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<FONT face=Tahoma
size=2>-----Original Message-----From: mrdavis9
[mailto:mrdavis9@xxxxxxxxxx]Sent: Sunday, April 11, 2004 5:23
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker]
Re: Real-Time Trading System ExamplesImportance:
High
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 <A
href="">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 <A
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