Algo Swap Anyone?

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Viewing 15 posts - 1 through 15 (of 15 total)
  • 04/06/2024 at 4:24 PM #231160
    GraHal

    Anyone like to explore options to swap an Algo – 1 for 1?

    No big discussion around code or how Algo(s) works, but we show performance by posting on here and discuss as required.  Then – if both sides are agreeable – we arrange a swap via email.

    No need to post code and we can blank out Algo titles.

    Showing performance will hopefully bring out discussions around how we – as PRT users – monitor and rate performance?  This could lead onto Suggestions being put forward to PRT to provide tools to monitor and analyse performance.

     

    04/06/2024 at 10:56 PM #231171
    phoentzs

    I’d be happy to. I mostly use SP500 and NASDAQ. If you’re interested, I’ll show you something.

    1 user thanked author for this post.
    avatar GraHal
    04/07/2024 at 11:05 AM #231183
    GraHal

    For anyone who might be considering an Algo swap … would we need criteria so that Algo’s put-up for a swap are similar-ish in a few criteria that are important to us?

    The sort of criteria that sprung to mind …

    1.  Average gain per trade (factored to take account of different instruments).
    2.  Number of trades per day.
    3.  Length of time Algo has been under Live running test.
    4.  Demo Live running okay?
    5.  Maximum drawdown?
    6.  You suggest more?

     

     

    04/07/2024 at 2:54 PM #231185
    phoentzs

    Just post an example of yours so that we know exactly what you’re trying to achieve.

    04/07/2024 at 6:03 PM #231187
    GraHal

    See attached, had been doing well, but it took a hit last week with 2 consecutive losses.

    04/07/2024 at 10:49 PM #231193
    phoentzs

    Coincidentally, I have an untouched version on SP500 for the same period. One last loss on April 4th, 2024… I think that was ECB. I think your short trades are pretty bold where they are. Well, I also use a completely different time frame.

    04/08/2024 at 10:36 AM #231211
    phoentzs

    Oh yes, I now almost always use a function that only allows one trade per day per direction. In my opinion this makes my systems much more robust.

    04/08/2024 at 11:47 AM #231217
    GraHal

    Yes it will be a good swap as our modus operandi are very different … you get an Algo that you probably would not have developed and same for me.

    I can’t believe others are not ‘jumping  on the bandwagon‘ … given time they may come round to my ‘Swap Shop’! 😉

    I figured this is a good way to cross-fertilise with strategies whilst being able to keep the code to ourselves.

    It goes without saying (but I will) that we won’t share / post the code.

    If (in the unlikely event) we want to sell on MarketPlace then the ‘Swappers’ come to some arrangement / split of any revenue before offering on MP?

    For me, I see ‘Swap Shop’ as a way of revitalising my interest, but also to fuel discussion and chat about strategies and / or trading generally … trading can be a very solitary / lonely hobby??

    04/08/2024 at 1:22 PM #231224
    Wim

    Two thoughts from my side:
    GraHal wrote:
    I can’t believe others are not ‘jumping on the bandwagon‘ … given time they may come round to my ‘Swap Shop’!

    I am hesitating here, not jumping. Swapping with one or two co-forum-members – maybe; selling own product or obtained-by-or-given for-swapping-possibly-modified product on MP – no.
    The interest for me lies in what you called the cross-fertilising.

    GraHal wrote:

    would we need criteria so that Algo’s put-up for a swap are similar-ish in a few criteria that are important to us?

    I would appreciate a certain kind of normalisation in showing backtest results. Something like at least a period of 3 (or 6 or ..?) months, starting capital of 10.000, …
    And also whether it’s a fixed position size strategy or with a position size calculated on the basis of the available or initial capital.

    1 user thanked author for this post.
    avatar GraHal
    04/08/2024 at 2:28 PM #231238
    GraHal
    Wim wrote:

    selling own product or obtained-by-or-given for-swapping-possibly-modified product on MP – no.

    Anybody not wanting above under any circumstances can state this before they do a swap.

    Something like …

    “Must NOT be made available on MarketPlace …
    either in version as swapped
    or in a code-modified version or variables-optimised version”.

    04/10/2024 at 7:58 PM #231372
    SnorreDK
    phoentzs wrote:

    Oh yes, I now almost always use a function that only allows one trade per day per direction. In my opinion this makes my systems much more robust.

    Hi.
    How do you code 1 trade/day in one direction?

    04/11/2024 at 6:26 AM #231384
    SnorreDK

    Something like this?

    https://www.prorealcode.com/topic/1-short-and-1-long-per-day-max/#post-229458

    04/11/2024 at 9:03 AM #231390
    phoentzs

    I use a different code, but yes, that should work too. Especially in sideways phases, such codes reduce the risk of losses due to back and forth movements.

    04/12/2024 at 4:14 PM #231466
    phoentzs

    I would take a passably good idea for a short strategy. My shorts are always without any consistency. On SP500 or NASDAQ, mind you.

    11/08/2024 at 1:43 PM #240112
    Anjuna Marine

    I like this idea. I’m a bit late to the party as I only check in on this forum every once in a while. I’ve developed well over 100 strategies in the last few years, currently running about 40 of them live across four different portfolios. I’ve just plucked one of my NASDAQ daily strategies as an example, this one aims to buy into strength using price action and a simple time-of-the-month filter, to minimise time in market, use leverage, and reduce drawdown compared to buy and hold. I’ll include a screen shot of the performance and a few of my metrics below. Time in market is only 15% and it takes about 1 trade a month, so it’s a fairly slow system, but decent performance. Happy to do a code swap if anyone is interested, and maybe share some others.

    NASDAQ (US Tech 100) daily time frame.
    10,000 required in account to operate but can be scaled down or up
    This assumes 20:1 leverage on a CFD or spread betting account

    Back tested and developed over ten years of data 2009-2019
    In test sample = average monthly return of 777

    Running live for five years 2020-2024
    In live = average monthly return of 1,410
    (yes actually did better in live due to NASDAQ upwards movement in the last few years)

    Maximum drawdown -9,335
    Worst calendar month -6,496
    Best calendar month 8,704
    Effective average monthly return on allocated funds = 8.9%
    Trades taken in ten year back test = 96

     

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