Search found 64 matches
- Thu Apr 10, 2008 4:48 pm
- Forum: strategy trading & money management
- Topic: Daily Market Conditions for Auto Trading
- Replies: 19
- Views: 12028
- Gender:
Technical issues...
FYI: My system hasn't traded at all in the last couple of days due to a technical problem between eSignal and NinjaTrader that was only figured out this morning. Basically, it turns out that NinjaTrader has a filter for currencies to remove duplicate ticks before calling the automated code for a cus...
- Mon Apr 07, 2008 5:02 pm
- Forum: strategy trading & money management
- Topic: Daily Market Conditions for Auto Trading
- Replies: 19
- Views: 12028
- Gender:
Edward, you are absolutely right. It's possible that I would have started tweaking it right away. Instead, I'm even more excited to run it again tomorrow. Why? As you know, the facts are that small range days never last, they cycle and tomorrow will likely be a big range day. The only change I'll ma...
- Mon Apr 07, 2008 4:13 pm
- Forum: strategy trading & money management
- Topic: Daily Market Conditions for Auto Trading
- Replies: 19
- Views: 12028
- Gender:
The strategy finished the trading day. Lessons: 1. This was a losing day even though the strategy traded correctly. It had a couple of breakout winners but mostly this was a ranging day. So the losers overtook the winners. Still it was very COOL to have this all happening while working the day job. ...
- Mon Apr 07, 2008 2:50 pm
- Forum: strategy trading & money management
- Topic: Daily Market Conditions for Auto Trading
- Replies: 19
- Views: 12028
- Gender:
Well, it's running in production on the live account today. I'm using only a 0.1 lot for safety. There were several issues when starting it up against the account. I fixed them or figured out work arounds. Still, it has become clear that order handling in NinjaTrader 6.5.0.10 still fails to truly re...
- Mon Apr 07, 2008 2:40 pm
- Forum: strategy trading & money management
- Topic: Sell the Ask / Buy the Bid. Does this Work?
- Replies: 6
- Views: 4670
- Gender:
Thanks gooni, I agree with that in general. But I personally deal with far more challenging technical and performance issues in my day job. Writing the code for a trading system is the least difficult part from my perspective. It's finding and testing profitable rules that prove most challenging. In...
- Mon Apr 07, 2008 11:52 am
- Forum: strategy trading & money management
- Topic: Sell the Ask / Buy the Bid. Does this Work?
- Replies: 6
- Views: 4670
- Gender:
Gooni. Thanks for your comment. My idea really only applies to auto trading where the system can change the order in milliseconds. Faster than humans. I'll probably just have to experiment with a live account to see. Back when I traded the e-mini electronically. I always put in an order at the bid (...
- Sun Apr 06, 2008 11:57 pm
- Forum: strategy trading & money management
- Topic: Daily Market Conditions for Auto Trading
- Replies: 19
- Views: 12028
- Gender:
Just finished testing for the evening. Of course, fixed a couple of bugs. And now the strategy is very properly refusing to trade the USDJPY due to its tick volume filter. So I'll get up early and test again before the 8 EST to 12 EST pseudo session starts. It appears from studying charts today that...
- Sun Apr 06, 2008 9:20 pm
- Forum: strategy trading & money management
- Topic: Daily Market Conditions for Auto Trading
- Replies: 19
- Views: 12028
- Gender:
About fills/slippage/commission , I coded the system entirely using limit orders. Discretionary day trading on the emini taught the importance of that years ago. As for fills , the limit is set at 1 pip better than the market. Half this time it fills at the market, the rest of the time it fills a pi...
- Sun Apr 06, 2008 5:21 pm
- Forum: strategy trading & money management
- Topic: Daily Market Conditions for Auto Trading
- Replies: 19
- Views: 12028
- Gender:
To do Monte Carlo analysis, I just wrote custom C# code. I pasted in a array of the trades from 2 backtests on different instruments and coded it to randomize the list and then a method called getTrade() that returns the next trade in the list. When it reaches the end, it re-randomized the list and ...
- Sun Apr 06, 2008 3:10 am
- Forum: strategy trading & money management
- Topic: Daily Market Conditions for Auto Trading
- Replies: 19
- Views: 12028
- Gender:
Edward, WOW! Your advice was spot on, of course. I built and completed the monte carlo run. It turns out that only risking 0.5% (1/2 of 1%) of the account balance on each individual trade looks safe. The test ran 10,000 monte carlo runs where each run randomized 1 year of trading. So with that risk ...