My algo trading daily performance

[mechtrader]

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?

Hi DSM,

Having had my learning few days back, i just stuck to my plan to follow the models trades. Yes, it give back substantial profits back, but thats ok as long as i follow the plan. I have decided i will intervene only when i start trading multiple lots. For now, i am keeping myself busy thinking of new ways to exploit market edges.:thumb:

MT

 

[mechtrader]

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!!!

Hi rmike,

R u a mechanical system trader as well or else?

MT

 

[rmike]

Hi MT,

Difficult to quantify the trading style in absolutes, so I'll just briefly outline the components

First to clarify that while the term 'mechanical trading' is generally used interchangeably with 'algo trading', pure algo trading is automated mechanical trading

Any trading based on a structured framework of logic process flow can be categorized as mechanical trading, so long as the desired outcome (scrip selection, scrip ranking, setup alert etc) is generated via a mechanical process (scans, explorations - created/ coded as desired) and not purely by manual analysis of each scrip to identify the desired features

The mechanical component of my trading comprises of suitable trading vehicle selection (scrips as per a combination of various filters). The suitable vehicle selection would differ depending upon the time horizon of the trade (different filters). Here, am primarily outlining the process flow for intraday. The next step would be segregation of scrips in the categories of up, down & sideways (trend state as per higher timeframe of use). The next step would be to narrow the focus onto scrips which are aligned with the trend state of broad market (as per timeframe of use). These steps are a part of advance preparation for the next session.

At the start of the session, scan of focus scrips is started (and is repetitive at chosen intervals). The scan issues an alert when a defined 'setup(s)' is formed/ detected and ranks the setup(s) in addition (as per defined criteria). Remember, I said setup and not trigger!

Till this point the process is mechanical. The mechanics are designed and utilized as a labour saving efficient tool to aid the cognitive process. From here on the discretionary process takes over to decide upon the target scrips (based upon ranking as well as situational awareness). The position size is mechanically calculated simultaneously upon trigger formation. Discretion is used to modify it either as conservative or aggressive. Trade is entered manually. Trade management is discretionary + mechanically aided as a backup

Regards,

 

[DSM]

Great insight MT....

While looking at the performance, one sees only the month end numbers and a 'coded strategy' not realizing the thought process and hard work that has gone into building the system. What you have described is a professional screening of scripts with a deep understanding of how market works combined with a great deal of programming knowledge (unless it has been outsourced). And I guess that has come over a long period of time....

Would be interesting to know about the time you have been in the market, your journey as a trader, the learning along the way...... (Please do so whenever you have the time)

Thanks

Hi MT,

Difficult to quantify the trading style in absolutes, so I'll just briefly outline the components

First to clarify that while the term 'mechanical trading' is generally used interchangeably with 'algo trading', pure algo trading is automated mechanical trading

Any trading based on a structured framework of logic process flow can be categorized as mechanical trading, so long as the desired outcome (scrip selection, scrip ranking, setup alert etc) is generated via a mechanical process (scans, explorations - created/ coded as desired) and not purely by manual analysis of each scrip to identify the desired features

The mechanical component of my trading comprises of suitable trading vehicle selection (scrips as per a combination of various filters). The suitable vehicle selection would differ depending upon the time horizon of the trade (different filters). Here, am primarily outlining the process flow for intraday. The next step would be segregation of scrips in the categories of up, down & sideways (trend state as per higher timeframe of use). The next step would be to narrow the focus onto scrips which are aligned with the trend state of broad market (as per timeframe of use). These steps are a part of advance preparation for the next session.

At the start of the session, scan of focus scrips is started (and is repetitive at chosen intervals). The scan issues an alert when a defined 'setup(s)' is formed/ detected and ranks the setup(s) in addition (as per defined criteria). Remember, I said setup and not trigger!

Till this point the process is mechanical. The mechanics are designed and utilized as a labour saving efficient tool to aid the cognitive process. From here on the discretionary process takes over to decide upon the target scrips (based upon ranking as well as situational awareness). The position size is mechanically calculated simultaneously upon trigger formation. Discretion is used to modify it either as conservative or aggressive. Trade is entered manually. Trade management is discretionary + mechanically aided as a backup

Regards,

 

[mechtrader]

Good approach there rmike.:thumb::thumb: This is really impressive.

@DSM I think your questions are directed towards rmike.

MT

 

[DSM]

Right MechTrader, That's should have been for RMike.

But it would be great if you too could answer the same questions....

Thanks.

Good approach there rmike.:thumb::thumb: This is really impressive.

@DSM I think your questions are directed towards rmike.

MT

 

[TradeOptions]

Hi MT,

Difficult to quantify the trading style in absolutes, so I'll just briefly outline the components

First to clarify that while the term 'mechanical trading' is generally used interchangeably with 'algo trading', pure algo trading is automated mechanical trading

Any trading based on a structured framework of logic process flow can be categorized as mechanical trading, so long as the desired outcome (scrip selection, scrip ranking, setup alert etc) is generated via a mechanical process (scans, explorations - created/ coded as desired) and not purely by manual analysis of each scrip to identify the desired features

The mechanical component of my trading comprises of suitable trading vehicle selection (scrips as per a combination of various filters). The suitable vehicle selection would differ depending upon the time horizon of the trade (different filters). Here, am primarily outlining the process flow for intraday. The next step would be segregation of scrips in the categories of up, down & sideways (trend state as per higher timeframe of use). The next step would be to narrow the focus onto scrips which are aligned with the trend state of broad market (as per timeframe of use). These steps are a part of advance preparation for the next session.

At the start of the session, scan of focus scrips is started (and is repetitive at chosen intervals). The scan issues an alert when a defined 'setup(s)' is formed/ detected and ranks the setup(s) in addition (as per defined criteria). Remember, I said setup and not trigger!

Till this point the process is mechanical. The mechanics are designed and utilized as a labour saving efficient tool to aid the cognitive process. From here on the discretionary process takes over to decide upon the target scrips (based upon ranking as well as situational awareness). The position size is mechanically calculated simultaneously upon trigger formation. Discretion is used to modify it either as conservative or aggressive. Trade is entered manually. Trade management is discretionary + mechanically aided as a backup

Regards,

rmike, this is one of THE BEST POSTS, I have read in a long time. Brilliant Stuff brother. :thumb::cheers:

Warm Regards

 

[Preetam]

Hi, mechtrader. You are doing a wonderful job sharing your trade experiences. Please guide as to how I can start with algo trading.

 

[mechtrader]

Hi, mechtrader. You are doing a wonderful job sharing your trade experiences. Please guide as to how I can start with algo trading.

You should read the thread from the start, I have explained everything there.

MT

 

[mechtrader]

Hi all,

End of another expiry. The strategies performed very well this particular month. Infact, it was the best month of my career and also brought the best day of all time on 15th of january. :clap::clap:

I am now starting to believe the statistical viability of all my strategies. All of them are along their backtested equity curve, this explains there is definitely an edge there. This was my 14th consecutive positive trading month.:thumb::thumb:. Couldnt ask for anything more.

I was a little worried in Nov about the slippages part as they were over the top and the cost per trade had climbed to more than 800. I am happy that i have managed to bring it down to ~550. So, things have definitely worked there too. I am still trying to gt it below 500. Lets see what happens next month.

Last month I thought of going live with one of my positional strategies, but then i decided against it. All models are on a high after such volatile market. I want to enter at a pullback. So, I will prefer waiting.

Plan for the next month is to get full intraday model live ( i am trading 1/2 of my portfolio) if i get opportunity. Follow the plan. Thats it.

HAve a good series ahead.:thumb:

Cheers.
MT