Automated BuyZone

trading strategies and money management discussion, code, results

Moderator: moderators

Ken_S
rank: 50+ posts
rank: 50+ posts
Posts: 60
Joined: Tue Jun 19, 2007 2:43 am
Reputation: 0
Location: Rivervale, NJ
Gender: Male

Postby Ken_S » Sat Dec 08, 2007 1:20 am

540 shares, +$72.50 today.

BP,
I trade with a prop. firm, not retail. Although I look at the charts through TS.
rrobin,
I only trade in the direction of the previous daily close. Only one trade per day per symbol right now. I intend to test how it would perform if I took every trade throughout the day.
Not sure what you mean by the cow should move .50. What if it doesn't, when do you exit?

Please add www.kreslik.com to your ad blocker white list.
Thank you for your support.

User avatar
TheRumpledOne
rank: 10000+ posts
rank: 10000+ posts
Posts: 11440
Joined: Sun May 14, 2006 9:31 pm
Reputation: 45
Location: Oregon
Real name: Avery T. Horton, Jr.
Gender: None specified
Contact:

Postby TheRumpledOne » Sat Dec 08, 2007 5:02 pm

Ken:

Don't try to program the computer to trade like a human.

Take advantage of the computer's speed and management capabilities.

What if you trade 100 shares of AAPL and 100 shares of RIMM and wait until you are up $100 and then exit both positions? That's what the AUTO AVERY PORTFOLIO MANAGER does!
IT'S NOT WHAT YOU TRADE, IT'S HOW YOU TRADE IT!

Please do NOT PM me with trading or coding questions, post them in a thread.

Ken_S
rank: 50+ posts
rank: 50+ posts
Posts: 60
Joined: Tue Jun 19, 2007 2:43 am
Reputation: 0
Location: Rivervale, NJ
Gender: Male

Postby Ken_S » Tue Dec 11, 2007 2:35 am

740 shares, -$216.
Closed my last position out manually for a small loss because I had to go to the dentist. THought about the hammering I took on AAPL last week when it didn't hit the target in the first 30 minutes. The box would have waited and made a profit. But then the box had already created a limit order to close it which I didn't cancel...got filled of course when I was out and lost $280....erghhhh!!!!

Good news..no cavities.

Avery,
Thanks for the input. I'll attach what I see would happen if I do as you suggest...after I figure out how to post an image.

Ken_S
rank: 50+ posts
rank: 50+ posts
Posts: 60
Joined: Tue Jun 19, 2007 2:43 am
Reputation: 0
Location: Rivervale, NJ
Gender: Male

Postby Ken_S » Tue Dec 11, 2007 3:06 am

Someone sent me this PM. I'd rather keep questions public so I don't answer the same questions over and over and share info in the spirit of this great site.
"If I look at the ticks data file, I see hundreds of different rows, like 4-5000 for minute for AAPL
I think that in a real time automatic system you can't receive or elaborate so many data per second, so I have the doubt that results of my back test can be totally different from the behaviour of an automatd system when working in real time.
How did you backtested your strategy? You tested it on every tick data or you grouped more ticks in one bar?
And are the result of your trading compatible with results of your back test?
And the result of your back test with eSignal data is similar to the result with TradeStation data?
I am testing the system on AAPL, whith entry level when price go +/- 0.10 from the open price, with targhet at 0.15 and stop loss at 0.12.
Are you using something similar or totally different? "

First, I backtest using 1 tick bar data, so yes, a whole lot of data points. I use TS for this. I enter with market orders, so yes some slippage, but exit with limit.
I would say aside from human error, with only 2 weeks of realtime results, the trading results are compatible. Backtesting gives you a good idea if a symbol will work with set of entry and exit points. I use a little more conservative numbers than what my backtest results say are optimal for the past 3 months. If .15 is an optimal profit target, I may go with .13.
I'm not willing to pay $100/month extra for esignal data to backtest with it, so for now I use TS data.
I was just optimizing for a bunch of symbols, but just realized I made an error. I wanted to close all the trades by 10:30 EST, but realized using a trading period of 9:30-10:30 est made the strategy look at the close at 10:30 for the following day's gap comparison.
Your entry and target prices are reasonable, but I think your stop loss will get you stopped out way too many times.
I need to redo my strategy and then rebacktest now. I can share some results after completed.
Ken

Ken_S
rank: 50+ posts
rank: 50+ posts
Posts: 60
Joined: Tue Jun 19, 2007 2:43 am
Reputation: 0
Location: Rivervale, NJ
Gender: Male

Postby Ken_S » Wed Dec 12, 2007 2:01 am

380 shares, +$53
Avery,
Bellow are the equity curves if you faded the gap waiting for a $.10 retracement on AAPL and RIMM and held out for a $.50 profit, closing at end of the day target not met.
Attachments
aapl.10.50.3mth.png
Maybe I could trade this, but am optimizing to find a smoother curve.
aapl.10.50.3mth.png (12.19 KiB) Viewed 361 times
rimm.10.50.3mth.png
I couldn't trade this. Optimization didn't look to good either, so Rimm is now off the trade list.
rimm.10.50.3mth.png (11.21 KiB) Viewed 361 times

Please add www.kreslik.com to your ad blocker white list.
Thank you for your support.

Ken_S
rank: 50+ posts
rank: 50+ posts
Posts: 60
Joined: Tue Jun 19, 2007 2:43 am
Reputation: 0
Location: Rivervale, NJ
Gender: Male

Postby Ken_S » Wed Dec 12, 2007 7:09 pm

590, -$37
would have been profitable if I stuck to my profit targets on AAPL.

User avatar
TheRumpledOne
rank: 10000+ posts
rank: 10000+ posts
Posts: 11440
Joined: Sun May 14, 2006 9:31 pm
Reputation: 45
Location: Oregon
Real name: Avery T. Horton, Jr.
Gender: None specified
Contact:

Postby TheRumpledOne » Thu Dec 13, 2007 1:00 am

I don't shoot for $.50 in automated strategies... more like$.10
IT'S NOT WHAT YOU TRADE, IT'S HOW YOU TRADE IT!



Please do NOT PM me with trading or coding questions, post them in a thread.

BP
rank: 50+ posts
rank: 50+ posts
Posts: 99
Joined: Tue Feb 06, 2007 12:58 pm
Reputation: 0
Location: Camp Hill, PA
Gender: Male

Postby BP » Thu Dec 13, 2007 3:48 pm

Ken...thanks for the posts. Appreciate the info.

BP

Ken_S
rank: 50+ posts
rank: 50+ posts
Posts: 60
Joined: Tue Jun 19, 2007 2:43 am
Reputation: 0
Location: Rivervale, NJ
Gender: Male

Postby Ken_S » Thu Dec 13, 2007 9:13 pm

$94, 460 shares
Trading AAPL, Goog, and Rimm

User avatar
TheRumpledOne
rank: 10000+ posts
rank: 10000+ posts
Posts: 11440
Joined: Sun May 14, 2006 9:31 pm
Reputation: 45
Location: Oregon
Real name: Avery T. Horton, Jr.
Gender: None specified
Contact:

Postby TheRumpledOne » Thu Dec 13, 2007 10:56 pm

Ken: I would trade GOOG with an automated program...

GOOG is a MONSTER!
IT'S NOT WHAT YOU TRADE, IT'S HOW YOU TRADE IT!



Please do NOT PM me with trading or coding questions, post them in a thread.

Please add www.kreslik.com to your ad blocker white list.
Thank you for your support.


Return to “strategy trading & money management”