let's be honest: who is making money trading "mechanically"?

[wackypete2]

Remember, you make half a million - you are VERY happy. A 100 million fund makes half a million, they - suck.

I remember when I would high-five myself for 10 minutes every time I made a dollar. Those were the good 'ole days. With inflation it takes at least $5 to get me excited anymore :cheesy:

Over the years i have developed my own ea's and scripts to assist me, identify possible set-ups, etc. I have a mental block though when it somes to letting a computer completely take over my trading account. Maybe I'm just old fashioned!

Peter

 

[littlemog]

haha, i don't think we can all be too old-fashioned. letting some circuits and electricity take over totally is just wack... i still want to be involved no matter what. can you imagine if we had automated sex?

I remember when I would high-five myself for 10 minutes every time I made a dollar. Those were the good 'ole days. With inflation it takes at least $5 to get me excited anymore :cheesy:

Over the years i have developed my own ea's and scripts to assist me, identify possible set-ups, etc. I have a mental block though when it somes to letting a computer completely take over my trading account. Maybe I'm just old fashioned!

Peter

 

[fantastic]

haha, i don't think we can all be too old-fashioned. letting some circuits and electricity take over totally is just wack... i still want to be involved no matter what. can you imagine if we had automated sex?

You might be laughing, but have you actually visited some shops and seen the monstrous automatic "tools" for sale?

 

[littlemog]

erm, well I have one time... was bored in town waiting for a friend. I really can't imagine how anyone used those things but I now recall the power of supply and demand, now you mentioned it...

maybe we should rack our brains on how to make mechanical sex rather than trading... i suspect the market isn't as overbought yet.

You might be laughing, but have you actually visited some shops and seen the monstrous automatic "tools" for sale?

 

[wackypete2]

maybe we should rack our brains on how to make mechanical sex rather than trading... i suspect the market isn't as overbought yet.

So, your indicator is trending up? This thread has really deteriorated!

Peter

 

[JL1929]

Asking the % gains of a mechanical system is pointless, but does anyone have a mechanical system with a high success rate? 60% and up?

 

[amnonco]

Asking the % gains of a mechanical system is pointless, but does anyone have a mechanical system with a high success rate? 60% and up?

this is pointless as well, to me at least...
I look for expected ROI and max drawdown.

btw, it's not that hard to think of a system with >60% hit rate.
the problem is you ususally "pay" for that with larger losses on the losing trades.

 

[Hoggums]

Asking the % gains of a mechanical system is pointless, but does anyone have a mechanical system with a high success rate? 60% and up?

What's the point of that if the small number of losers wipes out your account?

 

[JL1929]

I'll re-phrase, I understand a high success rate doesn't mean a positive overall expectancy, how I wondered what the limits were when creating a mechanical system in terms of hit rate >60 and an R2R of of more than >1.5.

 

[bevok]

I haven't ventured down the automated route (no point as I trade EOD) but I've found mechanical approaches very successful. Something to bear in mind is that there will always be discretionary traders that make much more. On the other hand, those individuals are few and far between, and its harder to isolate the effect of luck. Additionally the likelyhood of errors, the ill effects of psychology and loss of discipline mean that often that success doesn't seem longterm (based on anecdotal evidence). On the other hand I know good robust mechanical systems that keep plugging away for years. It is harder on the short timeframes as you tend to be exploiting more specific behaviours rather than innate conditions in the market like the presence of trends. There seems to be a ratio of high returns:short lifespan for day and swing systems. That said, some good ORB systems designed in the 90s still work on the S&P, although they definately have their down years!

 

[Adamus]

ORB? What's that?

 

[bevok]

Opening Range Breakout

 

[jshore]

Automated trading systems need not be in competition with the big guns. Stay away from high frequency (timescales in seconds or less) and you should not be at much of a disadvantage. With a long enough holding period, the costs of execution slippage and transaction costs should not be important.

The big benefit I find with automated trading is:

- algos have a discipline level of 100%
- algos can be much more sophisticated in terms of model
- easier to do multi-asset or basket-type transactions
- don't get fatigued with the hundreds of transactions

Disadvantages are:

- lack of human judgement around entries and exits

Algo's need not be confined to intraday, daily strategies can benefit as well.

As for myself, would not be able to trade without algos. My models are computationally intensive and multi-asset. Too many trades and assets to track. The analysis would also be painful without automation.

--
Jonathan Shore
http://tr8dr.wordpress.com/

 

[lbranjord]

Asking the % gains of a mechanical system is pointless, but does anyone have a mechanical system with a high success rate? 60% and up?

I have one with 60% over 1100 trades. It's made for EUR/USD only. 15mn, 5mn, 1mn. Those results are all the tick data I have, otherwise I'd go test more. Took a little tweaking, but it showed promise right away so I knew not to toss it in the recycle bin.

 

[Adamus]

Sounds good. If you don't mind, how about divulging the number of trades per day, the average trade in $, average win, average loss, max drawdown?

 

[lbranjord]

Why you gotta ask those questions... lol

It's like every EA, floating somewhere between Holy Grail & Holy Fail. But I'll post when I get home. I can't remember the exact numbers.

EDIT: That was a little too pessimistic. Let's just call it, a realistic trading system. The equity curve does not look like a yardstick leaning against the wall. It looks more like an worm after a rainstorm, consistently wriggling in the right direction, but getting a little lost from time to time.

Works almost done WOOP!

 

[lbranjord]

Here are the stats you asked for. Now, obviously there is a drawdown problem. Obviously there are other problems, but all in all I must say, this EA can probably trade as well as I can. I think my 'human' trading is smoother, but I also end up with less profits. For about a week of effort, I'm very happy with where I am.

 

[Adamus]

Yes, I'd be happy with stats like that for one system. I'd like to trade it with some other systems that hopefully have uncorrelated returns. By the way, how long is 1.1 million ticks in days/months? Interesting choice of time unit. By your software presumably.

 

[lbranjord]

Here this is a little better. Filtering takes place on bars that are of a larger time frame. Now the drawdown is a little more tolerable. It's a smaller sample size of trades though and that worries me. I like to see 1000 or more.

Oh well, looks good, and a little safer for now...

all of 2010 so far on the 15mn chart


This, for me at least, proves the chain of command:

Master Traders > EA's
EA's > Average Traders (me)

I can't prove that they are profitable live because I haven't done it yet. Probably will in a couple weeks though. So then I'll be honest and tell everyone how it goes...

 

[lbranjord]

This is without any form of compounding I might add...

I could add in the logic for compounding, but I only plan to open a small account for this in case it goes renegade. It's hard to address compounding on a 5k! Also, with 30% drawdown on static 0.1 lots, I don't want to tempt fate.