My algo trading daily performance

[DSM]

Thanks Mechtrader,

Appreciate your response. A few follow up questions come to mind.

1. Trade is basis 10M Charts, so assume 1st trade would be signalled post 9:25 AM is that right? Or would more Candlesticks/time be required to establish/trigger a trade?

2. Any trades carried over next day or all trades closed?

3. Trades are in F&O or stocks?

4. Can you throw more light on SL? Is it % of Capital or Fixed Sum or % of position taken?

5. Would you have (rough) statistics on Winner Vs. Losers and Avg. Wins Vs. Avg. Loss, Avg. of top 5 Win and Avg. of top 5 Loss?

Thanks for your time, and as usual.

1. I have a watchlist of 30 stocks and three strategies across them.
2. There is no limit of open positons as such. However in the backtest it shows max open positions to be 40. Average is 12-13 per day.
3. I do max one trade in one stock per strategy. NO other limits as such.
4. There is no scan basis. Whichever stock fulfills a set of criteria gets traded.
5. I trade 10min tf.
6. I always trade in the direction of longer term trend. Entry is based on some candlestick patterns on the shorter tf. I try to keep my entries when the action is less and anticipate the action with a small stop loss.
I use fixed percent stop loss.
Exit criteria is very simple (whnevr buy condition gets satisfied again the trail stop is moved.)
7. No I dont do any manual intervention once in a trade. I feel that i am not good at managing positions, so i let the machine do its work.

Its never about hiding anything, I am open to answer as many questions as people have.:thumb:


Thanks,
MT

 

[Cubt]

Hi MT,

Long time..no see.. we both started experimenting the automated system at the same time. Me with positional and you with intraday, your articles that you shared have provided great insights man. Thanks. You're results are exceptionally well, keep up the good work. your updates are big boost for mechanical trader like me.

If you follow/read any research papers, please share it. Kindly share any articles/papers related to designing exit parameters for a trading system. Am still working on my exit parameters, though system generated good returns all these months, there are certain trades that could be avoided or booked profit, if i had designed my exits well.

so any inputs from your side on EXIT criteria would be useful.

 

[TradeOptions]

Hi MT,

Long time..no see.. we both started experimenting the automated system at the same time. Me with positional and you with intraday, your articles that you shared have provided great insights man. Thanks. You're results are exceptionally well, keep up the good work. your updates are big boost for mechanical trader like me.

If you follow/read any research papers, please share it. Kindly share any articles/papers related to designing exit parameters for a trading system. Am still working on my exit parameters, though system generated good returns all these months, there are certain trades that could be avoided or booked profit, if i had designed my exits well.

so any inputs from your side on EXIT criteria would be useful.

Ya, indeed this is a great motivation for many traderji members like me, to see guys like Mechtrader and Cubt, successfully sailing in the Autotrading World. Keep it up guys. :thumb:

With my best wishes.

 

[mechtrader]

Thanks Mechtrader,

Appreciate your response. A few follow up questions come to mind.

1. Trade is basis 10M Charts, so assume 1st trade would be signalled post 9:25 AM is that right? Or would more Candlesticks/time be required to establish/trigger a trade?

2. Any trades carried over next day or all trades closed?

3. Trades are in F&O or stocks?

4. Can you throw more light on SL? Is it % of Capital or Fixed Sum or % of position taken?

5. Would you have (rough) statistics on Winner Vs. Losers and Avg. Wins Vs. Avg. Loss, Avg. of top 5 Win and Avg. of top 5 Loss?

Thanks for your time, and as usual.

1. Yes the first trade starts after 9:25.
2. all trades are strictly intraday.
3. Yes, all in stocks futures.
4. I have tried various things for stop losses, atr based, some ma, but i found that nothing works better than a fixed percent stop loss. I use 1-2% as the stop loss depending on the volatility in the market. It is % of position taken.
5. I have designed all strategies as trend riders. I dont use any profit targets. So, the win percentage is low. I have around 40% winners.

These are stats for one of the strategies.

The stocks list is:

Thanks,
MT

 

[mechtrader]

Hi MT,

Long time..no see.. we both started experimenting the automated system at the same time. Me with positional and you with intraday, your articles that you shared have provided great insights man. Thanks. You're results are exceptionally well, keep up the good work. your updates are big boost for mechanical trader like me.

If you follow/read any research papers, please share it. Kindly share any articles/papers related to designing exit parameters for a trading system. Am still working on my exit parameters, though system generated good returns all these months, there are certain trades that could be avoided or booked profit, if i had designed my exits well.

so any inputs from your side on EXIT criteria would be useful.

Cubt,
Thanks for the encouragement.
Earlier I used to follow a lot of blogs to find some good articles. Now I use just one service. Pls subscribe to quantocracy feed and they will give you all the articles from all the blogs. Its really awesome.

About exit parameters: This one is always complex if we come to think of it. What I have realized is that we cant ever have a perfect exit criteria. I would suggest that please go through your backtest reports with your current exit criteria, if the metrics are justifiable then there should be no change. We cant get the best of every trade, dont worry about it.

Thanks,
MT

 

[Blackhole]

@mechtrader @cubt!

thanks for update on your trading journey(intraday,swing mechanical).

iTS always good to find class traders performing nearby. It firms the belief in system trading when not in a good phase.
Its a good motivation.
Keep up the good work.

one quick query!

what to belive more on or which results fools us more

backtesting
walk forward
monte carlo (based on dd or ruin)


test with past 1 year data sample,10 years sample , 2 years incubation data sample (covering bullish,bearish,range bound market)

when one strategy gives same results in all of the above but with different data sets result differs or goes south.



Hope i was able to in correct manner.
Thanks
happy trading

 

[DSM]

Thanks Mechtrader,

Appreciate your response. Be blessed abundantly more for sharing!!!

1. Yes the first trade starts after 9:25.
2. all trades are strictly intraday.
3. Yes, all in stocks futures.
4. I have tried various things for stop losses, atr based, some ma, but i found that nothing works better than a fixed percent stop loss. I use 1-2% as the stop loss depending on the volatility in the market. It is % of position taken.
5. I have designed all strategies as trend riders. I dont use any profit targets. So, the win percentage is low. I have around 40% winners.

These are stats for one of the strategies.
]

The stocks list is:


Thanks,
MT

 

[kainiteh]

Keep going...

 

[NJ23]

mechtrader,
Would you mind sharing your asset allocation strategy? Also, how much of your capital is exposed to the markets on an average?

 

[mechtrader]

Hi nj23,

It really depends on the trading day. Sometimes there are 2-3 trades, Sometimes there are 20-22. On an average is 12-13 each day. The maximum being 43 in the backtest.

Thanks
MT