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My post below was intended to encourage you to keep this
discussion PUBLIC, and only use private emails where necessary.
I won't have time to study it in depth till later. However, I am saving
all automated trading discussions that I see in an Outlook Express folder
entitled AUTOMATED TRADING. I don't have a lot of saved messages
yet, but I have copied one here as an example of what I am saving, I
saw this on the Ninja Trader yahoo group. I stopped watching their
discussions awhile back. Ron D
<FONT
face=Arial>==================================================================
I've taken 5 systems which I
was using to trade manually, changed them so they can run without me,
backtested them on IRT until I'm happy with them and set them off live.
Expectancy (based on (Pw * Aw)- (Pl * Al) where P = probability, A =
Average, w = win and l = loss) ranges from 1.8 to 2.7 and R/R from 2.4
to 6.1. Percent wins range from 38% to 52% in the backtest period. All
systems use a variety of indicators (CCI, FASTD and custom indicators
mostly) and multiple time frames. The single most important factor in
improving backtested performance turned out to be identifying conditions in
longer timeframes which lead to poor results and modifying the scans to
prevent trading when those conditions apply. With some scans this results in
very few trades (15 or 20 per quarter) so backtest results are statistically
dubious and, as backtesting itself is not a 100% representation of what
will happen in real life, I will hold off buying the yacht for the
timebeing.
<FONT
face=Arial>========================================================
<BLOCKQUOTE dir=ltr
>
----- Original Message -----
<DIV
>From:
dingo
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, April 11, 2004 1:49
PM
Subject: RE: [amibroker] Re: Real-Time
Trading System Examples
<FONT face=Arial
color=#0000ff size=2>I posted some code (vbScript) to export the trade list
under some circumstances - look back using this thread
subject.
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>d
From: mrdavis9 [mailto:mrdavis9@xxxxxxxxxx]
Sent: Sunday, April 11, 2004 2:38 PMTo: <A
href="">amibroker@xxxxxxxxxxxxxxxSubject:
Re: [amibroker] Re: Real-Time Trading System Examples
I am also interested in the subject of this
thread. Ron D
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=danielwardadams@xxxxxxxxx
href="">danielwardadams
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, April 11, 2004 1:30
PM
Subject: [amibroker] Re: Real-Time
Trading System Examples
Herman & dingo,I'd also be interested in anything you come up
with. I want to solve the same problem as you Herman. Hope you're
making better progress than me though ...Dan--- In
amibroker@xxxxxxxxxxxxxxx,
"dingo" <dingo@x...> wrote:>
sounds neat. I'll contact you off-line to work up some
specs.> > d> > >
_____ > > From: Herman van den Bergen
[mailto:psytek@xxxx] > Sent: Friday, April 09, 2004 9:51 PM>
To: <A
href="">amibroker@xxxxxxxxxxxxxxx>
Subject: RE: [amibroker] Real-Time Trading System Examples>
> > Anytime you are ready, if you write the code for the
tradelist export I'll> share whatever afl I turn out to read
the file from RT :-) > I have the basics working and hope to finish
it over the weekend. It is kind> of neat you just click
anywhere on the RT chart and see all the EOD> particulars in the RT
Interpretation window :-) still have to do the date>
matching...> > h> > >
> -----Original Message-----> From: dingo
[mailto:dingo@xxxx]> Sent: Friday, April 09, 2004 9:37 PM>
To: <A
href="">amibroker@xxxxxxxxxxxxxxx>
Subject: RE: [amibroker] Real-Time Trading System Examples>
Importance: High> > > Your BTW is EXACTLY what
I was going to suggest. > > I'll work you up something
to do the exporting (and little bit more). How> soon do you
need it?> > d> > >
> _____ > > From: Herman van den
Bergen [mailto:psytek@xxxx] > Sent: Friday, April 09, 2004 9:13
PM> To: <A
href="">amibroker@xxxxxxxxxxxxxxx>
Subject: RE: [amibroker] Real-Time Trading System Examples>
> > InLine...> > -----Original
Message-----> From: dingo [mailto:dingo@xxxx]> Sent: Friday,
April 09, 2004 7:49 PM> To: <A
href="">amibroker@xxxxxxxxxxxxxxx>
Subject: RE: [amibroker] Real-Time Trading System Examples>
Importance: High> > > I'm still trying to get my head
around what approach you're wanting to take.> >
Are you going to use EOD data and formula to produce your buy signals?
> Yes, because they are more accurate than RT signals - for what i
am doing. > > Or are you going to use Realtime
data and another formula to do your> entries? > Yes.
> > Are you going to use Realtime data and formula to
manage stops/exits for> open positions? > Yes.
> > If that's the case then you won't need to mix your
databases and your EOD> formula can be separate from the
realtime formula, right? > Indeed, but only in real trading, the
problem is that I need to> develop&optimize the RT components
with backtesting. How would I optimize my> RT stops over
historical data if I don't have access to the EOD signals,>
stock picks, scores, shares, and trade-prices in my formula? All these
are> based on EOD data and can not be calculated accurately in
RT.> > I assume you have the EOD formula that
generates the buys working> satisfactorily? > Yes, but is is
price sensitive and gets all confused dealing with things> like
-17 to +30 cts RT volatility/noise of the OHLC Prices (AAPL).
> > If you are going to use a formula to manage your
stops/exits have you been> able to complete this or is this the
question that you're asking? > There are many formulas and i
haven't decided which to use, My system must> first work with
EOD performance in an RT environment.> > Assuming you
have a formula to manage those stops/exits - have you worked>
out a way to trigger the trade? > NO. > >
I believe you mentioned that Ninja Trader wasn't the answer. Is
this a> piece you're asking about as well? > Not
now, waiting for TJ to introduce automation... i still have work to
do> and hope to be ready when TJ is... >
> Lots of questions, eh? > Not really; I
have a lot more :-)> > I'm asking because I'm headed
in that direction as well - just not as ready> as you are right
now. > Let me know how things work out for you... and what path you
decide on.> > BTW, today I thought of another
approach, a brute force method alright but> it might work. I
simply export the entire EOD trade list and read it from> the
RT code. For each RT date I look up the matching EOD row in the
Trade> list, I then extract whatever information i need. Tried
it, It is actually> faster than i expected. All i need now is
an automatic Export at the end of> my EOD backtest ;-) any
ideas?> > h> > TIA>
> d> > > _____ >
> From: Herman van den Bergen [mailto:psytek@xxxx] > Sent:
Friday, April 09, 2004 12:01 PM> To: <A
href="">amibroker@xxxxxxxxxxxxxxx>
Subject: RE: [amibroker] Real-Time Trading System Examples>
> > [d]Or are you trying to take an EOD system and trying to
make your system> "more granular" and pick the same patterns in
intraday data? > > I am mainly trying to improve
Entries and Exits, i am not looking for> patterns. The systems
work fine in EOD but I observed on the RT charts that> i often
miss locking in some really nice profits that fade before I exit.
So> i want to code in Trailing stops that activate at a certain
profit and than> exit when the price drops back a bit. For
example, if my profits reaches 2%> during the first two hours
of the trade, then i want to activate a Stop and> exit when my
profits drop back to 1.5%. ApplyStops cannot be used in very>
short-term (1-3 days) trading because on the day of exit it is unknown
which> came first, the High or the Low, or with profit stops, how
many dips there> were during the day that would have terminated
the trade. RT data is needed> to develop proper stops. limits,
etc. with the short trades i use. > > If i trade 1-3
times a week and i might be able to reduce my exposure by 50%>
if I managed to get out based on profits instead of timing. I would
prefer> overall less profits if it came with less exposure.
Also, the strength of> signals fades pretty fast... have you
ever tested your n-Bar profits? i.e.> profits made on the 1st,
2nd and 3rd day? You can vary the entry delay and> use n-Bar
stops to limit the trade duration, that way you can "isolated">
single days (profits) of your trade. For me, typical profit
distributions> might be 65% 25% 10% for a system with an
average of 3-bar trades. So the> first day obviously has the
greatest profit potential at the least exposure.> IMHO, short
term signals have a limited life-time: after a certain number
of> days you are just hoping to get lucky :-) knowing your n-Bar
profits may> help you decide whether it is worth it (risk) to
stay in a trade or not.> > [d] IMHO you are in
un-charted waters as far as AB goes.> > We got some
smart cookies on this list, I just can't believe that nobody
is> working on this; it appears the obvious way to keep your EOD
system working> now that RT trading is catching on. So I hope
you are wrong on this one :-)> > h >
> -----Original Message-----> From: dingo
[mailto:dingo@xxxx]> Sent: Friday, April 09, 2004 11:21 AM>
To: <A
href="">amibroker@xxxxxxxxxxxxxxx>
Subject: RE: [amibroker] Real-Time Trading System Examples>
Importance: High> > > IMHO you are in un-charted
waters as far as AB goes.> > Are you trying to come up
with a system to do backtesting with or one to> monitor trades
/ manage stops for real-time trading? Or are you trying
to> take an EOD system and trying to make your system "more
granular" and pick> the same patterns in intraday data?
> > d> > >
_____ > > From: Herman van den Bergen
[mailto:psytek@xxxx] > Sent: Friday, April 09, 2004 11:14
AM> To: AmiBroker YahooGroups> Subject: [amibroker]
Real-Time Trading System Examples> > > Would anybody
have some example code for Real Time trading systems? I have>
considerable trouble converting EOD systems to RT data - tried too
many ways> to mention but always hit a snag at some advanced
point. My problem areas> are:> > 1)
Converting or duplicating EOD signals to RT, I need this because EOD
data> prices are more accurate than those I get from RT
sources.> 2) Running the basic EOD system in RT, i.e. reproduce EOD
signals in RT. I> want this as a verification stage before
trying to enhance the system with> RT data> 3) Custom
coding Profit targets, Limit Prices and Stops.> 4) Optimizing entry
points by using Pre/after hours trading and/or using>
delayed/early entries and exits.> 5) Showing EOD Arrows (derived
from EOD data, not from RT data) on my minute> charts.
> > If anybody has example code or reference URLs to
share that would be much> appreciated. > >
Also, i am beginning to wonder how many subscribers, if any, have
actually> solved the above problems. If you have done so
perhaps you can share this> simple fact (no code needed),
knowing that it has been done successfully is> a great
motivator :-)> > TIA and best regards,>
herman.> > > > > Send BUG
REPORTS to bugs@x...> Send SUGGESTIONS
to suggest@x...>
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