sam028 

IB "tick data" is in fact 4 snapshot/second. Not sure why they keep doing this in 2018...

PK 1 

For my combination of IB and MC I can say the tickdata is something like 1 second data.

It was about the combo MC + IB. In MC the datasource Interactive Brokers is defined as I said above. One can check this in Quote Manager.Datasource.Interactive Brokers.Settings. Futhermore knowing what strange tick data IB sends out even for SPY I don't want to get more detailed data, not thrustworthy and invalidating automatic systems. I had conversations with the support, telling them the actually not existing spikes in their data-feed but either they don't care or they send out data like that on purpose.

rlstreet 

So my advice: don't take it just works for an answer, but try to come up with a mini theory why something is working, by doing some research. Imo this way you really learn and develop the skills for an algo trader. Sent using the NexusFi mobile app

Hello rlstreet,

what you are said make sense and I perfectly understant what do you mean. BUT this strategy is designed with pure price action around 3 level of price ( VAH , VAL and POC ..all from the previous day and calculated in the cash session). It just analize what the prices are doing around those levels and react accordingly to my rules. The systems doesn't care what is happening in the world. All that matters are those 3 levels and what prices are doing near them and what patterns the X previous candles are designing.

After all you post this morning I double checked if entries are correctly made at the level (price) that I want and I printed for debug all levels and entry/exit prices and they are matching perfectly.

So for sure I'll add this Systems live on MC with the datafeed to see how entries are performed in the upcoming months and let's see if they're going to match the backtest.
In the meantime I'll try to convert this strategy for the MINIDAX and it is not so fast because , due to the difference of volume mainly, I cannot simply apply it to the minidax chart but I have to rewrite the strategy using minidax as DATA1 and DAX al DATA2 and then only refer to the minidax for the buys and sells.


Anyway none of you has commented the fact that the system has been tested over untouched data from 2008 to 2013. I know that usually out of the sample data are the last year or six months till today .. but even if those data are in the past they were still untouched and the system perfermed as it should also in those years. Don't you think this is a plus value? Or at least those 5 years have the same values of a more recent year of out of sample datas?

Regards,

David

Dvdkite 

Hello rlstreet, what you are said make sense and I perfectly understant what do you mean. BUT this strategy is designed with pure price action around 3 level of price ( VAH , VAL and POC ..all from the previous day and calculated in the cash session). It just analize what the prices are doing around those levels and react accordingly to my rules. The systems doesn't care what is happening in the world. All that matters are those 3 levels and what prices are doing near them and what patterns the X previous candles are designing. After all you post this morning I double checked if entries are correctly made at the level (price) that I want and I printed for debug all levels and entry/exit prices and they are matching perfectly. So for sure I'll add this Systems live on MC with the datafeed to see how entries are performed in the upcoming months and let's see if they're going to match the backtest. In the meantime I'll try to convert this strategy for the MINIDAX and it is not so fast because , due to the difference of volume mainly, I cannot simply apply it to the minidax chart but I have to rewrite the strategy using minidax as DATA1 and DAX al DATA2 and then only refer to the minidax for the buys and sells. Anyway none of you has commented the fact that the system has been tested over untouched data from 2008 to 2013. I know that usually out of the sample data are the last year or six months till today .. but even if those data are in the past they were still untouched and the system perfermed as it should also in those years. Don't you think this is a plus value? Or at least those 5 years have the same values of a more recent year of out of sample datas? Regards, David

Let me give an example of a hypothetical mini theory: my system is exploiting the morning in flow of relative dumb money, which has the tendency to create more momentum than during later on day.

Ok it is a theory, so need to research: 1 is there more momentum in the morning than during the rest of the session, are there special times,days, how to measure momentum 2 dumb money what is it, can I find more info on the topic morning opening.

In this way you create a clear picture of your problem space,odds, so after this work you can find rules, levels, to exploit this inefficiency. And maybe most important you create a deeper understanding of the markets.

At this moment you have a set of rules and no idea what you are exploiting. And you mined the rules so it gave the idea you have caught a pattern that could persist in the future.

Don't get me wrong, maybe you on to something, i don't know. Luckely there are many ways to find out before allocating real money to it: simulation, robustness tests.


Sent using the NexusFi mobile app

Dvdkite 

Hello everyone, I came here (nexusfi.com) at the begininning of the year and I've found this place as a very valuable source of information... TRADE ANALISYS

@Dvdkite, I'm not able to get a good auto system so I am impressed by your information.


Seems a shame to go for such a long time missing out on profits if your system actually works. Perhaps you could determine an acceptable loss ratio of your account size and just run for a day at a time with a max daily and overall loss amount including a max drawdown. So if you do run well at first and run into a poor period you do not give it all back.

Professional members here will surely think this a foolish idea but I was never considered the brightest bulb in the set.

As for the information above, I would just comment that your losses have 50% more bars than your wins. Perhaps you can implement a maximum amount of loss within X bars or you close out early. I.E... after 9 bars Profit is > - $150 or you close the trade. Or instead of bar count you use clock time and a minimum value. Ninjatrader code:

if ((BarsSinceEntryExecution() >= MaxOutBars)
&& (Position.GetUnrealizedProfitLoss(PerformanceUnit.Currency) <= MinBarsProfit))
{
ExitLong(Convert.ToInt32(Position.Quantity), @"MaxBarsL1", @"Long1");


I also recall that in NT7 backtesting there was an anomalie that if the trade opened and closed in the same bar it should be suspect because there was no way to tell the real procession of the bars and a win might actually hove been a loss. My guess is you do not have that issue but felt it might be worth looking into.


As for trying to start with the MDAX before trusting it with the FDAX, I would hesitate there. I have limited experience with either contract but have seen enough to know that the very shallow volume of the MDAX leads to spreads that would not be seen on the FDAX. Spreads are "Bad" for day traders in MHO. So take a little time to watch the two DOMs and see what I mean.


Hope you are successful and possibly willing to share some insight with the rest of us struggling wannbe's.

rlstreet 

Let me give an example of a hypothetical mini theory: my system is exploiting the morning in flow of relative dumb money, which has the tendency to create more momentum than during later on day. Ok it is a theory, so need to research: 1 is there more momentum in the morning than during the rest of the session, are there special times,days, how to measure momentum 2 dumb money what is it, can I find more info on the topic morning opening. In this way you create a clear picture of your problem space,odds, so after this work you can find rules, levels, to exploit this inefficiency. And maybe most important you create a deeper understanding of the markets. At this moment you have a set of rules and no idea what you are exploiting. And you mined the rules so it gave the idea you have caught a pattern that could persist in the future. Don't get me wrong, maybe you on to something, i don't know. Luckely there are many ways to find out before allocating real money to it: simulation, robustness tests. Sent using the NexusFi mobile app

I understand what do you mean. My rules are similar to a classic TPO use (it establish the BIAS if it open above, below or inside the previous value area) and they work only in proximity of the Value area high and low... as you said mine are actually only RULES built around those levels using some market profile theory under a different point of view. You're right saying that I don't know what's behind this behaviour and your suggestion make me think if it could be useful to do more research about this accordingly to the specific entry/exits of my system. I will definitely do some research in august when I'll have some free time and see if I come upwith something as this is something new for me.

Anyway my purpose (not only for this strategy in particular but for all) is to find rules and theories (in my case : theories = set of working rules) that works and I want to look ONLY AT THE CHART and NOTHING ELSE. I don't want to depend from news, datas, fundamentals and whatavere... I only want (at the moment, no ones know what will bring our attention in the future) to take care of pure price action and candles pattern.
I want to specify that before come to some decent results with my backtest like in this system I made lots lots of other strategies even with good backtest that revealed to be not so good at the end... I made this post beacuse I finally found something that convince me enough to discuss and take critics from you experts.

Regards,

David

jmont1 

@Dvdkite, I'm not able to get a good auto system so I am impressed by your information.

Thank you. But as you know I still have to see if it's a valid system in real trading before so I can be totally satisfied.

jmont1 

Seems a shame to go for such a long time missing out on profits if your system actually works. Perhaps you could determine an acceptable loss ratio of your account size and just run for a day at a time with a max daily and overall loss amount including a max drawdown. So if you do run well at first and run into a poor period you do not give it all back. Professional members here will surely think this a foolish idea but I was never considered the brightest bulb in the set.

Yes this is something I thought too. But this will be my first strategy to go live (as I'm new in this word of automated system, but I'm not new in the world of programming/coding) so I think I could do something in the middle like test the strategy in simulated trading for at least 1/2 month just to check if entries are made at the same way as they were made in the backtest.. and then thing about put real money on it.

jmont1 

As for the information above, I would just comment that your losses have 50% more bars than your wins. Perhaps you can implement a maximum amount of loss within X bars or you close out early. I.E... after 9 bars Profit is > - $150 or you close the trade. Or instead of bar count you use clock time and a minimum value. Ninjatrader code: if ((BarsSinceEntryExecution() >= MaxOutBars) && (Position.GetUnrealizedProfitLoss(PerformanceUnit.Currency) <= MinBarsProfit)) { ExitLong(Convert.ToInt32(Position.Quantity), @"MaxBarsL1", @"Long1"); I also recall that in NT7 backtesting there was an anomalie that if the trade opened and closed in the same bar it should be suspect because there was no way to tell the real procession of the bars and a win might actually hove been a loss. My guess is you do not have that issue but felt it might be worth looking into.

Thanks for the code... but I'm using Multichart :-D
Anyway the system already have a similar kind of protection. If the price goes over 12/15 points of gain then it fire a stop order with entriprice + 1 points (just to pay commissions)...
And also the maximum allowed stop loss per day is already 1 so it can lose at maximum 644€/day.

Regarding to the losing Bar this is the first thing that I've realized in my backtest, but In my sumilation I saw that the only parameter that was changing the game is the STOP LOSS. As you can read in the first post where I described the system, it works good even with stop loss of 10 and 15 points... but with 25 it earns more ad it does a lot more operations and it is stopped out less times...
So it turned out that to accept 25 points is better than to use a smaller amount and that's the main reason for that number of negative bars... but it gets compensated by the high win level of 75%...

jmont1 

As for trying to start with the MDAX before trusting it with the FDAX, I would hesitate there. I have limited experience with either contract but have seen enough to know that the very shallow volume of the MDAX leads to spreads that would not be seen on the FDAX. Spreads are "Bad" for day traders in MHO. So take a little time to watch the two DOMs and see what I mean.

You're right about the volume. Based on my experience looking at the dom of the MDAX compared to the DAX they're very very close and hopefully that really small spread different that occur so rarely in a 5 minutes bar charts won't make a difference (hopefully again eh eh ). Anyway it would be a little bit complicated to use the Big DAX even for the higher margin that it require.. something like 15K. so if you add 4,3 k of maximum DD you have to charge the account at least with 20k and that's something I'm not sure to do as first attemp to autotrade eh eh. 10k would be better if possible... that it would be even less with the minidax... and with minidax I could always increase position during the time if the system keep earning.

jmont1 

Hope you are successful and possibly willing to share some insight with the rest of us struggling wannbe's.

Thanks and I really hope too. I'll post here for sure any updates.

Btw: One important thing is to backtest this system also on other instruments so I would be really curious to test it over the ES as soon as I find some good 5 minutes data. I'm actually already paying IQFEED a lot for eurex and it's not the time to buy new CME data subscriptions for me now...

I'll probably test it over the euro BUNDS (it is in the EUREX exchange) next days... but I have to modify some parts in the strategy positions and rules beacuse it is actually only fitting the DAX settings ...

Dvdkite 

"... I want to look ONLY AT THE CHART and NOTHING ELSE. I don't want to depend from news, datas, fundamentals and whatavere... I only want (at the moment, no ones know what will bring our attention in the future) to take care of pure price action and candles pattern...." Regards, David

The markets don't care what you want except getting your money fast. And by restricting yourself by just looking at charts / short time price action that is exactly what is going to happen. Sure there are people who can, but hey they have spend a lots of time doing this, blew up more than 1 account and experienced all the phases/hardship where you have to go through to become a pro.

For making money in markets and being a starter Beta strategies like low frequency trading (ETFS and stuff) is the place to start. Ok agree it is boring, less exciting, but safer. If you still want beat the markets and to make Alpha (more short term trading at expense of other participants) then you have to be well prepared. The others are. So trade strategies that will work now and in the past and for a good reason like offering insurance, value, carry arbitrage, seasonalties etc.

Dvdkite 

Thank you. But Btw: One important thing is to backtest this system also on other instruments so I would be really curious to test it over the ES as soon as I find some good 5 minutes data. I'm actually already paying IQFEED a lot for eurex and it's not the time to buy new CME data subscriptions for me now... I'll probably test it over the euro BUNDS (it is in the EUREX exchange) next days... but I have to modify some parts in the strategy positions and rules beacuse it is actually only fitting the DAX settings ...

DdvKite, in the U.S. brokers mostly use about $2500 margin for intraday trading FDAX. It is much higher for overnight margin which would kick in if you hold a trade beyond 5pm EST. You can close a trade by 4:45pm and reopen a new trade at 6:01 and still be using the day margin of $2500 but cannot hold through that closed period.

An experienced trader whom seems to do well believes that U.S. morning markets have a pattern that starts in the FDAX, then the NQ and then the ES. It is not fool proof but perhaps it has enough relevance that your system could see the FDAX start the move and confirm and trade in the NQ which only has a $500 intraday margin. Just a thought.

If you decide to try the CL market - there are lots of market replay files in the NT8 download section.

GOOD TRADING ALL !!!

In reference to the Dax mini, the liquidity is better than the big contract, even through volatility. I've seen three to five half point tick spreads on the fdax whilst the mini is just inside bid and offered. The caveat in this OPs case is whether or not the volume profile data is consistent or not, my feeling is it is not perfectly consistent. You could however, take signals from the fdax and execute trades on the mini.

BTW dvdkite, your strategy looks excellent. As John Ehlers recently discussed on "Better system trader", actual results on intraday data are always dramatically different than backtest data. I would walk it forward live on a sim account for 6 months and then compare to the backtest results to understand the difference.

Great work and good luck.

If you've checked for future leaks, available liquidity and slippage, then yeh I would simulate trade it.

The results on unseen data seem a bit too good. Normally there's a significant drop off in performance in OOS testing, but anyway, hope it works.