Fully Automated Stocks Trading

valeryn

Junior member
23 12
End of year update. All PL is after expenses.

1609945297482.png


1609945304034.png

1609945311686.png

Val
 

BigChazza

Newbie
8 0
Hi Val. Very interesting. I first saw your thread over on ET a few weeks ago when I was looking around for people who had walked this road, but I have drifted more to T2W recently (seems more of a UK engagement which is where I am) and I'm rediscovering your stuff. I am in no ways as advanced as you but I have developed my own thing using a java based data manipulation tool called Talend. My background is data, and my premise is that I can just create data pielines which route to outcomes, and that's automated trading right there. It is 100% parameterised, so I can set up backtests where strategies are combinations of those parameters over a timescale and let them run. Live execution wise all I have yet is an overnight email telling me what signals I got and how to trade them (been using demo account up to now, just moved to real). Behind that is a routine that sees what day of the week it is and what it needs to run, refreshes EOD and company data accordingly and then runs whatever strategies are scheduled. Future steps are:

1. Put a front end on this so I can interact with the system instead of just getting an email!
2. Full automation of trading.
3. Learning a lot more about trading!

Your advice above reminds me of the importance of 3 before I can think about 2. Like you I am from a tech background so I can see how achievable all that side is, but it would be a thin and rather sad system if it wasn't giving me returns. So thanks!

Did you ever get to record that webinar? Wish I had seen it.
 

valeryn

Junior member
23 12
Hi Val. Very interesting. I first saw your thread over on ET a few weeks ago when I was looking around for people who had walked this road, but I have drifted more to T2W recently (seems more of a UK engagement which is where I am) and I'm rediscovering your stuff. I am in no ways as advanced as you but I have developed my own thing using a java based data manipulation tool called Talend. My background is data, and my premise is that I can just create data pielines which route to outcomes, and that's automated trading right there. It is 100% parameterised, so I can set up backtests where strategies are combinations of those parameters over a timescale and let them run. Live execution wise all I have yet is an overnight email telling me what signals I got and how to trade them (been using demo account up to now, just moved to real). Behind that is a routine that sees what day of the week it is and what it needs to run, refreshes EOD and company data accordingly and then runs whatever strategies are scheduled. Future steps are:

1. Put a front end on this so I can interact with the system instead of just getting an email!
2. Full automation of trading.
3. Learning a lot more about trading!

Your advice above reminds me of the importance of 3 before I can think about 2. Like you I am from a tech background so I can see how achievable all that side is, but it would be a thin and rather sad system if it wasn't giving me returns. So thanks!

Did you ever get to record that webinar? Wish I had seen it.

Re t2w - I'm not sure why, but I get perception there is more activity on ET. Well I'm in PST so might be more of a North American thing. Either way - my journal there is 30+ pages and the reason I started was exactly to help other hard working folks to get a sense that it is possible, give some hints on what matters, have info re one trading method layout in a consistent way etc. I'll keep replying here if anyone has any questions, but not likely to publish much new stuff as it's double effort.

Re recording - someone else did. I've got a recording but somewhat hesitant to send it around. I'll probably do another presentation in a month or so if more people want it. In a slightly different format.

Feel free to PM me, I'll put you a list.

What you are doing with ETL sounds pretty smart. Taking advantage of what you already now is a good ROI. No need to learn new stuff from 0 if what you know works just fine.

Re your plan
1. I recommend to check Slack and consider writing your Slack bot. It is way less time than writing your UI and works great for remote control + you can dump all your reports and key events there
2. Sounds like the next step here would be generating orders automatically. Which is not that hard to do if broker offers API
3. That should be #1. Automation WILL distract you. Trading system is what makes money. It's not as fun as playing with tech (at least for us, tech guys), but nothing makes sense unless you have a system that shows promise. When I wrote my first automation it was really simple order generation just to avoid typo mistakes in prices / shares I want to buy. I didn't put anything more advanced until I had ~50-100 first trades and some confidence that what I see live matches my backtesting expectations.

The only two things you case about as systematic trader -
a. Are you models staying within their historical parameters or stopped working
b. Are you live executions matching your models

Once you have sufficient proof - go nuts and automate more so it doesn't take too much time to execute / monitor.

Val
 
Last edited:
  • Like
Reactions: BigChazza

BigChazza

Newbie
8 0
Re t2w - I'm not sure why, but I get perception there is more activity on ET. Well I'm in PST so might be more of a North American thing. Either way - my journal there is 30+ pages and the reason I started was exactly to help other hard working folks to get a sense that it is possible, give some hints on what matters, have info re one trading method layout in a consistent way etc. I'll keep replying here if anyone has any questions, but not likely to publish much new stuff as it's double effort.

Re recording - someone else did. I've got a recording but somewhat hesitant to send it around. I'll probably do another presentation in a month or so if more people want it. In a slightly different format.

Feel free to PM me, I'll put you a list.

What you are doing with ETL sounds pretty smart. Taking advantage of what you already now is a good ROI. No need to learn new stuff from 0 if what you know works just fine.

Re your plan
1. I recommend to check Slack and consider writing your Slack bot. It is way less time than writing your UI and works great for remote control + you can dump all your reports and key events there
2. Sounds like the next step here would be generating orders automatically. Which is not that hard to do if broker offers API
3. That should be #1. Automation WILL distract you. Trading system is what makes money. It's not as fun as playing with tech (at least for us, tech guys), but nothing makes sense unless you have a system that shows promise. When I wrote my first automation it was really simple order generation just to avoid typo mistakes in prices / shares I want to buy. I didn't put anything more advanced until I had ~50-100 first trades and some confidence that what I see live matches my backtesting expectations.

The only two things you case about as systematic trader -
a. Are you models staying within their historical parameters or stopped working
b. Are you live executions matching your models

Once you have sufficient proof - go nuts and automate more so it doesn't take too much time to execute / monitor.

Val
Hi Val. Thanks for your thoughts. I like the Slack bot idea but I fear what I can do there is limited as all my stuff is running locally at present. I plan to push it up to AWS when I need too but until then it is a mysql db and some java running off Task Scheduler. Bit 90s but I don't want to waste AWS spend until it's worth it. I know they have the free tier but I always get caught out and end up with a bill!
 

BigChazza

Newbie
8 0
Hi again Val. Above you recommend a mean reversion book by Howard Bandy. I have heard other good words about him so I am up to have a look at his stuff. But can you clarify which book you recommend? One is Mean Reversion Trading Systems. But a couple of the Amazon reviews say it is a bit light, and refers to detail in one or more of his other books.
 

valeryn

Junior member
23 12
Hi again Val. Above you recommend a mean reversion book by Howard Bandy. I have heard other good words about him so I am up to have a look at his stuff. But can you clarify which book you recommend? One is Mean Reversion Trading Systems. But a couple of the Amazon reviews say it is a bit light, and refers to detail in one or more of his other books.
Mean Reversion Trading Systems: Practical Methods for Swing Trading. I have 3 of his books and liked this one the most.

Val
 

BigChazza

Newbie
8 0
Mean Reversion Trading Systems: Practical Methods for Swing Trading. I have 3 of his books and liked this one the most.

Val
Thanks. Yeah that must the same one - I forgot the subtitle! Doesn't appear to be on kindle which is a shame, but I'll get it.
 

valeryn

Junior member
23 12
Thanks. Yeah that must the same one - I forgot the subtitle! Doesn't appear to be on kindle which is a shame, but I'll get it.
Here is another good one and it's available on kindle - Automated Stock Trading Systems: A Systematic Approach for Traders to Make Money in Bull, Bear and Sideways Markets
 

1nvest

Well-known member
309 109
Re t2w - I'm not sure why, but I get perception there is more activity on ET. Well I'm in PST so might be more of a North American thing. Either way - my journal there is 30+ pages and the reason I started was exactly to help other hard working folks to get a sense that it is possible, give some hints on what matters, have info re one trading method layout in a consistent way etc. I'll keep replying here if anyone has any questions, but not likely to publish much new stuff as it's double effort.
One of the problems might be, that you haven't really spoken about your strategy or what you're doing etc
I'm interested to know what you're doing, don't necessarily care about the specifics of your strategy(ies) but whether or not it complements anything i might be doing. However i haven't seen anything that enables me to identify with you
so far 2 or 3 posts
1 says you will talk more about what your doing..
a couple of posts about the election
a couple of posts answering specific questions
nothing more about you Valeryn
not meant to be criticism, just an observation. how does one get to relate to you without going to another forum
 

valeryn

Junior member
23 12
One of the problems might be, that you haven't really spoken about your strategy or what you're doing etc
I'm interested to know what you're doing, don't necessarily care about the specifics of your strategy(ies) but whether or not it complements anything i might be doing. However i haven't seen anything that enables me to identify with you
so far 2 or 3 posts
1 says you will talk more about what your doing..
a couple of posts about the election
a couple of posts answering specific questions
nothing more about you Valeryn
not meant to be criticism, just an observation. how does one get to relate to you without going to another forum
I didn't mean my thread here. Just my general perception. Perhaps it's the way ET shows new posts, easier to see relevant activity? Here I looked at automated trading and journals and most seemed either abandoned, about a very beginning of someone's journey or fibo talking to himself :)

Otherwise you have a valid point.

It just so happened that I started on ET and it doesn't make much sense for me to actively maintain two journals. The amount of material I've posted on ET is a size of a book.

In regards to whenever something I do compliments what you're doing - I can't help you with that. You will need to do the work to find out. There is a large quantity of material I already wrote, so I did my part. You can start with what I wrote here in my first post, it is enough to identify if that relates to you or not, consequently - to dig deeper or not and same with asking questions.

The essence of my trading is around multiple non-correlated strategies for stocks. I typically run 4-7 of them. All are developed and backtested using 70 years of EOD data. Number of trades executed per year is around 2k. Individual positions are very small, normally <5% of equity. There are long and short strategies. Typical hold is <5d.

Val
 
Last edited:
 
AdBlock Detected

We get it, advertisements are annoying!

But it's thanks to our sponsors that access to Trade2Win remains free for all. By viewing our ads you help us pay our bills, so please support the site and disable your AdBlocker.

I've Disabled AdBlock