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Trading: Primarily Energy but also a little Equities, Fixed Income, Metals, U308 and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,059 since Dec 2013
Thanks Given: 4,410
Thanks Received: 10,226
I was playing with Ehlers "Truncated Indicators" (TASC 2020-07) recently and was surprised how much the indicators changed, and appeared more responsive when you truncate/remove the very old price memory. I also recently programmed up his system from " Rocket Science for Traders: Digital Signal Processing Applications" and ran it through Multiopt with very disappointing results.
Correct. Write it as a function, then have both the indicator and strategy call the function.
One of the most import concepts in software development is code resuability, thus the purpose and utility of functions.
Speaking of Ehler's, I have a ton of his code if either of you are interested, particularly in functions. Let me know and I can package it up.
I have done a ton of work on his various cycle concepts, but most have ended in dead ends. I have had very little success implementing his ideas into strategies. The best success we have had is with his TrendFlex/Reflex indicator on HO. It was in TASC earlier this year.
I would be interested but please don’t spend a ton of time on it. I guess this code is straight out of Tasc? Various articles? My attention in my trading ideas would be simply to use these as filters for an entry with an edge to possibly filter out losing trades. I can see how this endeavor would seem like trying to find a needle in the hay stack.
I often wonder if these writers are actually using their ideas in their own trading? I will also take a look specifically at the trendflex/reflex indicator you mentioned
Quick check in on the algo trading front. 6 months into live acct trading and I currently have 9 strategies that have passed incubation and are making new highs as we speak. I recognize that these moments are fleeting because most of the time is spent in some form of draw down. That being said I can’t be happier with performance. I’m waiting for something bad to happen to bring me back to reality but so far nothing like that has occurred.
I have had a max drawdown of equity of $5000. But the trend is up over all. My fear at this point is my worst drawdown ahead. And what happens if I have 2-3 strategies that reach new max drawdown levels? That would break the account easily. I think this is where having 15-20 strategies will be beneficial to the trader because of diversification.
John Ehlers trades most of his ideas, from what I understand. Generally his TASC stuff is part of a larger whole, which is all around signal processing and cycle analytics. In other words, rocket science.
If you come across one of his ideas and need code, just let me know. I probably have it.
Well the month of January officially sucks for my algos. Things were going so well for such a long time. I knew something like this was on the horizon and today I took a beating that has caused me to just pull the plug for a bit to breath. I can't watch as the market keeps ripping away profit like it was smoke in the wind. I have noticed that when things go wrong they tend to go wrong in several different areas making it much harder to bare.
I have decided to take a breather from my algos just for a few days to assess the situation and make some adjustments. The good news is I locked in a healthy profit from my start date and now is the time to make adjustments to my risk profile. I was approaching my max risk drawdown of 25% which was quite brutal. The sad part is that each of my strategies are doing what they are supposed to do and none have reached a max drawdown level. They just all seem to have pulled back at the same time or at least within a few days of each other. I just can't take that kind of beating anymore. I definitely need to focus on correlation now more than ever. I have been putting it off for quite a while. I tend to just wing it a bit as the gambler in me wants to be in a trade at all times.
It is very hard to trade with an undercapitalized account. I figure my minimum account balance should be roughly 100K but I'm a long way off from there.
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals, U308 and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,059 since Dec 2013
Thanks Given: 4,410
Thanks Received: 10,226
Similar thing happened to me when I first started Algo trading like this. Over a period of many months mostly wins accumulated into a nice profit, and then in a matter of a few weeks I wiped most of it out. As you say everything seemed to lose at the same time.
I actually talk about correlation of systems in my iSystems journal in this post here. (Note my comment above wasn't about iSystems, it was about algo trading with Tradestation). Amazing how correlation can help and hurt you.
Sounds like you are doing the sensible thing right now, instead of letting the gambler in you take over.
This may have been the first bad drawdown you've experienced, but unfortunately it will not be the last.
I remember a number of years ago, I looked at winning days vs losing days. I found during one year, I lost a lot more days than I won. But overall I had a good year, even though it seemed like I was almost always in a drawdown.
You'll recover, and be a bit stronger mentally because of this!
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals, U308 and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,059 since Dec 2013
Thanks Given: 4,410
Thanks Received: 10,226
Those few (really) good days are also inevitably what turns my years from being blah to respectable. I think in my NG trading last year, my best day was 12% of my year! That's why I've always been amazed at the make $X by 10 am and then go and play golf mentality. The days I've made $X by 10am are the days I'm glued to the screens. The days where I haven't made it by 10am are the days you should be playing golf! (In reality I'm glued to the screens all day every day. Lot more fun than playing golf!)
Already recovering nicely now that I took a step back and lowered my total exposure to long side risk. Part of my frustration is that I just started a new account with live trading and I took on too much risk in the beginning days and that has further crippled my ability to take on more than one strategy. Right now I have reduced down to one strategy for that new account. I just need to be patient and wait for proper account sizing to implement more strats.
I am noticing that the energy markets seem a little bit more suited to frequent trading strategies. I can see why you like to focus on them in your trading. I could picture a world where the only thing I traded was energies but I also am aware of the current changing market conditions and how this may affect the tradability of CL for instance. I wonder where the CL market will be 50 years from now with electric cars being so much more widely available.