Attachments: Systematic trading

Systematic trading

#941
Jun 10, 2010 8:00am Jun 10, 2010 8:00am

Ipso
| Joined Mar 2009 | Status: Trader | 32 Posts

Quoting papaki

Disliked

I don't think such type of analysis can work anymore. The market have changed a lot. Investors and the way they react has also changed a lot. Analysis would work some time ago, but not anymore. Worries over the exit from the recession have made them mainly look into short term profit. If your analysis work for one day, it won't work for many others.

Ignored

You may want to study the evolution of most complex data metrics (like the one Mikkom presented for instance) over time. It's still much easier and faster to do it with SQL.

#942
Jun 10, 2010 8:22am Jun 10, 2010 8:22am

mikkom
Joined Mar 2008 | Status: Still testing and trading | 1,454 Posts

Quoting papaki

Disliked

I don't think such type of analysis can work anymore. The market have changed a lot. Investors and the way they react has also changed a lot. Analysis would work some time ago, but not anymore.

Ignored

That's besides the point, if I want to test it I can do it fast with sql. We all can have our opinions about the market but facts are what matters and I can get facts much faster with sql than with any programming language.

Try to run the above (totally random btw) example I gave for tick or minute data for all s&p 500 stocks with sql and then any language and you'll see the point.

#943
Edited 9:11am Jun 10, 2010 8:52am | Edited 9:11am

mikkom
Joined Mar 2008 | Status: Still testing and trading | 1,454 Posts

I'm probably going live tomorrow or monday with a set of 13 genetic strats, very exciting times

Curves from mt4 tester (yes I'm going to use mt4 until I have my IB implementation ready) look very similar to the ones I have in my own tester and that in itself is quite a good sign. It's about time to see how this beast works live..

#944
Jun 10, 2010 9:15am Jun 10, 2010 9:15am

Adal
Joined Mar 2009 | Status: Trader | 770 Posts

Quoting mikkom

Disliked

I'm probably going live tomorrow or monday with a set of 13 genetic strats, very exciting times

Curves from mt4 tester (yes I'm going to use mt4 until I have my IB implementation ready) look very similar to the ones I have in my own tester and that in itself is quite a good sign. It's about time to see how this beast works live..

Ignored

Are your strategies implemented as an MT4 EA? It's not clear from what you said.

#945
Jun 10, 2010 9:16am Jun 10, 2010 9:16am

mikkom
Joined Mar 2008 | Status: Still testing and trading | 1,454 Posts

Quoting Adal

Disliked

Are your strategies implemented as an MT4 EA? It's not clear from what you said.

Ignored

That's right. I manually translated 13 strategies mentioned and combined them all to one EA. I might post some tester curves later if anyone is interested (?)

#946
Jun 10, 2010 10:43am Jun 10, 2010 10:43am

bluefish
| Joined Feb 2006 | Status: One Life, One Chance. | 131 Posts

Hi Mikkom!

3 things:

1. Yes, Im interested in seeing those tester curves
2. You´re right, sql is UNBELIEVABLY fast for this type of queries
3. Good luck on your going live!!!!

Bluefish

#947
Jun 10, 2010 11:08am Jun 10, 2010 11:08am

markmm
| Joined Feb 2009 | Status: Price Stalker | 1,197 Posts

Quoting mikkom

Disliked

I'm probably going live tomorrow or monday with a set of 13 genetic strats, very exciting times

Curves from mt4 tester (yes I'm going to use mt4 until I have my IB implementation ready) look very similar to the ones I have in my own tester and that in itself is quite a good sign. It's about time to see how this beast works live..

Ignored

Good luck Mikkom, hope it goes well.

Economists have forecast 9 out of the last 5 recessions

#948
Jun 10, 2010 11:37am Jun 10, 2010 11:37am

M_j
| Joined Nov 2008 | Status: Trader | 1,344 Posts

Quoting mikkom

Disliked

I'm probably going live tomorrow or monday with a set of 13 genetic strats, very exciting times

Curves from mt4 tester (yes I'm going to use mt4 until I have my IB implementation ready) look very similar to the ones I have in my own tester and that in itself is quite a good sign. It's about time to see how this beast works live..

Ignored

All the best mikkom. I wish you much success.

__Thanks__ MJ

#949
Jun 10, 2010 11:47am Jun 10, 2010 11:47am

ForexQuant
Joined Jan 2010 | Status: Trader | 519 Posts

Quoting mikkom

Disliked

I'm probably going live tomorrow or monday with a set of 13 genetic strats, very exciting times

Curves from mt4 tester (yes I'm going to use mt4 until I have my IB implementation ready) look very similar to the ones I have in my own tester and that in itself is quite a good sign. It's about time to see how this beast works live..

Ignored

What a coincidence! I will run my strategies in auto mode next monday too! Best of luck to both of us!

#950
Edited 3:43pm Jun 10, 2010 2:52pm | Edited 3:43pm

mikkom
Joined Mar 2008 | Status: Still testing and trading | 1,454 Posts

Quoting ForexQuant

Disliked

What a coincidence! I will run my strategies in auto mode next monday too! Best of luck to both of us!

Ignored

I don't believe in luck

Some people wanted to see what genetic programming can do.. so here is 2007- to today eurusd curve (at the moment I only have poor quality eurusd data that far but I believe my own tester much more than mt4 tester..) My own combined 4 pair tester curve is much smoother than this is.

edit: I just found a quite annoying bug in function X in mt4 backtester.. It just doesn't work as it's supposed to. Therefore the results shown below are not optimal - it's missing a key part of the algo, I'm not going into detail but I'm not sure if I can get the backtester to work, looks like I just have to go direct to live.. Something to do with time and speed of execution.. anyway f*ck this mt4 tester

Attached Image (click to enlarge)

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Size: 15 KB

#951
Jun 10, 2010 3:46pm Jun 10, 2010 3:46pm

Adal
Joined Mar 2009 | Status: Trader | 770 Posts

Quoting mikkom

Disliked

edit: I just found a quite annoying lack of thing X in mt4 backtester.. A function doesn't work as it's supposed to. Therefore the results shown below are not optimal - it's missing a key part of the algo, I'm not going into detail but I'm not sure if I can get the backtester to work, looks like I just have to go direct to live.. Something to do with time and speed of execution.. anyway f*ck this mt4 tester

Ignored

But your strategy is already tested in your backtester, AlphaFactory, right? I don't understand why you even bother with the MT4 Strategy Tester. It's full of holes and designed in such a way to falsely improve results - http://articles.mql4.com/163

If you know what you're doing with it you can obtain beauties like this one (782% average daily returns, for 3 years): http://www.myfxbook.com/strategies/p...zard-eurchf/51

#952
Jun 10, 2010 4:34pm Jun 10, 2010 4:34pm

mikkom
Joined Mar 2008 | Status: Still testing and trading | 1,454 Posts

Quoting Adal

Disliked

But your strategy is already tested in your backtester, AlphaFactory, right? I don't understand why you even bother with the MT4 Strategy Tester. It's full of holes and designed in such a way to falsely improve results - http://articles.mql4.com/163

If you know what you're doing with it you can obtain beauties like this one (782% average daily returns, for 3 years): http://www.myfxbook.com/strategies/p...zard-eurchf/51

Ignored

Simply because I just want to reconfirm that I don't have any problems with my conversion. I have written software for living and I know how easy it's for the bugs to slip through to live environment.

After going through the code, I'm not sure if it's tester or mt4 in general which behaves strangely, this is exactly the kind of situation where I want to test, test and test before going live.

I'm not trying to get nice curves, I'm trying to get same curves on both platforms.

#953
Jun 10, 2010 4:46pm Jun 10, 2010 4:46pm

Adal
Joined Mar 2009 | Status: Trader | 770 Posts

Quoting mikkom

Disliked

Simply because I just want to reconfirm that I don't have any problems with my conversion. I have written software for living and I know how easy it's for the bugs to slip through to live environment.

After going through the code, I'm not sure if it's tester or mt4 in general which behaves strangely, this is exactly the kind of situation where I want to test, test and test before going live.

I'm not trying to get nice curves, I'm trying to get same curves on both platforms.

Ignored

Well, I would not trust live money to a MT4 EA in a million years, even if I wrote the EA. I consider MT4 too flawed for live algo trading of any serious kind.

But I guess that with proper monitoring you could get something going until you finish your IB platform.

#954
Edited 5:11pm Jun 10, 2010 4:52pm | Edited 5:11pm

mikkom
Joined Mar 2008 | Status: Still testing and trading | 1,454 Posts

Quoting Adal

Disliked

Well, I would not trust live money to a MT4 EA in a million years, even if I wrote the EA. I consider MT4 too flawed for live algo trading of any serious kind.

But I guess that with proper monitoring you could get something going until you finish your IB platform.

Ignored

This is not the first time I have mt4 trading live automatically for me. If you have a decent broker, it's just another platform.

By the way, I'm live as of now. First trades were placed at the change of gmt+1 date.

#955
Edited 3:32am Jun 11, 2010 3:20am | Edited 3:32am

spekkiefx
| Joined May 2009 | Status: Trader | 164 Posts

Mikkom,

It somewhat fascinates me that as a skilled java object orientated programmer you have not integrated the testing and executing framework(from day 1). This is a minor job compared to converting/testing things to MT4. But more important than that as you stated yourself a lot less risky as the same code base is executed.

I am a database boy yet I saw the strength of Java for that purpose. I wish I was so insightful with my strategies (-: On a positive note I can simulate my losses again to the pip.

#956
Jun 11, 2010 6:26am Jun 11, 2010 6:26am

mikkom
Joined Mar 2008 | Status: Still testing and trading | 1,454 Posts

Quoting spekkiefx

Disliked

This is a minor job compared to converting/testing things to MT4. But more important than that as you stated yourself a lot less risky as the same code base is executed.

Ignored

It's not a minor job with IB (or at least was when I tried) - at that time api required TWS to be running and TWS requires a boot every night at 1 pm night local time - not something I was going to do.

With new api gateway things are (that's what I've heard) easier so I'm going to do this on some day but now I just want to verify my results with real money account and for this mt4 [with a broker that doesn't take opposite positions] is just fine.

#957
Jun 11, 2010 6:35am Jun 11, 2010 6:35am