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TOPIC: Automated trading - yes, algos!

Automated trading - yes, algos! 04 Oct 2016 19:13 #1

  • Monkeyz
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Day started well on the GBPUSD. Overall +38pts

Only a one day manual test but encouraging nonetheless. I wonder if the higher timeframe filter would help the results. E.G bearish 1H then only short entries are considered by the algo?


dl.dropboxusercontent.com/u/24866576/201...BPUSD%2004.10.16.png

All the best
M
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Automated trading - yes, algos! 04 Oct 2016 06:17 #2

  • Monkeyz
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Hey Jackozy

Had a look at this first thing this morning. Roughly speaking is the below looking right? My settings may well be too sensitive and giving too many signals but I can tweak those. The vertical lines indicate entries only and have been manually added.


dl.dropboxusercontent.com/u/24866576/2016/October/5M%20Algo.png

Have you considered filtering the 5M signals by using a higher timeframe? e.g Same setup on say the 1H or 4H timeframe which is bullish which then only takes buy signals on the 5M? Or are you looking to capture those lucrative counter trend moves?


Cheers
M
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Automated trading - yes, algos! 29 Sep 2016 07:21 #3

  • Monkeyz
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Hey Jackozy

Glad you are keeping well! I haven't looked that much into Algos but the cTrader platform I use for charts has functionality for. You can download it for free via FxPro.

If I have time over the weekend I'll look into what you've suggested.

How's the manual trading going or is time at a premium these days?

ATB
Monkeyz
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Automated trading - yes, algos! 27 Sep 2016 09:59 #4

  • remo
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Hi jackozy
If you could post a detailed way your system works I can try and ask my contact in MetaStock to write a test program if it's possible.
Obviously it has to be detailed as I have to explain it to the guy in MetaStock and rather than explain it (as I'm useless at explaining some one else's system)
Or you could try out there software for free for 2 months and maybe get them to code it for you...
Ether way let me know and I'll see if it's possible.

Nice seeing you here buddy.
Remo
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Automated trading - yes, algos! 19 Sep 2016 21:35 #5

  • Jackozy
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PS Stops trail PSAR.
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Automated trading - yes, algos! 19 Sep 2016 21:32 #6

  • Jackozy
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Hi all,

Apologies for the delayed reply.

Ronmould: thanks and hope you're good too? Yes, back in the UK and have been since May 2014. Based in Glasgow - it's like Manchester with wind and hills.

Yes, the multiple timeframe idea was one option. Or, preferably, a way of getting the system to monitor current price instead of only considering open/close with an entry in the following bar. Flexibility usually means cost and complexity though.

CT79: thanks - hope you're good too mate? I think there should be a tool out there but whether it's got the flexibility and accuracy needed to profit from it is another question.

Ronnie: thank you. We're all good thanks, hope you and the familty are too? Just busy as I'm sure you'll understand. I'm on an easy contract at the moment and I've completed my qualification (for now) so had some spare mental capacity and thought I'd look at automated trading. I know the figures from the manual test are skewed positively. I could verify them but it would take me weeks. An automated backtest is much faster. And on that note:

Amo: hi there - thanks for your suggestion. I've looked into that and have set up a system and optimised it this weekend. It can't execute trades when I would like so I'll need to see if I can play about with it. It appears to only allow execution on open of the bar following closing confirmation. Part of the way PSAR works is to create the signal intra-bar so ideally I need to find a way to allow that.

I'll keep you all posted but please be patient as I don't have a lot of spare time to develop this.

For anyone wanting to play about, the system is:

Plot a long term MA. (MA needs optimising)
Plot PSAR and MACD (parameters need optimising)

Enter long when price > MA AND (in either order) PSAR gives uptrend signal AND MACD line crosses over MACD signal line.

Exit long when PSAR reverses trend.

Enter short when price < MA AND (in either order) PSAR gives downtrend signal AND MACD line crosses under MACD signal line.

Exit short when PSAR reverses.

Cheers,

J.
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Automated trading - yes, algos! 16 Sep 2016 15:56 #7

  • Amo
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Hi Jackozy hope you're keeping well. Have you tried IG's automated tools?

I haven't looked in detail but you can backtest setups to see how would have faired. Not sure if this is what you are looking for.

All the best

Amo
Last Edit: 16 Sep 2016 15:59 by Amo.
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Automated trading - yes, algos! 15 Sep 2016 15:37 #8

  • ronnie
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Nice to see you Jackozy! Hope you and family are well.

We have missed you at ChartsView :)

Sorry myself and Remo have been very busy lately but we will look into it and get back to you with any ideas.

The system sounds great.
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Automated trading - yes, algos! 15 Sep 2016 12:16 #9

  • CT79
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Jackozy! How you keeping mate, it's been way too long!
Hope everything is going well for you and the family

Sounds interesting what you've been working on, unfortunately I haven't got any coding skills but if there's any other way I can help with your system just let me know.

Keep well and keep in contact
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Automated trading - yes, algos! 14 Sep 2016 22:54 #10

  • Ronmould
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Jackozy,good to see you back, first time I've checked in here for a while and when saw your name at the top of recent posts thought I must have somehow got them in descending order!

Hope you're well, are you back in the UK now?

I tried to find some automated way of recording high/low/open/close points on 5 mun bars too feed to an alto but my coding skills were no where good enough. Not a direct solution to your problem but if youre doing it manually couldn't you compare the 5min to the 1min to get a better idea of the execution time...or maybe even use software to record a chart running real time so you could go back to the bar you were interested in?
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Automated trading - yes, algos! 14 Sep 2016 21:34 #11

  • Jackozy
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Hi Chartsview, it's been a while :-)

Just thought I'd pop on and say hello and see if anyone is interested in automating trading strategies?

Over the summer I've been manually backtesting a system to trade FX pairs on 5 min charts and it went quite well, especially in the area of risk/loss control which is must. The only problem is that I was backtesting it each day after work so I don't actually know when during the 5 min bar the trades would have executed - I have to make an assumption that the signal was given at the beginning or end of the bar. This will balance out to a degree but overall I think that the results are skewed and make the strategy look slightly more favourable than it really is.

So, I'm on a quest to find a way of automating then backtesting this strategy (and, by extension, any others).

City Index allow coded strategies but I can't code (it requires either C++, C# or maybe Python, I'll have to check) so I was wondering if there is an App which allows a kind of drag and drop indicator tool which writes the code for you. I've got a discussion going on an algorithm trading group in LinkedIn and have had some really helpful suggestions which I'll look into as soon as I get the chance.

Anyway, just thought I'd pop in and let you know. I'm happy to share the strategy with CV members and, of course, if I'm successful in automating it I'll speak with Remo and Ronnie to see we can do something about that too (assuming it's successful).

Hope you're all doing well and have made a few £s during these last 2 volatile years!

Kind regards,

J
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