Bespoke indicator / semi automated trading
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Hi all
Comments / amendments / suggestions welcome:
I’m trying to find a simple way around 1) not being able to use automated trading strategies coded and backtested with ProOrder with Interactive Brokers; and 2) not being able to have partial exits with IG. (I’m not an IG customer so don’t know if this bit is possible).
I thought of creating my own indicator with the buy or sell conditions and have it give a +1 for a buy or a -1 for a sell. Then set 2 alerts which can then be set and “forgotten” about. 1 alert for a buy (for when the indicator = 1) and 1 alert for a sell (indicator = -1). I’m not sure you can combine the two alerts although I’m happy to be told otherwise. You can have defined targets and stops for when the entry order is triggered.
Here is the simple code for the indicator (any suggestions or revisions to the code welcome):
123456789101112131415161718192021//Buy conditionsc1 = RSI[14](close) < 30c2 = (close > open)BuyOK = c1 AND c2//Sell conditionsc3 = RSI[14](close) > 70c4 = (close < open)SellOK = c3 AND c4Result = 0If BuyOK THENResult = 1ENDIFIF SellOK THENResult = -1ENDIFReturn ResultAttached is a screenshot of the alerts running on the Dow 15M futures. You can see beneath the price chart the new indicator “eg Conditions Test”. You can also see the 2 sets of pending orders on the price chart (waiting for the indicator to go to +1 or -1). Each has a target or 10 and a stop of 5 (although there seems to be a small lag in updating the orders when the current price moves).
The alerts are set up to trigger market orders at the end of the current bar (if a +1 or a -1). This is the same as the ProOrder engine?? However I do see that you can have the orders trigger real time. Idea is once an order is triggered and the target and stop is added you manually delete the opposite order (I don’t suppose this can be done automatically??). You can then be able to manually move the stop and target if you want. This is not an automated system as still requires trader input but at least you can set it up and work on something else.
Question: if this is used with IG could you then split the target into multiple targets?
Another question: should this work with Interactive Brokers (until we can trade fully automated strategies with them)?
And one more: is there a limit to how many or how complicated the conditions are within the indicator code?
Any thoughts appreciated. Thanks all, and happy weekend
1 user thanked author for this post.
Interesting / thought provoking!
Q1. If this is used with IG could you then split the target into multiple targets?
A1: Yes with a manual trade you could for example Buy 10 lots and then have 10 x 1 lot Limit orders as Exits.
Q2: Is there a limit to how many or how complicated the conditions are within the indicator code?
A2: No
On Manual, you can set up an ‘OCO Order’ … One Cancels the Other.
Can’t answer the question re IB, sorry.
Cheers
GraHal1 user thanked author for this post.
Hello jonjon,
concerning the partial exits: In an automated PRT trading system it is also possible:
1234567if buyingcondition thenbuy 2 contract at marketendifif sellingcondition and countofposition >1 thensell 1 contract at marketendif1 user thanked author for this post.
Hi Jonjon,
I’m running an RSI (live) based system using IG autotrade and have been doing so for about 3 months.
The results on are on Twitter, which I use as my “scrapbook” for convenience. If you put “Hughon” in the search and it should come up.With reference to your first point – why not just use IG . My Auto Trader (Ruby) enters the trade and puts in 20 point stops and targets.
It is been reliable and does as requested by the code.
I’m not sure of the merits of waiting for a signal and then manually triggering a trade for several reasons.
The first reason is that you have to be present (screen watching – I suppose you could call it). Isn’t this what the robot should be doing ?
(I could fill a book about why I’d like to auto trade ! My main issue with trading is “Time” and auto trading is a solution but that also presents
challenges ! = coding)
My second reason for using Auto trade is to try and achieve and measure “the system’s” effectiveness. At the moment, I try as best I can, not to fiddle with targets and stops.I can override it at any stage but need to remember to reset the auto trader if I do
as it will have stopped if I alter anything.With reference to your other point. I don’t understand why you need to cancel the other trade – being an RSI based system and surely you’d want to take the
Long or the Short. I find that bit a bit confusing.And finally – GraHal’s suggestion is a good idea – just create different AT codes with 5 – 10 – 20 point targets Long and Short.
A few closing ideas
– 15 mins seems like a long time frame to me – I run 1 min – 3 min and 5 min. I like the 3 & 5 min at the moment.
– Perhaps consider the auto trade to enter trades and place stops – exit manually …(just remember to reset).
– A point of interest : Last Wednesday FTSE 25.7 point dividend – there is no way of coding this in. The DOW and S&P have different dividend adjustments several times a week.
(I don’t trade DOW or S & P, so I’m not sure of the detail (See IG Twitter feed) so whilst you may see certain moves they may not all they appear after finance adjustments.)
– No auto trade will ever be perfect – but it will give you consistency.Hope this helps…a bit ! I’m still living with the Jonjon indicator BTW – I like it when it goes to ” 2 “
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