Reality of Automated Systems Coding

http://jspauld.com/post/35126549635/...arning-and-hft

This is a very interesting read. It details a guy's efforts to produce software to trade profitably. While he wrote a scalping system for the futures markets many of the principles he discusses can be applied to forex trading software as well. What impressed me was his diligence and the amount of effort he put into it - six months including time to learn to program. He also talks about manually trading to devise his strategy and back testing to train and continually revise it. The coding effort isn't nearly as important as his attention to detail and verification IMO.

Anybody who thinks a profitable EA can be done with a few hours of design and a day of coding effort needs to read this and find out the reality.

By the looks of the article, it looks like the bot he programed went into losses in the last 7 months before he turned it off.

It makes you wonder though why he didn't reoptimise his system for longer timeframes and new market conditions if it was so good? I mean he did make 500k off it after all, it can't be that hard once you know how to do it right?

I can think of a few reasons he might have not wanted to continue. One is boredom - doing something for the first time is exciting and interesting. Doing it again and again can be exhausting and a whole lot less exciting.

Another reason might be hubris. Perhaps he figured that his system was self corrective and that it would again prove to be profitable. After seven months, it didn't happen and he realized that perhaps he hit the sweet spot with his system rather than coming up with a long term winner.

I found his comment about offering to work for any company that bought his software to be a bit disingenuous. I doubt he would have lasted more than a few months given his history of starting projects and then looking for another one.

Very inspirational, thanks for posting.

I didn't understand this paragraph about "buckets", what exactly did he do? Specifically, this sentence "To accomplish this I tracked predicted price moves in 50 buckets that depended on the range that the indicator value fell in."

"Making exact price move predictions

Having indicators that simply predicted an up or down price movement wasn’t enough. I needed to know exactly how much price movement was predicted by each possible value of each indicator. I needed a formula that would convert an indicator value to a price prediction.

To accomplish this I tracked predicted price moves in 50 buckets that depended on the range that the indicator value fell in. This produced unique predictions for each bucket that I was then able to graph in Excel. As you can see the expected price change increases as the indicator value increases.
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