My algo trading daily performance

mechtrader

Well-Known Member
Hi Mech,

Hope you are doing fine. After going live with my positional nifty trading system for past one month, following are the issues am facing. Kindly let me know your inputs to handle these scenarios.

System is SAR based, (Stop and Reverse). So there are no profit targets and fixed stop loss. I trade on 15 mins TF.

Sometimes when am on long position and the following day if gap up occurs in Nifty with 80 to 100 points, I wanted to book profits and wait for my next trade signal or wait for re entry levels. However, I feel if I bring in my discretionary decisions into system it may affect the over all performance. So I just follow the system blindly without any manual intervention. Due to this many times, a profitable MTM in the morning will be changed to negative by EOD.

How do we handle such scenarios?
This will happen always. Remember, you cant capture the highest MTM that you have seen on the screen.
If you have tested your system, then believe in the backtest. Donot mix discretion, unless the discretion is also paper traded for a month.
Deviating from the system will cost u and cause alot of stress.

P.S. The Sar based systems tend to have a bigger DD. I hope you have tested it thoroughly before going live. Also, keep in mind that the parameters that you use are stable enough.

Thanks,
MT
 

Cubt

Algo Trader
Thanks for your inputs, Mech. Yes it has higher drawdown. I have kept aside double the amount of drawdown money. Thats why am trading with 1 lac per lot.
I have included multiple parameters like ema, macd, hull MA, etc tested with 7 years of Nifty data. Worked well, so as u said will continue to follow my system without any interference.
 

Cubt

Algo Trader
Also, am working on an intraday system but stuck with an issue in it. can you pls help with afl on handling a trade when buy and sell conditions are met on same candle??

When buy signal is on, then if the short signal also comes in the same candle then it should square off the buy trade and should not initiate a short.

How do i code this condition in my afl??
 

mechtrader

Well-Known Member
Also, am working on an intraday system but stuck with an issue in it. can you pls help with afl on handling a trade when buy and sell conditions are met on same candle??

When buy signal is on, then if the short signal also comes in the same candle then it should square off the buy trade and should not initiate a short.

How do i code this condition in my afl??
Dear,

I am afraid that i may not be able to help you in this one. I am not that affluent in afl coding. This is the reason I also take a much longer time in coding my strategies.
There are many expert coders here, I am sure they will be able to help.

Thanks,
MT
 

pav

Active Member
Sl depends on strategy to strategy..
In some I use fixed stop loss of 0.5% below the low/ high of the signal candle.
In some I use volatility based stop loss.

Thanks,
MT

thanks dear mechtrader,
sir,approximate how many scrip do you trade daily ? and sir do you trade only intraday or some time positional ?

Regards
pav
 
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Cubt

Algo Trader
Mech,
When your afl triggers buy/short order, do you place stop loss order along with it through presto jobex??

Or sell/cover order will be placed only when the afl triggers it?
 

mechtrader

Well-Known Member
Mech,
When your afl triggers buy/short order, do you place stop loss order along with it through presto jobex??

Or sell/cover order will be placed only when the afl triggers it?
Exit orders are placed when afl triggers it.
Earlier I used to place sl limit orders along with entry with jobex. But this method caught a lot of false ticks and got squared off with a big loss ( on 3 occasions). Hence i left this method.

Thanks,
MT
 

Cubt

Algo Trader
Thanks Mech.

Currently with my positional system, I do not place any Stop loss order along with buy/short order. Only when my afl triggers the sell/cover order, it gets placed in presto.
But there are few occasions where the orders was taken by amifuse however it was not executed in presto. Because of that i had to pass on orders manually which resulted in unwanted slippage which impacted my profits.

When asked about it, Symphony DB and development team are still working on it to find the root cause.

so the intraday system that I wanted to trade involves trading with 15 to 20 stocks per day, if the same issue happens again where the orders not getting passed then I cannot place manual orders for all 15 to 20 stocks and it will have a huge impact.

Thats why thought placing Stop loss order would help.

have you faced any order execution issue? your inputs would be really helpful
 

Cubt

Algo Trader
Also what is the intraday margin you have been given? Is it 10 times of ur total capital in trading account?

Or 40% of Nrml plus span margin??