Deadline June

This is a discussion on Deadline June within the Trading Journals forums, part of the Reception category; I'm going to list here all the tasks I need to take the new triple MA system from its rough ...

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Old Jan 4, 2011, 1:48pm   #611
 
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Post Rough uncut Triple MAs system

Adamus started this thread I'm going to list here all the tasks I need to take the new triple MA system from its rough uncut state through optimisation, backtesting, forward testing, simulated trading to actual live deployment.

Just got back from Austria and I can safely say my brain is definitively not in trading mode.

First things first - what optimisations did I go through while inventing the system? i.e. how many degrees of freedom have I tied up in the system, and where and how am I going to document it all, obviously NinjaTrader exports in Excel, but with some semblance of order so I can work out what it all represents when I check up on it in the future.

More later. Still technically on holiday but going out this afternoon and this evening so I'll put the system as it is into simulated trading now, so as not to lose any more days in giving the system time to do crazy things or bring NinjaTrader to its knees.
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Old Jan 7, 2011, 3:57pm   #612
 
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Just another Torrid Friday

Adamus started this thread Here I am making up the same kind of ****e titles that the Sun uses to headline the articles that it puts forward as journalism.

What a pile of crap.

Anyway, fresh from telling Travis not to be emotional, I have decided that huge whinge is in order here on T2W to make up for the non-farm payrolls changing my +$1000 into -$2000 in the space of a couple of hours.

Admittedly it was kind of unlucky because I was long the swissie on 4 different pairs and had nothing else on.

It's my own fault for not getting the second system going yet, despite working on it ostensibly since October when I finalised the current only system.

The latest kick in the goolies on that front was this week, from NinjaTrader 7 of course - again, see that thread from Travis if you want to have a laugh at my rational approach to trading.

A weird bug had appeared, preventing me from deploying my latest system in simulated trading. Fortunately I have just found a work-around so hopefully I can put it into testing now. Just in time for the weekend.
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Old Jan 7, 2011, 4:25pm   #613
 
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Re: Deadline June

Yeah, as I preached previously: I immediately ruled out ever using a software that is named like a box of cereals or like a cartoon.

Furthermore I looked for what was used by most people, and the best people, which lead me to IB and all its software, and nothing else. Besides, you're a programmer so you have a lot of possibilities, with IB and all the API languages it allows you to use (starting with excel, like I did).

As I preached to the world many months ago, from this journal, find the best thing and stick with it until you make it work. Instead of listening to the prophet, you have chosen to divide your energies between two things each time: two softwares, two data providers...

How many enemies can I fight at once and hope to defeat? One. So I pick the one enemy whom I can defeat and whose defeat will bring me the greatest reward: Vito. I don't fight two enemies at once. The same applies for the softwares and their bugs. You're going to get stung all over with bugs coming out of two platforms.

Better to do one thing perfectly than two things imperfectly.

Last edited by travis; Jan 7, 2011 at 4:30pm.
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Old Jan 7, 2011, 6:21pm   #614
 
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Honey-Nut Ninja-Trader Loops

Adamus started this thread
Quote:
Originally Posted by travis View Post
Yeah, as I preached previously: I immediately ruled out ever using a software that is named like a box of cereals or like a cartoon.

Furthermore I looked for what was used by most people, and the best people, which lead me to IB and all its software, and nothing else. Besides, you're a programmer so you have a lot of possibilities, with IB and all the API languages it allows you to use (starting with excel, like I did).

As I preached to the world many months ago, from this journal, find the best thing and stick with it until you make it work. Instead of listening to the prophet, you have chosen to divide your energies between two things each time: two softwares, two data providers...

How many enemies can I fight at once and hope to defeat? One. So I pick the one enemy whom I can defeat and whose defeat will bring me the greatest reward: Vito. I don't fight two enemies at once. The same applies for the softwares and their bugs. You're going to get stung all over with bugs coming out of two platforms.

Better to do one thing perfectly than two things imperfectly.
I decided not to ditch NinjaTrader immediately since it seemed the quickest solution despite the bugs and the limitations. Each time I started looking into other platforms to substitute it with, I found large grey areas where it seemed there may well be the same sort of problems lurking as with NinjaTrader.

I also realised that what I really want is my own software that has all the features of the different platforms that I really like, and no bugs. In other words, I will program it myself with the IB TWS-API, unless it kills me first.

So that's the fate in store for NinjaTrader. I plan to code a replacement. Obviously a big project.

Concerning the second data provider, at the moment that is absolutely necessary since I can't get anything running with only the data provided by IB - it just keeps giving me the pacing violation errors. I hope I can code a solution to it properly once I have my own platform established. That's something that NinjaTrader didn't want to do. I think it proves what a difficult interface TWS-API actually is to work with.

Plus I plan to collect IB data live uninterrupted to use for backtesting - which is different from the historical data they provide. I'll have to get a couple of screenshots to prove that, but it's considerable.
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Old Jan 7, 2011, 6:36pm   #615
 
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Re: Deadline June

Yeah, that sounds like you have a big plan (but maybe too big). Regarding the data providers, a long time ago we were discussing Disktrading and the others, and back then you must have had 3 data providers, which is why i started my preaching. If you now only use 2 then it is the same as what I am doing: IB for trading and disktrading for back-testing. Guess what, I found out that IB historical data is almost identical to disktrading, so you might as well get it all from them.

I do have one big issue in tradestation: the end of sessions for my futures. Tradestation counts the EST midnight as the session, and there's no way to get it to count the actual close of the futures. No, wait - but that can be done, by ending the day earlier, but then you can't get the right values for the next session, such as the high and the low (which I use a lot), because it will only start measuring them on the next day, and often they're different.

So this is to say that i do have major bug problems, too, but since I don't change platforms, ever (still using ts2000i), I have learned to reduce their damage.
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Old Jan 7, 2011, 8:38pm   #616
 
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Re: Deadline June

Adamus started this thread Of course since I got to know NinjaTrader so well I also got to know lots of tricks and short cuts to make it easier to deal with, which is the chain that binds you to the punishing piece of software. Surprisingly I know that NinjaTrader handles sessions really well. Not much help for you though.

I do use disktrading but I also use IQFeed/FXCM, so I have 3 data sets. I didn't find disktrading was as close to IB data. Another problem for me with disktrading is that I trade a few pairs which disktrading doesn't have.
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Old Jan 8, 2011, 5:26pm   #617
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Re: Deadline June

I think Travis is a lot like how he describes his dad in that he preaches his **** and doesn't listen to a word you have to say. He seems to think he knows best since he has been doing the same thing for so long and the fact that he doesn't listen to guys like you means he will be in this rut for the rest of his life. I don't really understand why he flips at genuinely nice guys like you. Maybe i should post 4000 times and have 3 threads running, then maybe he will listen to me. The guy lives in his own stupid reality and he's been stuck in so long that he doesn't know what the real world is like anymore, like that film inception.
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Old Jan 8, 2011, 6:14pm   #618
 
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Re: Deadline June

Adamus started this thread I think it's the classical internet paradox. I don't think I'll ever know what he's really like unless I meet him in the flesh. I expect he'll be quite different from my expectations, just like anyone else would be.

If they were going to execute Travis for instance, and they gave me the last chance to show him clemency, I'd spare him. There are some on this forum where I wouldn't bother.
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Old Jan 8, 2011, 6:41pm   #619
 
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Post Re: Rough uncut Triple MAs system: Saviour

Adamus started this thread First of all I need a new name for this system because it's not the 3Ducks anymore or really anything like it. Maybe I'll call it Saviour because I hope it's going to save my trading career from dropping off the cliff edge it's currently teetering along.

The first thing I had to do was to create a basic algorithm in NinjaTrader that showed a robust profit on the DTC data from 2000 to mid-2008. I chose to use this 8.5 year period since it stops a little after the beginning of the massive sub-prime mortgage-induced financial meltdown and volatility. I find 2008 and 2009 relatively easy to write systems for, so I didn't want any massive profits from those 2 years skewing the results. I'm pretty sure 2011 will bear more similarity to the period before that. Since I chose this period I am bound to use the DTC dataset since I don't have any IB data or FXCM data for those years.

Another slight glitch is that the DTC dataset only has 13 of the 21 instruments I plan to trade it on. I figure I can turn this to my advantage by testing with those 8 missing instruments using other datasets for further out-of-sample testing to complement the out-of-sample years that I'll test the system on.

What I want to do is nail down the profit and loss shown by the system on the backtest dataset to determine how robust the system is to changes in the different parameters and if-else clauses and conditions that I used in the algorithm.

Right, need to swap machines now since I can see the code on this one.
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Last edited by Adamus; Jan 8, 2011 at 7:46pm.
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Old Jan 8, 2011, 6:43pm   #620
 
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Re: Deadline June

Thanks, and in the same way I would spare you and even Brettus.
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