Deadline June

This is a discussion on Deadline June within the Trading Journals forums, part of the Reception category; Originally Posted by grimesd Yes I'm still around. Like you I have two systems running at the moment and they ...

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Old May 4, 2011, 11:59am   #871
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Re: Deadline June

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Originally Posted by grimesd View Post
Yes I'm still around.

Like you I have two systems running at the moment and they are both profitable. Its just a matter of monitoring them and resetting every month. I also have a discretionary account that I use for hedging against my automated trades, if they are obviously on the wrong side of the market. I tried discretionary trading before switching to automated trading cos I was just no good at it (not because of the strategy but because of me). Maybe you'll succeed where I failed.
How can you know if your automated trade is "obviously on the wrong side of the market"? I run three systems and I am rubbish at second guessing them. I know this for a fact, because I've kept a record of all the instances where I've skipped signals and it has cost me dearly.

As Mark Douglas says, anything can happen (rule no. 1).
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Old May 4, 2011, 12:29pm   #872
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Re: Deadline June

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Originally Posted by meanreversion View Post
How can you know if your automated trade is "obviously on the wrong side of the market"? I run three systems and I am rubbish at second guessing them. I know this for a fact, because I've kept a record of all the instances where I've skipped signals and it has cost me dearly.

As Mark Douglas says, anything can happen (rule no. 1).
I only hedge my systems on the odd occasion. Like today on EURJPY my systems were both short, so I entered a long in my SB account (which is looking good so far). My systems are still short EURJPY.
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Old May 5, 2011, 12:24am   #873
 
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Re: semi-automated strategy

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Originally Posted by grimesd View Post
I only hedge my systems on the odd occasion. Like today on EURJPY my systems were both short, so I entered a long in my SB account (which is looking good so far). My systems are still short EURJPY.
Grimes, what time frame do you trade on?
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Old May 5, 2011, 12:45am   #874
 
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Re: TurningPoints Improvements Needed

Adamus started this thread On CHF/JPY - to me, the most interesting minor pair, but this trade by the Turning Points system was all wrong. It didn't look particularly unlikely when it entered - I marked the target on there - but it seems to have overestimated the swing by about 50%, when I look at the last couple of days by eye.

The trade yesterday was much more on target so I need to check out why it changed. I expected the system would stay in synch for longer, but in this case it has got right out of whack after being relatively in synch.

The long entry ysterday was the tail end of a virtual trade that started last week which I only entered just yesterday. It was quickly reversed. Maybe there's something going on there in that reversal part of the system.
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Old May 5, 2011, 7:20am   #875
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Re: Deadline June

Adamus, I look at the daily and H4 time-frames, but my systems trade from 2 & 15 Minutes.

As for the EURJPY - My systems are both still short and I'm still long. I'll exit my hedge when:
a) Price closes below support/above resistance.
or
b) One of the systems exits its position.
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Old May 5, 2011, 10:07am   #876
 
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Re: Deadline June

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Originally Posted by grimesd View Post
Adamus, I look at the daily and H4 time-frames, but my systems trade from 2 & 15 Minutes.

As for the EURJPY - My systems are both still short and I'm still long. I'll exit my hedge when:
a) Price closes below support/above resistance.
or
b) One of the systems exits its position.

2 mins timeframe - presumably just for entries? That's really quick.

The reason I asked is because my systems trade on the 1 hour time frame and I don't think I'd have enough time to work out if I needed to put on hedges on all the markets I'm trading. I wouldn't want to do it anyway because I'm trying to make systems that need no outside intervention.

I remember your posts now, I believe you are of a different school of thought on that one.
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Old May 5, 2011, 10:12am   #877
 
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Re: IB handed me 12 points slippage on the EUR.GBP

Adamus started this thread More of the same and worse.

Filthy stinking ******* slippage - on the GBP/USD as well this time.

For such a supposedly liquid market, I believe something must have gone wrong at Interactive Brokers to produce such a gap on the charts.

I will check FXCM data as well.
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Old May 5, 2011, 10:24am   #878
 
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Re: IB handed me 12 points slippage on the EUR.GBP

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More of the same and worse.

Filthy stinking ******* slippage - on the GBP/USD as well this time.

For such a supposedly liquid market, I believe something must have gone wrong at Interactive Brokers to produce such a gap on the charts.

I will check FXCM data as well.

FXCM isn't that much better. I think it's fair to say I might have got just as bad slippage.

This is more what I'd expect on CHF/JPY, not on cable.

So, 25 points slippage on my GBP/USD stop, and 11 points slippage on my EUR/GBP stop.
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Old May 6, 2011, 12:32pm   #879
 
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Re: TurningPoints Improvements Needed

Adamus started this thread This Turning Points trade was a definite no-hoper.

The idea of the system is that it catches the swings early after identifying a turning point / swing high/low.

In this situation, 'TP' identified the swing low, but waited and waited and waited for 3 or 4 bars until giving a signal, by which time the swing was over and the new one had just started.

I see what has happened here. The first part of the signal - the swing low - kicked in but the second part of the signal - the MA cross-over - was lagging badly, for whatever reasons, I can look into that later. But what I should have done is to make sure that the signal doesn't trigger if the MA cross-over has taken so long that the market has moved right up the swing and starts turning again. That data is monitored by the system, it's just not applied to this part of it - stupid!

Of course there are many situations like this where the swing doesn't stop but goes on to give a storming winner. I could check back over backtest results to find big losses and I will probably see a lot of these situations causing them, but many of these big losses will not occur since the system will often reverse for a smaller loss.

I'll have to run the backtest with reversing turned off to find them all then.
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Old May 11, 2011, 12:47pm   #880
 
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FMT system needs maintenance

Adamus started this thread This is my other system - just runs on GBP/USD between 6 and 7 every morning.

Today it went short at 6am and usually that would be it. Either it hits target or it gets stopped out.

But on the 6:15 bar (it runs on 15 min bars) it reversed and that cost me the trade.

I don't know how many times it reversed over the last x years but I want to test it with the ability to reverse disabled.
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Old May 13, 2011, 1:47pm   #881
 
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Re: TurningPoints Improvements Needed

Adamus started this thread I'm a bit surprised I really have no idea why one trade has such a big target and the other doesn't. This implies that my system is slowly turning into a black box, and that won't be so good.

Looking at it again I can imagine what the reason is for this, but I want to check it out anyway.

I am going to put it in the garage and up on blocks to see what I can do to improve it, and go over all the posts I've made here complaining about it, but at the moment I am still trying to sort out my historical data. I need the tools ready before I can take it apart.
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Old May 20, 2011, 4:42pm   #882
 
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mechanical trading ****-ups, part 14

Adamus started this thread I haven't had one of these for a while.

The system reversed and thanks to NinjaTrader, didn't place target and stop orders. It's a very well known bug - for me - but NinjaTrader support can't reproduce it. Meanwhile there is a better method for order handling available which I intend to implement which will resolve the issue.

So the 2 orders on the chart are my emergency rescue plan. The target limit is in the place where it should have been - the stop should have been the same distance the other side of the entry, but I'm putting it at b/e.

Until then I should check it more frequently because this time round it could cost me 60 pips or so.

I missed this 4 hours ago but hopefully the new orders I placed will catch the continuation with the target and it won't retrace any further into the stop.
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Old Jun 23, 2011, 2:46pm   #883
 
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Re: TurningPoints Improvements Needed

Adamus started this thread I'm still working on the next version of the Ninja****er strategy - I'm not even doing backtests at the moment, I'm still at the stage where I'm framework building (the greatest time-killer of all for software developers).

Anyway, I'm getting there slowly and looking at the charts trade by trade. The main addition to the Turning Points systems that I'm going to make is a trend filter, but I need to work out what.

Since I'm not ready to backtest it yet, I'm just playing it by eye. On this one, I've got a 200 bar EMA. The theory is that I don't want to go against the trend. This was my favourite pair CHF/JPY which lives in a world of its own in terms of where it's going compared to all the other pairs, but is pretty typical in that it gives me continual losses when going against the as-yet-to-be-defined trend.

Those trades on the chart are typical. The last one was a sell and stop loss there on the right.

I also have a nagging doubt that the system likes trading against the trend, in terms of raw numbers of trades made with and against.

All conjecture though. I need some profit and loss series to check these theories out. Otherwise it's all just the rantings of a paranoid system administrator. Paranoid I might be, but I'm good at non-interference. I haven't canned a single trade that this system put on in almost 9 months of trading now.
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Old Jun 29, 2011, 12:37am   #884
 
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Re: TurningPoints Improvements Needed

Adamus started this thread AUD/JPY

The overlap between bars on this pair is comparatively huge.

I thought I could use a measure of the overlap as a proxy for volatility. That didn't work. Then I tried it as an inverse proxy for volatility. Also no joy.

OK I don't really have time to do any off-the-cuff system development but it's just so striking.
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Old Jun 30, 2011, 11:52am   #885
 
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Trading system errors running live

Adamus started this thread Got another error here, this time on the Aussie / Canadian pair.

The mechanical error could have been rectified with only 5 pips loss if I had acted on it properly but I deviated from my standard protocol and thought I could get some profit out of it if I allowed the market to continue up in my direction.

It didn't, in fact it went down 20 points, before it came back 10 and closed the hourly bar, but then at the stroke of noon it fell off a cliff, dropping 20 points in a second. The USD/CAD did the same. I closed it out for 30 points loss.

Enough disaster stories - the mechanical fault was an InteractiveBrokers disconnect on the stroke of the hour, which resulted in NinjaTrader's order handling going wrong as it tried to reverse a position. The disconnect lasted 6 seconds, but it was enough to prevent NinjaTrader from (a) cancelling out the old exit orders once it reversed, (b) entering new exits and (c) giving any kind of warning.

So when the AUD/CAD reached its new target, instead of going flat, it doubled the position and that's how I found it - having sank back down 5 points.

What I need to do is to program my NT7 strategy to detect in the OnBarUpdate() event whether it's connected or not. If it's not connected, I need it to text me a warning or something.

Another feature I'd like is a button to click to put the strategy into 'unattended' mode so that it will shut down the strategy and close its position if it detects a disconnect when trying to submit orders.
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