My algo trading daily performance

[NJ23]

Hi NJ23,humble,

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

MT

To learn Python? Codecademy is good. There are many resources available actually. I found learning by doing a good idea, so I chose codecademy.

 

[humble]

Hi NJ23,humble,

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

MT

Hi MT,

In addition to what NJ23 has suggested you might also want to look at Courses available at: "https://www.coursera.org/courses/?query=python%20programming". These courses are usually from University Profs.

 

[alroyraj]

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 [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 .

Hey humble, looks like you are looking for a Linux algo system...is it...?

 

[humble]

Hey humble, looks like you are looking for a Linux algo system...is it...?

Yeah, thats another advantage with Java/Python, hopefully lesser VPS cost. Still a long way to go to see those results.

 

[humble]

Hi MT,

Few more questions:
1. When you were backtesting on a portfolio, do you consider monthly positiveness or individual stock's returns per trade.
2. If you have the data and do not mind sharing what should be a decent returns per trade to cover brokerages and slippages.
2. Did you try optimizing parameters of individual stocks?

 

[mechtrader]

Hi MT,

Few more questions:
1. When you were backtesting on a portfolio, do you consider monthly positiveness or individual stock's returns per trade.
2. If you have the data and do not mind sharing what should be a decent returns per trade to cover brokerages and slippages.
2. Did you try optimizing parameters of individual stocks?

HI,
1. Nope, i looked at portfolio as a whole. yes, i did see the contribution of various stocks but not monthwise.
2. I had done my testing with rs.300 as the total costs. In current scenario it should be around 500. So any system giving more than 2:1 should be good generally.
3. Nope. I work on a portfolio as a whole and dont do individual stock optimization. I believe it is a fancy way to curve fit.

MT

 

[mechtrader]

Hi all,

This month good also and bad also. Good because it gave alot of learning's and bad because it was my worst performance for past 1 year.

Considering the change in lot sizes, I considerably scald down my models to trade very less. I more than halved my trades for the month from 400 to ~170. I did that because i didnot know what was coming my way. So the best way is to take less risk.

The slippages are over the top.I know. I dont know why the liquidity has dropped in stock futures and will it be able to rise again or not. What would happen if it continues to trade like this only, all the models will be termed obsolete.But i cant help this, this is a change for everyone and i need to adapt. I need to find out ways.

So, the next expiry also i am playing with very less capital and trying different things, so as to get everything right.
What i am thinking is:
1. Changing the execution logic: Although I use all the parameters as same for all the stocks, but i can always use differnt execution logic for different stocks. It might help.
2. Observe for 2 months and remove the most nasty stocks out of the portfolio. I can always add good quality liquid stocks, but those mean lesser returns. So i am trying for 1 month with these speculative stocks one again for a month.
3. I it still doesnt work out for me. i can always o to the cash market to trade. It has many advantages also. a) i can get cumulative returns so very easily, so apt use of money.
b) risk is less, i can start with 2l initially in each position.
c) I can trade more strategies and let diversification play its part.

SO, Thats all what in the plan for now. But thats for next month. I hope i dont have to go thaT lane. Hoping to get all things sorted this month itself.

Thanks,
MT

 

[mechtrader]

Food for thought

http://evilspeculator.com/building-...-and-exit-techniques-and-system-optimization/

MT

 

[princy01]

Hi MT

I am new to mechanical trading system, and I am having trouble in finding out the ideas for exiting the trade once we are in the trade, could you please give some basic ideas for exit, trailing stops etc?

Thanks

 

[TraderRavi]

Hi all,

This month good also and bad also. Good because it gave alot of learning's and bad because it was my worst performance for past 1 year.

Considering the change in lot sizes, I considerably scald down my models to trade very less. I more than halved my trades for the month from 400 to ~170. I did that because i didnot know what was coming my way. So the best way is to take less risk.

The slippages are over the top.I know. I dont know why the liquidity has dropped in stock futures and will it be able to rise again or not. What would happen if it continues to trade like this only, all the models will be termed obsolete.But i cant help this, this is a change for everyone and i need to adapt. I need to find out ways.

So, the next expiry also i am playing with very less capital and trying different things, so as to get everything right.
What i am thinking is:
1. Changing the execution logic: Although I use all the parameters as same for all the stocks, but i can always use differnt execution logic for different stocks. It might help.
2. Observe for 2 months and remove the most nasty stocks out of the portfolio. I can always add good quality liquid stocks, but those mean lesser returns. So i am trying for 1 month with these speculative stocks one again for a month.
3. I it still doesnt work out for me. i can always o to the cash market to trade. It has many advantages also. a) i can get cumulative returns so very easily, so apt use of money.
b) risk is less, i can start with 2l initially in each position.
c) I can trade more strategies and let diversification play its part.

SO, Thats all what in the plan for now. But thats for next month. I hope i dont have to go thaT lane. Hoping to get all things sorted this month itself.

Thanks,
MT

liquidity decreased in stock futures due to very high margin required after new lot sizes introduced from november series. but seems no effect in index futures nifty/banknifty.