Fully Automated Stocks Trading

valeryn

Newbie
5 3
Would love to post here a bit about my trading, hopefully to meet likeminded individuals who trade systematically and extend my personal network. In the process, I am happy to answer any questions and hopefully, to create value for others.

I started trading about 8 years ago and eventually narrowed it down to fully mechanical/automated systems.
My biggest discretionary success was with shorting stocks, but that glued me to a screen for a whole day and I didn't really enjoy that aspect.

Today, most of my liquid assets are managed by automated mechanical systems with YTD my performance around +75%.
Exceptional volatility helped, but my method is designed for any market.
Basically volatility increases trade count => edge can be extracted more often.

Few randoms things about it:
  1. Account size 100-500k USD / IB is my broker
  2. My edge is statistical + software & execution + account size
  3. I use multiple, non correlated strategies. 5 at the moment, all running at the same time
  4. None of current strategies average down
  5. Trading vehicle is US stocks. All of them, just have to be liquid enough
  6. Different strategies leverage different anomalies, mean reversion, trend following, whatever works
  7. My software does a lot of trades, 935 from Jan till end of Aug this year
  8. Long/short trades split is about ~50/50
  9. Statistical edge on individual trades is pretty small but consistent
  10. All of my positions are "micro" sized. Anywhere from 3-10% of equity
  11. On average, I have ~10-15 positions open, sometimes gets up to ~30
  12. Average hold over all live trades is 2.4 days
  13. To develop strategies I use mostly EOD historical data, most testing done over multiple market cycles from 1990-now, sometimes I go as far as 1950. My data includes all delisted companies
  14. I am not looking at executions during a day, rather check automatically generated reports after-hours to make sure live vs model looks good
  15. On a weekends I look at account value / ~once a month I will do more extensive analysis to see how models are doing
  16. For execution I have created my own software, for backtesting I used to use AmiBroker but for last 2 years, I switched to another platform, developed by my mechanical trader friend called RealTest. It is specifically designed to model multiple strategies running together. Basically a portfolio of strategies

Systematic Account.png


This summer I started posting on ET and already shared quite a bit there. Here is a link

Glad to answer any questions.

Val
 
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Reactions: hefoba and 1nvest

hefoba

Member
93 73
Hi,

Interesting system you have.

When you write fully automated system is it really so. I run a fully automated system on Forex but to be honest, do I read news and "stop" the trading sometimes. So the stop of the trading is not always done by the automated system.

As an example: How will your system handle the USA election?
 

valeryn

Newbie
5 3
Hi,

Interesting system you have.

When you write fully automated system is it really so. I run a fully automated system on Forex but to be honest, do I read news and "stop" the trading sometimes. So the stop of the trading is not always done by the automated system.

As an example: How will your system handle the USA election?

I love the news. They move the markets, they create volatility. The more markets move, the money money I make.

My personal opinion - news avoidance is due to inappropriate positions sizing. Basically if system "works" but during news you get wiped out that means trade size was too large.

Also, I thing to remember about news - they are unpredictable. They can come out any time. There is absolutely no way to completely avoid them so might just incorporate that expectation in your system design.

US Election is no different. My systems will keep trading exactly the same way they do.

Val
 
 
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