Sharing automated strategy tips
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- This topic has 11 replies, 7 voices, and was last updated 1 week ago by
SnorreDK.
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07/06/2024 at 12:39 PM #234837
Making this post to share tips for creating automated trading strategies and my thoughts. My approach to automated trading is it shouldnt be trying to copy a human traded strategy. Translating human trading to automated systems is challenging due to factors like intuition that can’t be easily coded. I think automated trading requires a completely different mindset. It should maximize its strengths, particularly in short timeframe trading. I prefer not to code swing trading strategies over multiple days because I can do that better manually. Instead, automated trading should find trades that we might miss due to mental exhaustion or the inability to process multiple pieces of information simultaneously.
What I and probably most people currently lack are creative ideas. Rather than sharing complete strategies, which people wont do, esp with the marketplace (I wouldnt either if i had a winner). I think we should share concepts and experiences. Let’s discuss what you think works and what doesn’t, and see if we can collaborate. Heres some of my inital thoughts and tips-
Entries
Most indicators I’ve found are useless. If an indicator works on one market but not another, it will eventually fail. I’ve stopped using traditional indicators for entry signals since they’ve been tried in all combinations. It may work it may not, it may work for a week or a year and fail utterly. I now code entries based on price actions, such as simple high/low or fractals. Price action entries work across most stocks and are fundamental to trading and have been consistent since the beginning of markets.
Noise
A major issue we face is market noise. How do we code what humans can easily see? We can visually distinguish trending from ranging markets dynamically, but coding this is difficult because it’s always fixed. I started experimenting with entries on very close timeframes, like 1 minute and 55 seconds, to confirm signals. If it works on 1 minute, it should work on 55 seconds. I find it helps to filter out some bad or sporadic signals.
Exit
I find exit strategies to be as important, if not more important, than entries. Fixed exits, like 20 points in a dynamic market, are not sustainable long-term. I’ve been using 2 Supertrend with different values to combat noise as my standard exit strategy. I think most effort goes into creating a exit strategie/money management.
Backtesting
Optimising values always leads to failure (in my experience). Even walkforward, monte carlo (different software) etc. Optimising values of an indicator (back to my first point) and deploying the strategy just fails. I have just been using the optimisastion system to find strategies on different markets. Eg if option1=0, if option2=1 to test different indicators or snippets of code. Mainly to quickly filter out code that dosent work. To compare different snippets eg direrent exit strategies etc.
These are just a few thoughts from my personal experience. What is your experience from automated trading?
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07/06/2024 at 3:28 PM #234846To add a few humble thoughts… I used to experiment a lot with all kinds of indicators. Often with SMAs… often in time units such as 1 minute… I often tried to incorporate my preferences, such as exiting the trade daily, or something similar into my systems. Yes… it works for a while, until the market structure changes a bit… then you notice how over-optimized these systems were. Today I mainly only use range breakout systems… often without any indicators at all. I either orient myself on daily marks such as Dhigh/dlow or highest[x](high). I also no longer set take profits, but rather work with trailing and/or time exits within a day. This way a good trade runs as far as possible and is not cut off by a take profit. As a second category of systems, I use mean reverses of all kinds in high time units such as H4. In my opinion, the most important thing is the choice of market. For me personally, DAX, for example, is quite difficult to trade. I only use SP500 and NASDAQ.
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07/06/2024 at 4:33 PM #234849What always amazes me is that no one examines the data…
What are the characteristics of the index/stock data you use and do these characteristics change when I use a different time frame, for example…
The data is the basis and before you start with indicators and patterns, you will first need to know what kind of data you are dealing with…(trending, ranging, random, mixed…)
07/06/2024 at 4:42 PM #234851Go with the big money… ideally SP500 only long. That way you’re on the safe side. No matter whether scalp, swing or mean reverse.
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07/08/2024 at 2:35 PM #234952Im starting to look more into a semiautomatic/manual way off using algos coz off the fact that no market stays the same forever.
So using screeners to look for stocks and then have long only or short only algos that will run untill conditions shange or dont work out as expected.
I also feel that exits are way more important then entrys.
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07/10/2024 at 11:07 AM #235006Go with the big money… ideally SP500 only long. That way you’re on the safe side. No matter whether scalp, swing or mean reverse.
I like your tips Phoentzs. Will have a look into it. But before that. Do you have a favorite trailingstopploss-code?
08/05/2024 at 12:57 PM #236135I am not Phoentzs but one of my favourites trailing stop loss code is from you SnorreDK, from this thread: https://www.prorealcode.com/topic/nas-3m-rsih-dmh-v0-1-john-ehlers/
Do you have another favourite?
I have noticed the same thing about indicators. I havent found a robust strategy based on indicators. Usually my strategies are built with a price action as base (candle stick pattern/high-lows etc) and then with some extra filters, like trend filters (SMA,LinearRegression), volatilityfilters, trendstrength or volume. Add that with a nice trailing stop and it seems to usually work nice and robust for me.
One thing that really helped me was that when I first was developing strategies, was that I only had access to 200k units. When I later got access to 1M bars, I could try all of my 30-40 developed strategies with 2-8 years OOS. Most of my strategies was curvefitted. A few of them showed the same nice equity curve, as in 200k units. Those I trade today! A nice eye opener how valuable OOS data really is, in order to avoid curve fitting.
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08/07/2024 at 12:59 PM #236219SweTrade, no Cred to me for that trailing stoploss.
Got it here: https://www.prorealcode.com/prorealtime-trading-strategies/vectorial-dax-m5/
Intressting Ideas. Do u use MTF?
Do u use 1 priceaction and then filters on higher timeframes or what have u found that works best? Any favorite timeframe and indice?
08/09/2024 at 9:22 AM #236287Noise
I started experimenting with entries on very close timeframes, like 1 minute and 55 seconds, to confirm signals. If it works on 1 minute, it should work on 55 seconds. I find it helps to filter out some bad or sporadic signals.
Exit
I’ve been using 2 Supertrend with different values to combat noise as my standard exit strategy.
I found this subject very intressting.
Would you like to expain the qouted text more?
08/11/2024 at 10:05 AM #236317Noise A major issue we face is market noise. How do we code what humans can easily see? We can visually distinguish trending from ranging markets dynamically, but coding this is difficult because it’s always fixed. I started experimenting with entries on very close timeframes, like 1 minute and 55 seconds, to confirm signals. If it works on 1 minute, it should work on 55 seconds. I find it helps to filter out some bad or sporadic signals.
How do you combine 1 minute and 55sec in same strategy? Its not multiples of eachother and doesnt work as MTF
08/11/2024 at 11:02 PM #236321Do u use MTF? Do u use 1 priceaction and then filters on higher timeframes or what have u found that works best? Any favorite timeframe and indice?
Sometimes I use MTF, but mainly for a simple longtrend, like above daily SMA200. I havent had much success with implementing a strategy workflow with MTF in it unfortunlately. Do you have any tips on how to use MTF in your favor?
Nasdaq seem to be the easiest to create strategies for me. Simple long trend-following. Also I have some for DAX and SP500. 1-5 minute timeframe. What are you trading mainly and what are your best strategy tips?
08/28/2024 at 7:55 AM #236773Do u use MTF? Do u use 1 priceaction and then filters on higher timeframes or what have u found that works best? Any favorite timeframe and indice?
Sometimes I use MTF, but mainly for a simple longtrend, like above daily SMA200. I havent had much success with implementing a strategy workflow with MTF in it unfortunlately. Do you have any tips on how to use MTF in your favor?
Nasdaq seem to be the easiest to create strategies for me. Simple long trend-following. Also I have some for DAX and SP500. 1-5 minute timeframe. What are you trading mainly and what are your best strategy tips?
When I create an algorithm, I always start with
CumulateOrders = False
to prevent the accumulation of multiple orders. To ensure the algorithm’s robustness, I also test it withCumulateOrders = True
. If the algorithm still produces a smooth equity curve and avoids significant losses during backtesting, I know I’m on the right track with a sustainable strategy. -
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