My algo trading daily performance

[mechtrader]

I like the content on this website so much.

http://www.fxkeys.com/become-a-profitable-forex-trader-in-5-easy-steps/

MT

 

[skybond7]

Hi anyone made big money :thumb: during the market crash this week. Hoping to see some results of the algo traders.

 

[mechtrader]

Hi all,

I am making this post in the middle of the month so that i can review this at a later stage.
Today or i should say last few days have been very volatile and testing the patience and emotions of a trader too much. Today the emotions got the best of me.
Last time I deviated from my rules was on August 24 and I made it clear to myself that i will not repeat it and not become a prey to the greed and fear.

Coming to today, I was having really big positions (35 open positions) and the market was trading in a range till 2. The MTM suddenly got huge because of the windfall profits. This is where the emotions started to roll in. The MTM screen showed me profits which i had never seen in my career, I got tempted to book as i thought that the market may give a bounce during the last few minutes of the day. Also I was not convinced about the short bias looking at how the US markets performed yesterday.

I finally book profits near this area at 2:50 and deviated from my rules due to greed. In the next 25 mins the markets kept tanking and left me wondering as to why did I do it. I lost nearly 150k of profits (Yes i was so position heavy). On the other side I could have lost this much money if there was a pullback rally, but rules are rules. I shouldnot have done that. This is not good for me.

Hopefully I will not repeat this again. This post should serve its purpose and keep me on the right track whenever I loose focus.

Good luck to all.

Thanks,
MT

 

[skybond7]

Hi Mechtrader, I thought you do not intervene and actually shut down your monitor till the end of the day and let the algos do the work for you.

Just have a two question why do you prefer futures over options? and does your algo gets ripped off during sideways?

 

[rmike]

Hopefully I will not repeat this again .... MT

Don't mean to offer consolation or critique. Just expressing personal viewpoint, borne out of experience

If dabbling in systems has taught me anything, its this ...... However much we refine our calculations and quantify the past to base our anticipation for the future, there's absolutely little guarantee that the future is going to respect those 'quantifications'. Hence, even though one may strive towards a perfect system, one has to also understand that while any system may become better or approach closer, no system will ever reach that ideal (the whys and wherefores are themselves a (vast) separate topic for discussion). Therefore a trader is not in the business of predicting but of taking action (managing trade) as per prevalent market conditions. The 'better' decisions are borne out of the mindset of managing risk rather than a focus on 'anticipated' profits! It is good to have a system for provision of a stable, logical finite framework for trade assessment & trade execution but since no system can ideally cater for every market condition, it naturally follows that traders not be slaves of the system but also learn to develop astute discretion. While newbies may tend to 'overuse' this discretion, the higher order trader can better assess when to step in and when to lay off. The wisdom to know when to exercise this 'discretion' is borne out of enhanced market understanding & experience. If you don't believe me then go ahead and run some step forward simulation on 'V Reversals'. Whether you use a system based on price action or indicators, I can bet you that the most convincing of setups/ continuations undergo radical transformation in complexion within a few tics of violent expansion which, let alone react to, hardly any system can detect unfailingly at the very outset.

Trades are not only ended when they hit a stoploss or a theoretical profit target, but are also terminated when a trader assesses that the prevalent market conditions could be exploited for movement adverse to the trade. In your case you took the decision based on prevalent volatility and proximity to the closing bell. Which is fair enough! The fact that in doing so, you missed out on additional profit is just the way that things pan out sometimes. If I may jog your memory, just sometime back you were extremely distraught about making a great deal in the early sessions and ending up giving almost all of it back in the closing session! That time you didn't intervene in the system and well, that's just the way events happened to pan out that time!!! The point is - both times you took a decision based upon your assessment of the market. The second decision was probably better as it was borne out of a desire to manage risk (well.. also to protect profit - will come to that by and by If the market didn't play ball, so be it. It doesn't make the decision wrong at that point in time! Remember that there's absolutely little guarantee that the future is going to respect those 'quantifications'

It is the inescapable lot of any trader that he/ she can never be completely happy!!! There will always be that bit of money which he/ she ended up leaving on the table (early or late . However much we pay lip service to being trend followers but the truth is that in some corner of every trader's being (yes, even those that ought to know better , there is always a burning desire to be able to catch the absolute top & bottom (or as close to it as is practically/ humanly/ godly possible) each & every time. Hence complete satisfaction is forever a chimera

The second aspect is that even when a trader starts becoming consistently profitable, it is difficult to break the shackles of earlier 'modest' beginnings!!! It is very difficult to be able to (initially) achieve complete comfort with increase in trade size w.r.t the increase in capital. As per your own admission, you were dealing with 'heavyweight' trade size. This aspect, possibly, triggered simultaneous dual emotions of greed as well as fear! Greed - to protect substantial profits. Fear - of seeing the 'notional profit' evaporate, if the market chose to move the other way.

Had you not put on such a size, it is possible that you may have not entertained thoughts of trade closure with such urgency!!!

Well..... my advice - Better get used to the increased trade size . Don't rue trade closures if you happen to leave money on the table, remember that you are also pocketing a large chunk of it, in the bargain

In short - Don't sweat it!!!

If you'd like to revisit your post for the purpose of evaluation for betterment. Let the lesson be, that from the aspect of risk management the decision was not entirely wrong (considering the market environment) AND that you need to consciously train your mind to achieve comfort factor with larger trade size

HTH

 

[mechtrader]

Thanks for the wonderful write up. It definitely makes the scenario clearer to me. As you stated that i was not completely wrong in closing the trade at that time keeping in mind my logic for doing that, I am ok with my decision and maybe in the longer run i might end up doing better than the model.

My main problem was not with the decision i took or the notional profit that i left, my problem is that i had made it clear in my mind that as currently i am trading only 1 lot/ scrip, i will trade this only with the model and i will continue to paper trade my discretion. When i will scale to 2 lots then 1 lot will be traded as per the model and the other will be closed with my discretion. That was the plan. Not following the plan is what made me mad at myself.

There have been days on which according to my discretion I should have ended all trades at lets say a reversal ( with some profits) but the model took a hit of 1 lakh or so. I was ok on those days because I traded the model and i paper traded the discretion, i was happy, i didnt care about the loss as long as i followed the plan. But this time i turned the paper trade in the real one and deviated from the plan.

The only reason as to why this happened is because of the trade size. Scaling up is not that easy as i sounds, it opens up some suppressed emotions. Hope this whole situation is a learning for me in my journey.:thumb:

Thanks,
MT

 

[TradeOptions]

Don't mean to offer consolation or critique. Just expressing personal viewpoint, borne out of experience

If dabbling in systems has taught me anything, its this ...... However much we refine our calculations and quantify the past to base our anticipation for the future, there's absolutely little guarantee that the future is going to respect those 'quantifications'. Hence, even though one may strive towards a perfect system, one has to also understand that while any system may become better or approach closer, no system will ever reach that ideal (the whys and wherefores are themselves a (vast) separate topic for discussion). Therefore a trader is not in the business of predicting but of taking action (managing trade) as per prevalent market conditions. The 'better' decisions are borne out of the mindset of managing risk rather than a focus on 'anticipated' profits! It is good to have a system for provision of a stable, logical finite framework for trade assessment & trade execution but since no system can ideally cater for every market condition, it naturally follows that traders not be slaves of the system but also learn to develop astute discretion. While newbies may tend to 'overuse' this discretion, the higher order trader can better assess when to step in and when to lay off. The wisdom to know when to exercise this 'discretion' is borne out of enhanced market understanding & experience. If you don't believe me then go ahead and run some step forward simulation on 'V Reversals'. Whether you use a system based on price action or indicators, I can bet you that the most convincing of setups/ continuations undergo radical transformation in complexion within a few tics of violent expansion which, let alone react to, hardly any system can detect unfailingly at the very outset.

Trades are not only ended when they hit a stoploss or a theoretical profit target, but are also terminated when a trader assesses that the prevalent market conditions could be exploited for movement adverse to the trade. In your case you took the decision based on prevalent volatility and proximity to the closing bell. Which is fair enough! The fact that in doing so, you missed out on additional profit is just the way that things pan out sometimes. If I may jog your memory, just sometime back you were extremely distraught about making a great deal in the early sessions and ending up giving almost all of it back in the closing session! That time you didn't intervene in the system and well, that's just the way events happened to pan out that time!!! The point is - both times you took a decision based upon your assessment of the market. The second decision was probably better as it was borne out of a desire to manage risk (well.. also to protect profit - will come to that by and by If the market didn't play ball, so be it. It doesn't make the decision wrong at that point in time! Remember that there's absolutely little guarantee that the future is going to respect those 'quantifications'

It is the inescapable lot of any trader that he/ she can never be completely happy!!! There will always be that bit of money which he/ she ended up leaving on the table (early or late . However much we pay lip service to being trend followers but the truth is that in some corner of every trader's being (yes, even those that ought to know better , there is always a burning desire to be able to catch the absolute top & bottom (or as close to it as is practically/ humanly/ godly possible) each & every time. Hence complete satisfaction is forever a chimera

The second aspect is that even when a trader starts becoming consistently profitable, it is difficult to break the shackles of earlier 'modest' beginnings!!! It is very difficult to be able to (initially) achieve complete comfort with increase in trade size w.r.t the increase in capital. As per your own admission, you were dealing with 'heavyweight' trade size. This aspect, possibly, triggered simultaneous dual emotions of greed as well as fear! Greed - to protect substantial profits. Fear - of seeing the 'notional profit' evaporate, if the market chose to move the other way.

Had you not put on such a size, it is possible that you may have not entertained thoughts of trade closure with such urgency!!!

Well..... my advice - Better get used to the increased trade size . Don't rue trade closures if you happen to leave money on the table, remember that you are also pocketing a large chunk of it, in the bargain

In short - Don't sweat it!!!

If you'd like to revisit your post for the purpose of evaluation for betterment. Let the lesson be, that from the aspect of risk management the decision was not entirely wrong (considering the market environment) AND that you need to consciously train your mind to achieve comfort factor with larger trade size

HTH

rmike, Excellent Points ! I cant agree more. :thumb:

 

[bpr]

Thanks for the wonderful write up. It definitely makes the scenario clearer to me. As you stated that i was not completely wrong in closing the trade at that time keeping in mind my logic for doing that, I am ok with my decision and maybe in the longer run i might end up doing better than the model.

My main problem was not with the decision i took or the notional profit that i left, my problem is that i had made it clear in my mind that as currently i am trading only 1 lot/ scrip, i will trade this only with the model and i will continue to paper trade my discretion. When i will scale to 2 lots then 1 lot will be traded as per the model and the other will be closed with my discretion. That was the plan. Not following the plan is what made me mad at myself.

There have been days on which according to my discretion I should have ended all trades at lets say a reversal ( with some profits) but the model took a hit of 1 lakh or so. I was ok on those days because I traded the model and i paper traded the discretion, i was happy, i didnt care about the loss as long as i followed the plan. But this time i turned the paper trade in the real one and deviated from the plan.

The only reason as to why this happened is because of the trade size. Scaling up is not that easy as i sounds, it opens up some suppressed emotions. Hope this whole situation is a learning for me in my journey.:thumb:

Thanks,
MT

You have to decide whether to let the system trade or whether you like to intervene sometimes and then stick to that.
Sometimes the intervention will be positive and sometimes it will be negative.

Once you closed the trade in the above scenario the trade is closed for all practical purpose and is dead there is no would have could have scenario.They never help.

 

[DSM]

Mechtrader,

Today Nifty bounced back about 80 odd points from the lows in the last 45 minutes of trade. And it made me to think about your previous observation where you covered your position and regretted it - But had you done today, it would have been the day.... But that's the way market is.

Any takeaways from the market behaviour of today?

Thanks for the wonderful write up. It definitely makes the scenario clearer to me. As you stated that i was not completely wrong in closing the trade at that time keeping in mind my logic for doing that, I am ok with my decision and maybe in the longer run i might end up doing better than the model.

My main problem was not with the decision i took or the notional profit that i left, my problem is that i had made it clear in my mind that as currently i am trading only 1 lot/ scrip, i will trade this only with the model and i will continue to paper trade my discretion. When i will scale to 2 lots then 1 lot will be traded as per the model and the other will be closed with my discretion. That was the plan. Not following the plan is what made me mad at myself.

There have been days on which according to my discretion I should have ended all trades at lets say a reversal ( with some profits) but the model took a hit of 1 lakh or so. I was ok on those days because I traded the model and i paper traded the discretion, i was happy, i didnt care about the loss as long as i followed the plan. But this time i turned the paper trade in the real one and deviated from the plan.

The only reason as to why this happened is because of the trade size. Scaling up is not that easy as i sounds, it opens up some suppressed emotions. Hope this whole situation is a learning for me in my journey.:thumb:

Thanks,
MT

 

[rmike]

The only reason as to why ......

Welcome to the club! I am sure you'll find your own answers. Rightly observed that its all a part of the learning journey. No time like the present to get your feet wet, now that the ice has been broken!!!