.
It can be difficult to figure out exactly what leads where, but it is especially helpful if you can quantify the traits you are looking for. At least, that way, you can run expectation tests on your data. Even if it is not perfect, it can give you an idea of what works and what does not.
I'm going to keep these results for myself, and perhaps, run it on a few other high volume stocks :) This time around I'm looking for stocks with slightly tighter spreads. I'd like an average of $0.02 or less...
On as side note, I'd recommend signing up for all the free services Rob provides at OvernightEdges.com. They're helpful, and very interesting.
Wednesday, September 26, 2012
Trades
Made a couple of bad 'discretionary' trades today, and yet, they were placed for the right reasons. I need to manage my risk better. I'm getting some of the patterns down I need to identify, I just need to scale my share or contract amount to better suit my risk tolerance.
I'm trying to figure out a way to calculate stop based on share amount (versus account size) and current (perhaps expected) volatility. The higher the volatility the wider the stop. The higher the amount of shares the closer the stop. So, find some balance between share amount and volatility that my account can stomach.
Sounds good. Harder to implement.
I'm trying to figure out a way to calculate stop based on share amount (versus account size) and current (perhaps expected) volatility. The higher the volatility the wider the stop. The higher the amount of shares the closer the stop. So, find some balance between share amount and volatility that my account can stomach.
Sounds good. Harder to implement.
Tuesday, September 25, 2012
Problems
I found some problems with my model that reduce the return. While somewhat frustrating, the system still aids, more than enough, in forecasting price direction. In order to make it more robust I'll have to put in quite a bit more effort, which, at the moment, doesn't sound like something I want to do. But, I need to get to that point if I want to improve upon the system enough to make some serious money!
Push, push, push.
On another note, I dabbled in some pairs trading research the other day. My expected returns originally stated something like 50%, which would be unbelievable. I still got excited. Until I realized I was looking on return based on change in the spread, without taking into consideration the amount of money needed to invest in the spread and the inevitable transaction costs.
Those two factors ultimately reduced the setup to practically break-even, probably with a slight return in the positive direction. If I could pin point a way to reduce transaction costs, ideally by at least half, the system would work well enough to implement. At least, that's how it looks.
Damn errors and transaction costs!
Push, push, push.
On another note, I dabbled in some pairs trading research the other day. My expected returns originally stated something like 50%, which would be unbelievable. I still got excited. Until I realized I was looking on return based on change in the spread, without taking into consideration the amount of money needed to invest in the spread and the inevitable transaction costs.
Those two factors ultimately reduced the setup to practically break-even, probably with a slight return in the positive direction. If I could pin point a way to reduce transaction costs, ideally by at least half, the system would work well enough to implement. At least, that's how it looks.
Damn errors and transaction costs!
Friday, September 21, 2012
System Results
Excluding last Friday's +1.24% gain, here's how the system did this week.
Monday: no trades.
Tuesday : +.90%
Wednesday: +1.54%
Thursday: (.97%)
Friday: (.97%)
Total: +0.5%
Not terrible, and within reasonable expectations. That is the total percentage gained if the same amount is used each time, without leverage. Of course, you could use leverage and go all-in each time, which is outside my risk tolerance, at the moment.
Anyway, I'm working on another system that should spend even less time in the market than this one. Furthermore, I'm working on strengthening the above system and spreading it across multiple stocks and indices, while automating the analysis and execution. Lots of work, that is slowly paying off.
Monday: no trades.
Tuesday : +.90%
Wednesday: +1.54%
Thursday: (.97%)
Friday: (.97%)
Total: +0.5%
Not terrible, and within reasonable expectations. That is the total percentage gained if the same amount is used each time, without leverage. Of course, you could use leverage and go all-in each time, which is outside my risk tolerance, at the moment.
Anyway, I'm working on another system that should spend even less time in the market than this one. Furthermore, I'm working on strengthening the above system and spreading it across multiple stocks and indices, while automating the analysis and execution. Lots of work, that is slowly paying off.
Tuesday, September 18, 2012
Back
Finally back from my trip to see family. I'm still situating and I have an interview on Wednesday, plus some other job stuff I have to get together.
But, I did post a short Python IB order script on Godel's Market that allows you to send an order through Interactive Brokers API. It can take you a step further in creating your own trading bot. Haha.
But, I did post a short Python IB order script on Godel's Market that allows you to send an order through Interactive Brokers API. It can take you a step further in creating your own trading bot. Haha.
Thursday, September 13, 2012
OrderIDs
I have spent part of the day working on automating a simple system. Well, I worked on setting up all the parts needed to get a system functioning. A big piece of the system is, obviously, being able to buy and sell shares/contracts! :D
And boy has it been somewhat frustrating. Haha.
If you decide to make your own automated system with Interactive Brokers API, make sure you put all of your OrderIDs in order! (i.e. if you have an orderID = 13, the next has to be 14 or larger).
This would work well in a completed system. I'm going to be updating the orderID using a counter. It's all clean and self contained. But, if you are testing a script that just sends order out and you wonder why it may not be working, it could very well be due to some orderID issue...you can, also, reset the orderIDs manually in the Configure->API window.
And boy has it been somewhat frustrating. Haha.
If you decide to make your own automated system with Interactive Brokers API, make sure you put all of your OrderIDs in order! (i.e. if you have an orderID = 13, the next has to be 14 or larger).
This would work well in a completed system. I'm going to be updating the orderID using a counter. It's all clean and self contained. But, if you are testing a script that just sends order out and you wonder why it may not be working, it could very well be due to some orderID issue...you can, also, reset the orderIDs manually in the Configure->API window.
Wednesday, September 12, 2012
No Trades
No trades this week. I've been in my home town with family. I have been able to keep up with the one-minute data download. I also wrote a small guide for a friend on a trading strategy I developed recently.
I should be trading again next week,
Take care!
I should be trading again next week,
Take care!
Wednesday, September 5, 2012
Relative Volume and Range
I posted something about Volume vs Range yesterday on Godel's Market. I wanted to post today's chart as an example of a low volume, range-bound day.
I'll slowly get around to doing more substantial and predictive research based on these correlations; but, it's kinda nice to see an intraday chart of a lower than average volume day.
Tuesday, September 4, 2012
Yesterday, Today, Tomorrow
Yesterday was a holiday here in the United States. So, no trading on my part. This morning I had an interview and I will have another interview tomorrow. So, no trading today or tomorrow :(
In positive news, I have been working on my strategy and writing software to aid in better execution :D it's exciting. I like building and I like the challenge. And, maybe someday, I'll even finish my poker bot. Haha.
Take care, everyone!
In positive news, I have been working on my strategy and writing software to aid in better execution :D it's exciting. I like building and I like the challenge. And, maybe someday, I'll even finish my poker bot. Haha.
Take care, everyone!
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