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March 15, 2016 at 1:27 am #101440ScottMcNabMember
System passed stress tests so time to move on to paper trading…using a weekly system with a momentum type entry that exits within a week or two.
Next step is to research, install and configure the software needed to paper trade…ie TWS (offline v online), API (IB DDE ?). Currently working through PDF’s on TWS and API from IB.Aim is to have this up and running by the weekend so can place orders for Monday’s open.
March 15, 2016 at 2:05 am #103017TrentRothallParticipantHi Scott
I am trying to workout IB DDE too at the moment just started working through it
March 15, 2016 at 6:24 am #103334AnonymousInactiveI had a few issues with the IB DDE excel sheet throwing up errors when attempting to send orders. Deleting the values of “DAY” from “Time in Force” column seems to have solved the problem for me. Trades still default to Time in force = DAY within TWS. Not sure if this is a common problem.
Note: I was pasting in values output from amibroker using the code posted in Exploration for Interactive Brokers DDE
March 15, 2016 at 7:31 am #103018Nick RadgeKeymasterJust be aware that IB can make changes to that DDE without notice. They did one early last year and it took me a week to realise they’d added an extra column in!
March 15, 2016 at 9:28 am #103019ScottMcNabMemberHmm…only early days reading about this but on that basis 400-500 dollars for a custom API is probably a good investment
March 15, 2016 at 9:40 pm #103020Nick RadgeKeymasterArrange a call to discuss if you like.
March 16, 2016 at 7:05 am #103337ScottMcNabMemberWill do
March 19, 2016 at 7:32 am #103021ScottMcNabMemberSpent the week trying to formulate a trend following system to sit along side the weekly momentum system I have…no success yet.
I listened to Nick’s interview on the podcast “Chat with Traders” on the way to work yesterday and realized that when I was stress testing my weekly momentum system over the last few weeks that I was doing it with the hope that it would survive..I had invested time in the system and it was the only one I had developed that worked so the last thing I wanted was for it to fail. I appreciate now that for me to have complete confidence in the system through the draw-downs when the system is out of sync with the market I need to have no doubts regarding its robustness. I will start paper trading in on the open on Monday. Sunday will be spent trying to break the system.
March 20, 2016 at 7:28 am #103022ScottMcNabMemberWeekly system remained within the limit I had set at the start of the course (maxDD of 25%) with the additional stress testing…combining variance in both the open and close prices in the same test increased range of returns for both CAR and maxDD as the system has exits that use both close and open prices and the system enters on open…so while increase in range of returns was to be expected it was reassuring that the maxDD did not blow out too much
Time will tell whether I am actually able to remain calm and trade in a 25% DD.
Time to start paper trading weekly system…positionscore has ranked possible stocks and will “buy” top 25 on open on Monday 21st
Ideally I would have a system with lower maxDD to work along the weekly one …suspect daily system would have potential for limiting DD…the weekly system buys strength so I think will concentrate more on a mean reversion system that buys weakness
March 20, 2016 at 3:05 pm #103356SaidBitarMemberSMcNab wrote:Time will tell whether I am actually able to remain calm and trade in a 25% DD.Based on what happened to me as long as you understand why the DD is happening/happened you will find it easy to handle.
March 21, 2016 at 10:23 pm #103023ScottMcNabMemberThanks Said..I think I will go through the rolling returns in more detail and scrutinize market conditions in periods of drawdowns to get a better feel for why they are happening. Its interesting that the end of 2015 and early 2016 were two very bad months for this strategy….if I had just started trading it back then I would have been suspicious that I had made some error in coding.
March 27, 2016 at 10:09 am #103024ScottMcNabMemberPaper trading account with IB activated (yep…managed to mix that up somehow)
25 trades entered for buy on open….will continue to do entries and exits manually for next week or two as learn basics of TWS software and then look to add apiApril 5, 2016 at 9:36 am #103025ScottMcNabMemberBeen working on daily system to work alongside weekly system that am paper trading….have some results (thank you for help again Craig) ….I admit that it sails pretty close to the wind…results are based on commission for IB (0.005 per share)…rapidly becomes non-profitable with higher commissions…is a HFT daily system on Russell 1000 hist database….not tried inserting jpg before so my guess is will be issues…apologies in advance
April 5, 2016 at 9:36 am #103026ScottMcNabMemberHuh….miracles do happen
April 5, 2016 at 10:26 am #103518TrentRothallParticipantHi Scott
I don’t know what exit mechanism you are using, but it mght be worth trying a close above a MA. It might help make the winners a bit larger, but might make DD a bit deeper. Said had a good table with results from different exits which shows the trade off from each
Trent
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