Is there anybody really winning?
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Few are winning but a lot are whining, that’s for sure.
Do not take it for you but most people come to automatic trading for the wrong reason: find a simple way to win in the markets. I’m going to repeat myself but automatic trading is much more work and investment than manual trading. It is a fact. So, indeed, few people declare that they earn money.
Tip of the day: Wanna earn money easily? Make a simple ETF portfolio and wait.1 user thanked author for this post.
I believe the bigger and more complex the strategies, the worse they will perform.
That’s why I love ProRealTime, because it’s a very basic easy language, it’s the way you speak. Well.. some features are truly missing, but you can write strategies in a few lines, not thousands!
You may have huge machines digging the earth deeper and deeper or simply use both hands… I don’t think the Holy Grail is buried that much underneath (who would have ever done that?!).
Maybe it’s in your brain…. a simple winning idea, maybe you found it already but don’t know it’s the Holy Grail (the Holy Grail is not shining,it’s not made of gold).:-)
1 user thanked author for this post.
Hey there, im glad you liked my post. Wanna add a couple of things:
When i first started i belived i needed 50-100 lines of code with crazy custom-made indicators and machine learning and 1000 variables all lining up to give me the holy grail of systems.
Now however i see that its much much more easy to run a bunch of “OK – Good” systems rather than tinkering making “perfect systems”. I didnt even know it but i discovered that this is also the mantra of one of the best traders out there: Kevin Davey. He’s preaching that running 10+ diversified, non correlated algos are far superior than running 1-3 systems that looks “amazing” in backtest, and i couldnt agree more. If you run 10 OK non correlated strategies, you might see 1-2 loose, 1-2 win, 4-5 doing nothing 1 day.. But 1 year later when all of your 10 algos are profitable you will have experienced (hopefully) a much smaller drawdown and a bigger runup because of the diversification of systems and hopefully markets and directions (long and short).So far i got 12 systems running live, but the majority is Long only in stock indicies. Meaning when times are shitty and volatile in the stock markets, im experiencing drawdown because my systems are way too correlated. Im working on diversification every day now. Trying to short stock indicies, trying to create systems for other markets and so on. I have also done analysis on my current systems and their correlation and its actually surprisingly good considering that the majority is Long only. Because some are breakout and some are mean reverting, some are in the US, some in europe (dax), some are 30 min timeframe, some are on daily timeframe, they do trades on different days and different methods. So im getting some diversification but the stock markets are correlated for sure and 1 huge fake spike up could activate 4-5 algos that go into instant stop loss if the move up just comes crashing down the next minutes. its all part of the game..
Regarding my “amazing profits”, i have 1 algo that is my first profitable algo (the one im talking bout in the post “thoughts on profitable…”, its very much profitable today and doing a great job in the Dax even tho the Dax is down like 20% from peak high now. (long only) so its very possible. But I also have a code that is trying to “buy the dip” in nasdaq and seeing “dips break down” day after day after day, for months, has been rough. it has been bleeding money for the past couple of months, but hopefully whenever the markets return to new highs i will be ready.
my philosophy when it comes to trading systems are: Be 100% sure that even if markets go down -20% you will not bleed to death!!!!! Risk management is priority #1 when making systems. You should not have to manually turn on and off systems. If you do that then there has to be a reason. if you believe that the reason = true, just test it! If the reason is “finance numbers coming out” then just manually check the charts and trades on the days in your backtests where important numbers came out, check the results and do what you need to do accordingly.
So yea some of my strategies have been bleeding as the markets have dropped, some have made amazing profits while markets have dropped. that is diversification and that is “the holy grail” in my opinion. Keep creating more and more systems rather than increasing the amounts of shares/contracts youre buying.
Oh btw my most profitable Dax code consists of 2 conditions for buying and 1 for selling (+ stop loss, profit target, and trailing stop loss) So if youre not counting the trailing stop loss its basicly like 10~ lines of code tops.
Some of Kevin Daveys most profitable systems use no indicators! (Maybe 1 as a filter) but he uses alot of “Higher highs” and “Lower lows”. Maybe that will help you.Also another tip that alot of the pro’s use is this: “Define the “Time” your trade needs to setup” So what exactly does this mean? Well if your on the daily timeframe and you see a move up testing the area around the highest high for the past 10 candles, you can try something like this:
condtion 1: high[3] > highest high past 10 candles
condition 2: close[3]< highest high past 10 candles
(So far meaning that the high of the candle 3 candles ago was above the highest high, but it closed under it)
Condition 3: close [2] < close [3]
condition 4: close [1] < close[2]
condition 5: close crosses over close [3]
This is honestly just something i wrote now from the top of my head but basicly it means that we see a test of the highest high, then a couple of candles going down before the re-test of the highest high level and it breaks above the last 3 candles.
I have now defined the “time it takes for my setup” and the whole setup. I could go more spesific and say that the difference between close[3] and close [1] has to be such and such++But yea thats an idea that dosnt require any indicators, and maybe it would work better if we said “Close > daily average[200](close)”, maybe not. test, try and so on.
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Sorry for doubleposting and maybe this goes without saying, but if you think that what im saying regarding “10 diversified OK systems are better than 1-3 Great looking systems” makes sense to you, check out Kevin Davey’s videoes free on youtube as he will explain it alot better than what i am able to do here.
Also would like to mention that i am not a part of his “Strategy factory” club or anything like that, i just happen to share the same views on trading as he does and thats why i mention him alot. That being said i would like to join his strategy factory club some time in the future but its fucking expensive lol. It costs around 3K$ but u can get it for “free” if you open a tradestation account and do your trading there. He has won the trading cup 1 time, and came in second place 2 times, this was in 2005, 2006 and 2007 i believe. Also 2017 and 2018 winners are both former students of his so.. he’s doing something right to say the least. 🙂
Also: https://www.prorealcode.com/topic/feel-like-giving-up/
For sure. I belive that with other peoples knowledge you can speed up your own learning curve by alot. I just got Davey’s book “Building winning algorithm trading systems” + Jaekle & Tomasini’s book: “Trading systems: A new approach to system development and portfolio optimisation”
Ive just flipped through them (got them on friday) and from what i seem they both talk about having multiple but also very simple systems and the key to success is robust and diversified systems.
Now however i see that its much much more easy to run a bunch of “OK – Good” systems rather than tinkering making “perfect systems”.
Thanks for sharing your thoughs, I feel inspired by the concept of simple strategies and I open this conversation. Hope all of you like the idea.
https://www.prorealcode.com/topic/multitimeframe-simple-conditions/
1 user thanked author for this post.
I believe the bigger and more complex the strategies, the worse they will perform.
That’s why I love ProRealTime, because it’s a very basic easy language, it’s the way you speak. Well.. some features are truly missing, but you can write strategies in a few lines, not thousands!
You may have huge machines digging the earth deeper and deeper or simply use both hands… I don’t think the Holy Grail is buried that much underneath (who would have ever done that?!).
Maybe it’s in your brain…. a simple winning idea, maybe you found it already but don’t know it’s the Holy Grail (the Holy Grail is not shining,it’s not made of gold).:-)
I think a balance is needed for super simple systems are no better than super complex . I think robust dynamic intuitive algos are complex by nature , you just need to simplify them as much as possible without losing the logic and edge . Said it 100 times the answer is not in curve fitting . If your algo doesnt have or , else , if , then decision trees you have zero dynamicism and little chance of success . Markets are dynamic and volatile and algos need to be able to adjust and filter to become more intuitive to market conditions , it’s not easy and i like it that way . A set of 4 or more separate algos that are switched on or of by another set of filters is the way forward . At least for me , you need to be clever with logical flow charts , it has to make sense
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