My algo trading daily performance

[mechtrader]

Guys there is some misunderstanding. I said I wish I could move to zerodha coz I pay substantial amount in brokerages.
That being said, zerodha doesn't offer presto hence I am with composite only.
I will be testing mastertrust as they have tied up with Symphony and offer me less brokerage.

MT

 

[ROCKSTAR55]

Hello MT bro,Do you use leverage?How much leverage you use per trade?

 

[humble]

Hi MechTrader,

Thanks for the wonderful thread, it has been an inspiration :thumb:.

Could you please suggest ways to reduce the number of trades while working on automating strategies? I have looked into Linear Regression slope, RSI, Volume but haven't found anything very convincing. I am using TA-Lib for the indicators.

I see your strategy ignores most of the flat days, any general concepts that you can share would be of great help.

 

[TrendWatch]

Very informative thread. And a lot to learn from here. :clap:

 

[mechtrader]

Hello MT bro,Do you use leverage?How much leverage you use per trade?

Hi,

I dont know how much leverage I use. I come up with a value (capital required) for my strategies.

Formula is : (average trades in a day * average margin req)+(1.5* MAx DD of strategy). I trade the strategy with this initial capital.

MT

 

[mechtrader]

Hi MechTrader,

Thanks for the wonderful thread, it has been an inspiration :thumb:.

Could you please suggest ways to reduce the number of trades while working on automating strategies? I have looked into Linear Regression slope, RSI, Volume but haven't found anything very convincing. I am using TA-Lib for the indicators.

I see your strategy ignores most of the flat days, any general concepts that you can share would be of great help.

See this really depends on your strategy type. Filters are different for rangebound, diff for trend following, diff for longer holding periods.
For eg. for my intraday trend following strategies I apply a very basic filter.
I buy only above 200 MA and short only below 200MA. This reduces 40% of the trades.

Try it.

P.S. WAht is TA Lib
MT

 

[humble]

See this really depends on your strategy type. Filters are different for rangebound, diff for trend following, diff for longer holding periods.
For eg. for my intraday trend following strategies I apply a very basic filter.
I buy only above 200 MA and short only below 200MA. This reduces 40% of the trades.

Try it.

P.S. WAht is TA Lib
MT

Hi MT,

Thanks for the reply. I am also looking to formulate a trend following intraday strategy. Through the process understood it is very difficult to come up with a strategy for Index futures which can give consistent results on a monthly basis. Looking into Stocks now.

Anyway, TA-lib is a OpenSource Technical analysis library http://ta-lib.org/. I am trying to build something out of AmiBroker. Nothing against AB, its just that I am more comfortable in Java/Python vs AFL.

 

[NJ23]

Hi MT,

Thanks for the reply. I am also looking to formulate a trend following intraday strategy. Through the process understood it is very difficult to come up with a strategy for Index futures which can give consistent results on a monthly basis. Looking into Stocks now.

Anyway, TA-lib is a OpenSource Technical analysis library http://ta-lib.org/. I am trying to build something out of AmiBroker. Nothing against AB, its just that I am more comfortable in Java/Python vs AFL.

Try Zipline for Python. you can write your strategies and back test it.
http://www.zipline.io/

 

[humble]

Try Zipline for Python. you can write your strategies and back test it.
http://www.zipline.io/

Thanks NJ23. I did not look into zipline, but I did evaluate PyAlgoTrade. I got stuck dealing with Adds and my own framework was born :lol: [with bare minimum stuff such as Quote, Trade, Position, Indicators from TA-lib and a Rule engine for entering and exiting]. Anyway more important is the strategy .

 

[mechtrader]

Try Zipline for Python. you can write your strategies and back test it.
http://www.zipline.io/

Hi NJ23,humble,

I am a beginner in python. Can you pls give me a head start. Any books, material will be helpful.

MT