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 reach par for live trading.
And compared to NinjaTrader, NeoTicker seems overly complex to accomplish simple tasks in C# programming.
I'm forced to see the reality that Michal states. Do do it right, you have to do it yourself.
It won't really be that much work to make my own platform since it doesn't have to cater to the needs of thousands of users like NinjaTrader--only me, myself, and I.
Sincerely,
Wayne
Daily Market Conditions for Auto Trading
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greaterreturn
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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. Only lost $4.00 since I was trading 1/10th of a mini lot as a test for the first day.
2. Among the trades, it DID have a partial fill, amazingly. It was trading only 1/10th of a mini lot but got a split fill at 500 USD/JPY each. Wow. So it must handle partials. It seems it can just treat them as any other fill and use logic to cancel any unfilled orders after X seconds. That should do it.
3. Hmmm. Resetting the 20 minute breakout channel every 5 minutes would have reduced the losses today. I need to test that soon.
4. The losses today also makes me "covet" the profits it could have made by trading inside the channel. It was a 20 pips wide channel.
Has anybody come up with a good system that trades both channelsand breakout? I've heard rumors. That will be my next quest, I suppose.
- Wayne
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. Only lost $4.00 since I was trading 1/10th of a mini lot as a test for the first day.
2. Among the trades, it DID have a partial fill, amazingly. It was trading only 1/10th of a mini lot but got a split fill at 500 USD/JPY each. Wow. So it must handle partials. It seems it can just treat them as any other fill and use logic to cancel any unfilled orders after X seconds. That should do it.
3. Hmmm. Resetting the 20 minute breakout channel every 5 minutes would have reduced the losses today. I need to test that soon.
4. The losses today also makes me "covet" the profits it could have made by trading inside the channel. It was a 20 pips wide channel.
Has anybody come up with a good system that trades both channelsand breakout? I've heard rumors. That will be my next quest, I suppose.
- Wayne
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eudamonia
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Wayne,
I'm glad you are learning some realities with your software and fills with a small $ risk. Hopefully you can fill in these gaps.
Breakout trading was rough over the past day. Look at the market - it's a range.
This is why most traders never make it Wayne! We have one losing day, week, month and we turn off a profitable system. How can you make a statistically relevant decision based on a handful of trades? You need at least 200 trades to say ANYTHING about your system. You know this from your testing. The real TEST for you is whether you can let your system do it's job. This is where money management and psychology come in even for fully mechanical traders.
At this point we are sorely tempted to go in search for the Holy Grail. If only I added this filter, indicator, gadget etc. then EVERYTHING would be great. Don't be fooled by that logic trap. Eventually adding enough indicators and filters will only ensure a curve fit and hence an unsustainable system.
Good luck.
Edward
I'm glad you are learning some realities with your software and fills with a small $ risk. Hopefully you can fill in these gaps.
Breakout trading was rough over the past day. Look at the market - it's a range.
This is why most traders never make it Wayne! We have one losing day, week, month and we turn off a profitable system. How can you make a statistically relevant decision based on a handful of trades? You need at least 200 trades to say ANYTHING about your system. You know this from your testing. The real TEST for you is whether you can let your system do it's job. This is where money management and psychology come in even for fully mechanical traders.
At this point we are sorely tempted to go in search for the Holy Grail. If only I added this filter, indicator, gadget etc. then EVERYTHING would be great. Don't be fooled by that logic trap. Eventually adding enough indicators and filters will only ensure a curve fit and hence an unsustainable system.
Good luck.
Edward
Eudaimonia (pron.: you-die-moan-e-a) (Greek: εὐδαιμονία) is a classical Greek word commonly translated as 'happiness'. The less subjective "human flourishing" is often preferred as a translation.
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greaterreturn
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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 make this evening is to handle partial fills now that I have a plan.
So, I'll commit to running this strategy without changes for at least 4 weeks. That will be average of 10 trades a day times 20 days or 200 trades.
I'll carefully log and analyze them, make notes, etc. After it racks up 200 trades, THEN I'll consider any tweaking (other than obvious bugs).
This week I'll let it run at 1/10 of a lot but next week, I'll bump it to running a full lot if it at least has a winning day or two this week.
Statistically it has about 60% winning days, interestingly, even though it has only 45% winning trades.
So I'm bound to get a couple winners this week.
Sincerely,
Wayne
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 make this evening is to handle partial fills now that I have a plan.
So, I'll commit to running this strategy without changes for at least 4 weeks. That will be average of 10 trades a day times 20 days or 200 trades.
I'll carefully log and analyze them, make notes, etc. After it racks up 200 trades, THEN I'll consider any tweaking (other than obvious bugs).
This week I'll let it run at 1/10 of a lot but next week, I'll bump it to running a full lot if it at least has a winning day or two this week.
Statistically it has about 60% winning days, interestingly, even though it has only 45% winning trades.
So I'm bound to get a couple winners this week.
Sincerely,
Wayne
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eudamonia
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Wayne,
Glad to hear that you're giving your strategy time to work (aside from the obvious flaws such as partial fills). I think you will learn a lot from these 4 weeks and hopefully make money as well.
Edward
Glad to hear that you're giving your strategy time to work (aside from the obvious flaws such as partial fills). I think you will learn a lot from these 4 weeks and hopefully make money as well.
Edward
Eudaimonia (pron.: you-die-moan-e-a) (Greek: εὐδαιμονία) is a classical Greek word commonly translated as 'happiness'. The less subjective "human flourishing" is often preferred as a translation.
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greaterreturn
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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 custom strategy.
My strategy was counting the ticks as a filter to avoid trading on low activity days like holidays.
It only traded on Monday because I had connected to MBTrading before connecting to eSignal and it somehow saw more ticks.
Anyway, NinjaTrader support says they will correct the issue in the next release in 2 weeks. So I need to figure out another way to filter inactivity days in the meantime.
- Wayne
Basically, it turns out that NinjaTrader has a filter for currencies to remove duplicate ticks before calling the automated code for a custom strategy.
My strategy was counting the ticks as a filter to avoid trading on low activity days like holidays.
It only traded on Monday because I had connected to MBTrading before connecting to eSignal and it somehow saw more ticks.
Anyway, NinjaTrader support says they will correct the issue in the next release in 2 weeks. So I need to figure out another way to filter inactivity days in the meantime.
- Wayne
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eudamonia
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Wayne,
Good luck with the debugging. These are the things that can only be determined live unfortunately.
Edward
Good luck with the debugging. These are the things that can only be determined live unfortunately.
Edward
Eudaimonia (pron.: you-die-moan-e-a) (Greek: εὐδαιμονία) is a classical Greek word commonly translated as 'happiness'. The less subjective "human flourishing" is often preferred as a translation.
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greaterreturn
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Edward and anyone else,
During the time going back and forth with NT and eSignal to get the tick counting issue figured out, I developed another strategy.
It works similar to the previous one but uses support and resistance instead of the channel of high and lows for entry.
The big advantage is that it shorts bounces off resistance and goes long at rallies from support so it has far larger winning trades than the breakout.
That's because breakout strategies buy high and sell higher rather than buy low and sell high like support and resistance.
Also, this strategy has far smaller losses during flat periods when the market is ranging.
Wow. It takes significantly challenging programming to implement automated reversals which must verify that the exit gets filled (rather full or partial fill) before entering the other direction.
It also requires tick precise, millisecond timing, to do it profitably.
I'm setting up a dedicated server to run the strategy. I'll probably run the new one a different currency like USDCHF and let the old one finish the month on USDJPY, per Edwards recommendation. Then we can see who wins!!
Hopefully I'll have the new strategy fully debugged, tested, and "monte carlo'd" by Monday so I can let them out of the gate together on Monday or as soon thereafter as possible.
Hopefully, someone other than myself benefits from these posts.
Sincerely,
Wayne
During the time going back and forth with NT and eSignal to get the tick counting issue figured out, I developed another strategy.
It works similar to the previous one but uses support and resistance instead of the channel of high and lows for entry.
The big advantage is that it shorts bounces off resistance and goes long at rallies from support so it has far larger winning trades than the breakout.
That's because breakout strategies buy high and sell higher rather than buy low and sell high like support and resistance.
Also, this strategy has far smaller losses during flat periods when the market is ranging.
Wow. It takes significantly challenging programming to implement automated reversals which must verify that the exit gets filled (rather full or partial fill) before entering the other direction.
It also requires tick precise, millisecond timing, to do it profitably.
I'm setting up a dedicated server to run the strategy. I'll probably run the new one a different currency like USDCHF and let the old one finish the month on USDJPY, per Edwards recommendation. Then we can see who wins!!
Hopefully I'll have the new strategy fully debugged, tested, and "monte carlo'd" by Monday so I can let them out of the gate together on Monday or as soon thereafter as possible.
Hopefully, someone other than myself benefits from these posts.
Sincerely,
Wayne
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greaterreturn
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You're right...
eudamonia wrote:Wayne,
Good luck with the debugging. These are the things that can only be determined live unfortunately.
Edward
You're so right. As with discretionary trading. I feel I learned 100 times more from one discretionary trade than 100 paper trades.
Back testing, just like paper trading, and even walk forward testing seem to only serve to teach the mechanics of trading whether manual or auto.
It appears that only when really money is at stake do your eyes open wide to inefficiencies or opportunities.
Edward, it felt good on Monday when I mentioned to the family that due to some errors the system lost money because they looked sad until I pointed out it was only $8.00 lost. They laughed.
You're so right about starting out, not only small, but VERY small. It's genius.
Sincerely,
Wayne
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eudamonia
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Wayne,
I'm definitely enjoying hearing your progress. That's a pretty funny story to tell your family. I lost money - $8.00. Geez man you're out 2 gallons of gas or a Carl's Jr. Hamburger. Not anything that puts you at risk. And when things are working perfectly you can always turn up the contracts.
Edward
I'm definitely enjoying hearing your progress. That's a pretty funny story to tell your family. I lost money - $8.00. Geez man you're out 2 gallons of gas or a Carl's Jr. Hamburger. Not anything that puts you at risk. And when things are working perfectly you can always turn up the contracts.
Edward
Eudaimonia (pron.: you-die-moan-e-a) (Greek: εὐδαιμονία) is a classical Greek word commonly translated as 'happiness'. The less subjective "human flourishing" is often preferred as a translation.
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