My algo trading daily performance

[skybond7]

Could you please elaborate how should we take care MM and psychology while building the framework?

Not sure, whether I asked something silly...have very little knowledge...

Thanks

Hi Joysuryas,

Money management is nothing but risk taken per trade in simple terms. What should be your betsize and how much money you can risk on that betsize. As most of them say it is all about being in the game as long as you can. I guess start of with keywords "Position Sizing" on internet and you can find lot of information. I personally recommend Van Tharp books to understand the concept.

Senior members can add more insight into this.

Regards,
Bharat

 

[mechtrader]

Food for thought.

https://www.linkedin.com/pulse/multiple-entry-strategy-concepts-brian-miller

MT

 

[arjunkr]

Hi Mech,

I have read your thread completely and it has motivated me to think of trading as second career. From last month, I have started learning basics,I know most of them like me after reading Mech Trader thread and seeing charts have given thought about algo trading.I have installed Amibroker and slowly learning the basics of different charts and algo statergy AFL's available online.However I feel that there are many Traders who are earning more than you are quietly watching this thread.I appreciate you and other seniors, for all the effort you have taken to answer newbies like me and and share your experience with algo trading in this traderji forum, which is true meaning of community platform :thumb:.

Cheers,
Arjun

 

[finfreedom]

Hi arjun,

I am also in same boat. After reading Mechs success, started exploring automated trading.

I do agree with your thought. So far I have installed Amibroker and reading the links which mech shared to build a strategy.

Once I will finalise that I will start coding.

All the best....

 

[arjunkr]

Hi Mech,

After doing back testing with many strategies AFL code available online, i have squared two of them and tweak them further depending on back testing performance, But what i have found is none of the strategies perform 100% with respect to set of scripts.But we can achieve more performance only by selecting few scripts daily from our watch-list, Kindly ans below

1. What is the criteria you select scripts everyday..?
2. Do you follow any AFL for scan & Exploration..?
3. Select Passed Exploration Scripts and add them to watchlist, which will be used for the same day trading..?

Thanks
Arjun

 

[mechtrader]

Hi Mech,

After doing back testing with many strategies AFL code available online, i have squared two of them and tweak them further depending on back testing performance, But what i have found is none of the strategies perform 100% with respect to set of scripts.But we can achieve more performance only by selecting few scripts daily from our watch-list, Kindly ans below

1. What is the criteria you select scripts everyday..?
2. Do you follow any AFL for scan & Exploration..?
3. Select Passed Exploration Scripts and add them to watchlist, which will be used for the same day trading..?

Thanks
Arjun

Hi,

I dont believe in selecting specific scrips for particular day. I run the strategies on my whole basket. Yes, if there is a criteria which may shortlist probable candidates for day trading, then i include the entire criteria in the afl itself. One such criteria can be http://www.traderji.com/advanced-trading-strategies/101085-intraday-stock-selection-best-method.html .

MT

 

[finfreedom]

Hi Mech,

As you mentioned you back tested your strategy on historical data since the 2010,

Did you do on NSE future data or equities?

One of fellow group member has shared this concern..

Future data contains gaps because each series last only for 3 months. Premium/discount will be there, so essentially the data is not continuous. Do take this into consideration, Please check if any vendor is offering adjusted data or you could look into spot data for your testing purposes.

How did you manage this?

Thanks

 

[mechtrader]

I tested on futures data. There is no point testing on equities as they are different instruments.
When I test for intraday strategy, there is no problem as such of premium and discount as all the positions squared off eod. I tested on current contract data.
When testing positional, I always make sure to close all my positions on the last Thursday of the month as the current contract expires and then try to look for signals in the next contract. This way the testing remains as realistic as it can be.


MT

 

[finfreedom]

Thanks Mech for quick reply.

I have downloaded the historical data for NSE future iEOD since 2009 from another thread started by fxgood.

Now I am learning how to import NSE future data into Amibroker.

There I found lot CSV files compressed in zip format.

 

[finfreedom]

I tested on futures data. There is no point testing on equities as they are different instruments.
When I test for intraday strategy, there is no problem as such of premium and discount as all the positions squared off eod. I tested on current contract data.
When testing positional, I always make sure to close all my positions on the last Thursday of the month as the current contract expires and then try to look for signals in the next contract. This way the testing remains as realistic as it can be.


MT

Hi Mech,

In context of your and be answer..how do manage this...


"Hi bpr,

I trade the 10 min tf.
I use 200 ma as one of my indicators so that will be around 6 days of data.

Thanks,
MT"

Not sure if I have asked something illogical. but I can't justify my understanding..

Apology if I am bothering you much

Thanks