How realistic is it to develop successful strategies on very low timeframes?

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  • 12/15/2021 at 3:30 PM #183389
    GraHal

    A good / useful (essential maybe?) prerequisite for coding a 5 sec / any Algo would be to trade profitably on a manual basis in 5 sec TF.  Then try and code one’s manual strategy.

    Following above method, if the Algo takes losing positions, it is generally easy to spot why.

    12/15/2021 at 4:22 PM #183398
    phoentzs

    The entrances are not the problem. I have a functioning trend following system which should work manually in every time unit. I think the problem is with the exits, which I was only able to automate using TP / SL. I haven’t found another way yet. If I look through the 10 second chart, this strategy works there too. At least manually. Are there any tricks for getting out?

    12/15/2021 at 4:38 PM #183403
    GraHal
    phoentzs wrote:

    Are there any tricks for getting out?

    If the ‘trend line’ is broken.

    If a Long trade and there is a LH and a LL (opposite for Shorts).

    Above often accurs (on 5 sec TF) after about 30 to 35 points rise.

    (Re If ‘trend line’ is broken … I have expected to see Arrays used to show this, but I’ve seen precious little coding / Algos based around Arrays … have I missed it or am I not reading the relevant Topics??) 

    12/15/2021 at 6:06 PM #183406
    PeterSt
    phoentzs wrote:

    Are there any tricks for getting out?

    It may sound daft, but all what this requires is getting out at expected maximum profit. This is not easy to create of course, but let’s say that it requires the best trailing system in the world (you can think of). Hopefully this is helpful and otherwise it could be fun to watch :

    See the attachments;
    First of all you see an exit which can’t be improved upon. That is, not if I tell you that the Short (red arrow) is additional and waiting longer would imply a loss on that additional purchase (see peak at 15:55).  Now, key here is the profit of a total of USD 310 while the TP is set at 160 minimum. Thus, when the system thinks all things will turn bad, it is allowed to exist at 160 or more (there is much more to it, but for this store it’s fine). This thus means that the 310 was reached by trailing only. Well, look at the bottom graph of the price and the green exit cross. Isn’t it totally easy to see that the exist should be there … after we know all the facts ? (hence looking at the remainder of the graph, only ocurring later). Isn’t it also a kind of obvious that you can do this only with about real-time responses (like the 1 second TF) ? … Of course trading at the tick level would even be better, but that’s for V12 (ahem, hopefully).
    Anyway, looking at the price development you see something you would use with manual trading just the same : topping. But now at the 1-second level and the program is recognizing that this happens. This is not really exciting, BUT it is the trailing which needs to be superb (and fill with little tricks). There is no indicator involved whatsoever, but I can “code” it.

    It gives a very natural feel to code this, knowing that I am responding to trades (of others) – sadly not at the tick level, but alas. How in the world would I be able to do that at a 5 minute TF ? To me this is impossible. I could use indicators all right but they would be strange static theoretical means (to me). And thus the answer to your question : The exit is more easy with the shortest TF because the underlaying happening (trades from others) is a natural thing.

    12/15/2021 at 7:12 PM #183412
    phoentzs

    I agree with you. In the M1 or M5 timeframe you are still moving in the direction of big money, i.e. in the main trend. At least you should, I heard. Everything that is smaller somehow works differently. Personally, I would code it with indicators, pullback / trend following. Do you have any related code for me / us that you could possibly share? I still have no idea how to code this to survive in 10 … 1 seconds.

    12/15/2021 at 10:16 PM #183415
    borderlineJim

     

    PeterSt wrote:

    Fun is also that this forward -Live- testing is quite emotional, especially with low volatility. And this part of the fun too, can only be achieved with the lower TF.

    GraHal wrote:

    I do above 100% and am constantly quitting Algos in Live because they enter a trade going the wrong way (to what I would do manually).

     

    Interesting stuff guys… would you say that you approach is almost ‘semi-discretionary’ trading using an algorithm??  I hope this makes sense.  By quitting and readpting Live systems, based on experience and observation… very interesting.  I hope there is further discussion of this topic.

    Jim

    12/15/2021 at 10:57 PM #183416
    GraHal

    Yes ‘semi-discretionary’ that’s me!!  Good description! 🙂

    Also I change TP / SL values on Algos via the IG Platform if losses get much over £25 ish; the trade then stays open as a manual trade, but the Algo quits.

    I do above if I think price direction is topping / bottoming … I hate it where an Algo exits at a loss just before loss would have gone back to profit!  At times I do wonder why I bother with Algos at all!? 🙂

    I emailed (months ago) a Suggestion to PRT that there be a way – in the Auto Trading window – for us to view  notes that we make against each Algo. This would enable us to describe the Algo (in Notes) TP / SL levels / exit conditions so then a judgement could be made re … is the Algo going to exit at a loss just as the market is turning!?  Then maybe I not need to exit via the IG Platfrom etc.

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    avatar borderlineJim
    12/16/2021 at 6:59 AM #183423
    PeterSt
    PeterSt wrote:

    Fun is also that this forward -Live- testing is quite emotional, especially with low volatility

    GraHal wrote:

    I do above 100% and am constantly quitting Algos in Live because they enter a trade going the wrong way (to what I would do manually).

     

    borderlineJim wrote:

    Interesting stuff guys… would you say that you approach is almost ‘semi-discretionary’ trading using an algorithm??

    Haha, No, not me. It doesn’t even come to my mind to touch a running system. I kinda know its flow and I won’t touch that. Also, technically I should not interfere because it looks at the past and acts upon that. I may refer to the attachment and observe how beautiful that looks. It’s like a normal price development – but this is yesterday’s trades and its wins and losses.

    Interfering is IMHO a psychologically wrong thing to do. As a first it would not allow forward testing (at all). So I may pray it enters with the correct direction, but nothing tells me that it will lose if it doesn’t. But sure, I can imagine that on the larger scale a clear direction is visible, and if the system does not operate like it, it is better quit and adjusted for its error. But working with a 1 second TimeFrame is not exactly working at the larger scale. 🙂 It works with “mini trends”;
    In the 2nd attachment I hope to show what I mean – a very normal thing. This is a M5 Future and the larger trend is obviously upwards. This is what most people would work with, with possible action at 03:00 there. But working at the seconds level you see numerous mini trends. For example, starting at 03:00 I see 13 of them at least, each lasting 20-25 minutes. This is typically what I work with, thus implying 20-25 trades, unless the profit  against the Spread is insufficient per trade – then it could be one large only (likely in this case because it looks nicer than it is (very low volatility because night time). 3rd attachment shows the same in S2.

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    avatar borderlineJim
    12/16/2021 at 11:28 AM #183438
    GraHal

    I currently have 85 x Algos in my Live AutoTrading window and if I am in the mood for emotion and nobody likely to knock my door etc, I do at times start all 85 Algos!

    So this is probably why I stop Algos and / or modify via IG Platform etc … because otherwise the emotion might blow my mind or my Account!! 🙂

    Then afte a few hours of above, maybe even a full day if low volatility, I think is this worth it … I check the overall Detailed Report for the portfolio and if it shows > £100 ( £147 I recall last time I did above) then yes it was worth it.

    I would do above if I am not in the mood for sitting in front of the screen on a low volatility day (waiting for a good entry point). I have the IG App on my phone set up with an audible alert when a position is opened, I then run to my big screen (28 inch monitor) to check if the Algo is going the right way (exit if not). This way I can trade (semi discretionary) while getting on with other tasks.

    12/16/2021 at 11:57 AM #183442
    PeterSt
    GraHal wrote:

    I have the IG App on my phone set up with an audible alert when a position is opened, I then run to my big screen (28 inch monitor) to check if the Algo is going the right way (exit if not). This way I can trade (semi discretionary) while getting on with other tasks.

    Hahaha, big fun !
    I don’t suppose we can change the sound of the phone for entries vs exits, right ? Profit vs loss would also be nice.

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    avatar GraHal
    12/16/2021 at 6:29 PM #183466
    phoentzs

    Which trading hours do you use for 5 seconds Algos? Main trading hours of the respective asset or “always”?

    12/16/2021 at 7:27 PM #183469
    GraHal

    My Algo (results for last 12 months posted above) trades over the full 24 hour period.

    But try anything! Good to have a few versions running … 24 hours, market hours etc.  I’ve got one 3 min TF Algo that runs for 40 mins only during the 1st hour of opening of the DJI.

    Problem with 5 sec Algos is short backtest period so forward test sorts the good from the bad! 🙂

    12/16/2021 at 7:35 PM #183471
    phoentzs

    The more I think about it, the more tempting I find the topic. The backtest period is of course a problem. Couldn’t you also use signals from M1 and run a trailing stop in 10s or so?

    12/16/2021 at 8:40 PM #183479
    GraHal

    Yes deffo, when I manual trade on 5 sec TF I also have open a 1 min and a 5 min chart and even a 1 hour at times.

    At times the 5 sec Chart has so many short duration ups and downs that it is difficult to see the bigger picture.  I then check higher TF  charts. Either that or zoom out on 5 sec (from my normal 100 bars) and then the 5 sec chart looks more like the 1 min.

    I would say though … use the higher TF charts to check market structure, i.e. to make sure not to take a Long just as price is topping out (and vice versa)?? This is what I find so often happens, Algos have been optimised to take trades in strong trends, then one has to endure the stress of a drawdown before getting back into profit?

    On 5 sec TF, if we get entry right, the trade should get into profit after 10 to 15 seconds, then exit after 30 to 35 points (maybe 60 to 70 points) so exit is often after only a few minutes.

     

    12/16/2021 at 9:06 PM #183481
    phoentzs

    @ Grahal: You are a good teacher. The “wave diver” that I shared in the library years ago is buzzing around in my head … M1 SMA20 / 200 as a trend and 10s 20/200 as entry / exit … kind of a pullback. It looks pretty good on my smartphone chart … maybe I’ll get to coding that before Christmas. 😀

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    avatar GraHal
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