algoretndist
@algoretndist
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Systematic Trader focused on Improving his craft | Not Financial Advice | Nothing to sell
Joined February 2024
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TLDR:
1. Risk Management
2. Process --> Results
3. Consistent Execution
4. Keep it Simple
5. Keep improving
6. Trading is tough. Try to reduce mistakes, improve execution and follow a process.
7. Prudent risk control will keep you in the game during the bad days too.
I also have days of missed signals for one reason or another. Usually due to not paying attention when at my desk.
What I try to keep a very good handle on is my risk management.
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Something I've picked up from
@mlabs0967
feed is the use of slope. I will refactor some of the code this week to filter out certain signals. For now I like seeing them because it helps understand which side may be wrong footed.
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Traders often have this misconception that being systematic means 0 emotions. From my experience that is totally untrue. As I am inching closer to complete my day trading system for full deployment, that doesn't mean my emotions will magically disappear. 1/
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Alright - looks like Wife is ready to head out (finally)! Enjoy the weekend. I will be back later to review if I get a chance. Good day / week.
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There is a clear trend going on in the future world of systematic Trading. I may be totally wrong but all I notice are equity curves and performance reports without any costs included. Or cropped images missing key details. 1/
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5. I keep my models simple and think in terms of stacking small edges. For me, I want my edge to play out over 1000s of trades.
6. You don't need a huge edge to be profitable. You do need an edge though, and be able to flawlessly execute that edge over and over. 4/
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When NQ reached for 19900-910s we got our outlier off 10m so anyone even remotely short would have been warned. Then the flip and basically pushing higher with little to no pullback imo.
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This is not in production. Simple helps with decision fatigue. You will never get a perfect strategy. Managing risk is crucial to stay in the game. Knowing when and how to size up vs lighten the load is important imo. My main templates help me stay int he game.
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I've been working on a new tool for my trading. Simple add-on for my current day trading setup. In short it attempts to detect normal vs abnormal price action.
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GM folks. A new study I'm building for MAE and MFE. Just started but it looks at certain relationships of params. The goal is to turn it into a dynamic function that can be layered into other studies. 1/
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One other study I have been working on outputs a 1 or -1 based on calculations for bias. Its not in production but gives a good idea of direction. A bit like a switch. I suspect it will be used more as a confirmation / confluence.
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Sometimes I think it would be epic to collaborate with another fellow trader that is interested in algo trading dev. Last few days have been energy consuming and banging my head against the wall trying to express my idea clearly in code and debugging!
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Without going into detail, this is why I like to develop tools that suit my own trading style. This is an example from a smaller frame (5m). All trend filters get into trouble when there is total chop but some are better at filtering false signals imho. 1/
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Example of a simple system applied to intraday NQ. No optimization at this stage. Here to make a point more than anything. $165K net profit, > 5 return to dd, 37% pa return, 1868 trades, 46.73% WR, 1.21 PF. $88 avg trades, 1.38 avg win/loss ratio. Net of costs. 1/
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I've said this before and will say it again now. All trend-filters have their flaws. This morning was good. Then turned to crap. Know all parts of your system to keep damage limited in times like this. 1/
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Thanks to the handful of new followers (not talking about the porn bots!). Figured I'd put a small post together trying to address some questions I get: 1/
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Started with bulls being trapped and then news hit and the drop came. Then sellers warned and tried again only to be trapped from 17810s (imo) for bulls to take control on this set of swings.
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Reviewing and some chart porn. Trend filter did well at tracking price. Its volatility adaptive. Plenty of ways to play this business. The important part is you must test everything before even considering trading imo.
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@Trader_Dante
Thanks for sharing your stats. I decided to code up a study too. Data = LMAX, EUR.USD using weekly open. 72.46% probability of touching between Tue and Fri since data going back to 2015. Will work up the rolling stats later when I get a moment. Ty! :)
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@2yrflipper
The irony is the same folks telling you not to trade a certain way are probably not profitable. Just saying. Ignore the trolls.
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@ZenomTrader
Recent follower. I like the fact that you're testing everything. One suggestion would be to get hold of longer term data even for 1min. You can quite easily with futures. Many edges from 2020 onward perform really well and fall apart before this period.
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I trade Futures. NQ and ES are my go to markets. Don't follow anything I do or say and you won't lose money :) The way I trade makes sense to me and that is all that really matters. In the end, if you have an edge that plays out over 100s and 1000s of trades, stick to it!
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I suppose its fair to say that all my concepts are simple in nature. Some form of trend-following (albeit on a small scale) and using custom coded tools that support decision making. It's a process.
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Higher frame vs lower frame. The continuation sells on smaller frame are spinnners on higher frame.
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She keeps paying... Trailers on and I suspect we can see some exhaustion soon. I will let my signals tell me what to do!
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@mlabs0967
Oh yea dont we love it! lol. Initial shorts for me was 18463s but did not manage it nearly as well. Got some continuation setups on smaller frame taking them down and trailed.
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The goal over the coming months will be to implement at least one of the setups in an algo env. Time will tell if it happens. In the meantime I must continue manual execution of my setups with the existing visual cues and sound alerts in place.
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I'd love to connect with more algo traders too. I want to push myself further in my trading and move from my mechanical day trading strategies executed manually to fully automated in the next 2 to 3 years. I'd love to improve and take it a level up.
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This is very early stages of testing. Believe it or not it is a DMI study. The only difference is based on my custom trend filter with adaptive lookback and vol. Thesis to test are extreme band touches and trend change. Testing req before jumping to conclusions.
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Spent most of today working through a frustrating code problem for hours at end. Only to realise a solution on whilst on a walk! Happens all the time. Worked on a reshape of time-series stacking small edges. Full automation will slowly come together.
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NQ has been one sided the whole day offering multiple opportunities for buying a pullback and continuation.
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This is why you cannot trust anyone that does not include costs in their back-testing models..I decided to replicate a strategy that a well known YT channel has indicated to be a profitable trading system.. Let's begin!
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@PJSmith
I think since about 2020 and the increased ranges a decent strategy has been able to excel too. Just my opinion.
I have also tested many other strategies that have done exceedingly well from about 2019/2020 but fallen apart prior to that period.
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I am all about stacking small edges. I don't believe in one holy grail system. I do believe there are small independent edges that can be taken advantage of over 1000s of trades 3/
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NQ 1400min v similar to ES except that it has some more wiggle.
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We are just dealing inside a range with some bullish traits until something changes!
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@mlabs0967
Thanks for sharing. Still trying to improve my templates. I find the compression points are easier to identify along with the potential lows. But the greens are much harder. Maybe due to tendencies of equity indices? I dunno..
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Back. After the sweep higher, bulls failed and gave hard sells. Now just meandering inside a range.
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I dont talk about my daily estimates here but there is a high probability of reaching either upside or downside estimates. Often a much lower probability of reaching both sides. Today's estimates were 19524 downside (hit) and upside is 19749. 1/
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@mlabs0967
talks about failed setups. Failed bulls turned into sellers. I was trailed out of my shorts earlier. Failed setups are setups in themselves! Buyers trapped 18400-18420s imo.
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Buyers on NQ need to be careful now. warnings shown on my templates. Will wait for a confirmed signal moving forward.
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@PJSmith
I've heard of this game being played by the retail prop world. Have they ran out of money from their subscriptions they receive, so they must use any excuse under the sun to avoid paying out?
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10. Anyone that tells you they have it all figured out is probably unaware of their weaknesses. In this business that is what comes back to bite most often from my experience. Which is why learning from others and not having arrogance is a good thing. 8/
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I won't speak so soon but I may be making some breakthroughs with setting up the correct environment for algo trading at least one of my non time based setups. A long way to go before one can truly confirm it's possibility.
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Its not bad right? What you're seeing here is the results from the post 2020 regimes. Enhanced ranges, etc. Go back before this period and performance is not great... 2/
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When I am capturing some statistical tendencies of observations, I like to use a variety of measures. Remember these are not strategies. They are used as information in some cases, not as signals. 1/
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@cosmo25x
@Emmonspired
@SnyderCapital
I'm not in any of these so I can't comment on their rules. But if you're referring to 1 NQ contract or even ES, you're already overleavereged imo. Considering your acc size is equivalent to your risk limit St the v least, not your notional.
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Today has been an interesting start fr me. Had some long signals that made money earlier then the shorts from 17900s came in. Got stopped out twice. Captured the opposite longs until 17940s which was good. Then only a buyers warning. No sell signal.
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@RenardZee
@mlabs0967
@FlowMan37704391
Testing this out in real time.. Blue arrows = price bought at and red = sold at. Bad exit on shorts from up top. Covered too soon.. Longs on first pb was decent but again not ideal.
@mlabs0967
This template isnt perfect. Got a lot of work to do on it :) Thank you.
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@quagensia
Thanks for the heads up. I code everything myself. I was experimenting with GPT 4o. It does have some drawbacks when using it as an assistant but if you know how to code then fixing small bugs not a problem.
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I am continuing my work on my systems and making tangible progress. Some coding problems take time unfortunately. No trading for me today. Back to normal tomorrow.
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Some perspective. Despite the earlier post of the yellow cross, in the grand scheme of things its in the realms of normal pa (1st subgraph). It would only be one sign (if confirmed by another study) to lighten any positions from long side given that pa is not showing outliers.
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@PJSmith
Yes I mean renko / flexrenko. Seems to be the same for something like Multicharts. Either in real time or in replay mode. Which takes forever on a tick based simulation.
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@SabuShibin
I suppose its possible in any platform if you know how to code it. This is a set of proprietary studies I've coded up for my trading.
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over 200 handles since first buy on NQ earlier today with no further sell signals...
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You won't see me most my time based charts / information on here much. But this was an interesting day for ES. The trend filter could not switch state the whole day. Went flat but that was it.
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A perfect example of reducing false signals. Initially it would have considered entering a short as mentioned in a prev tweet but trend changed before that. I am not in the long but I certainly avoided a loss on short side. Know thy system.
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Hope you are all managing risk! ES sub-chart preview from 11.06.2024. Bullish until yesterday afternoon. Nice outliers triggered too. Yesterday 1430 exchange 10min bar pb up to ~5450 was normal pa then outlier on the drop. Continues to show signs of weakness for now. 1/
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Normalized with a volatility adjustment and lookback is adaptive. i.e. non-arbitrary. This is why I love being at the screens, actively observing. I get more ideas from this and trading than I do from the outside.
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Yesterday seen a cluster of cyan dots near the turning point. It just so happened to have a more aggressive move out a short time later.
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Nothing too interesting for most folks but working on a few coding projects during and post trading day. Nothing new. Nothing you couldn't do yourself. I build my own models to help my own decision making. I stay in my lane :)
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Bulls have really pushed trapping sellers. My morning has been spent coding. I may have some improvements to templates soon.
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BTW my commentary here is for me. It's like a journal for me to review EOD. If it helps someone else then great.
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Waiting for your setup is what matters. Then let the edge play out over 100s and 1000s of trades. Pullback to 18910s was normal. Short-term setups are ideal in this env atm for my work.
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@slicedchedda
btw dont listen to me. There is only one person that I see is the real deal with this type of work. I improved 2 setups in the last week alone through his feed.
@mlabs0967
(sorry Mike for the tag lol)
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Warnings now showing both sides. This is where one should let it settle and wait for a directional signal to confirm.
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ES higher frame 1 sell signal today following yesterday's sells at 5210s. I suspect
@mlabs0967
would call the sell today a spinner too. Just so happens to print a signal there too.
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Compare that to NQ and it was a bit of a diff story. These filters are certainly not the be all and end all. You need the other components to create a robust system. But ES won the fight for clarity today and NQ caught up when it needed to.
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Thats it folks. Not much happening contained inside the range on this last bar.
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I was skeptical of using GPT to enhance my productivity. I decided to try it out and have been using it for a short ~ 3 months. Here is what I think:
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7. I don't like to throw around my model stats because it doesn't matter. If you must get some indication though.. I average a 55%-58% win rate over time and win more than I lose on avg for my short-term trading. That's all you're getting from me :) Nothing to sell! 5/
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ES and NQ volatility warning bars showing off 10-min. Could get interesting with expansion of ranges soon!
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If you haven't explored small edges like time window part of your system development, you should.
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Today's short review. Poor execution with good risk mgt in the morning. Good execution and good risk mgt afternoon. Only a 51% win rate. Overall RR has kept me nicely positive. Runners help me a lot. Calling it today.
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Anomaly detected at 1000 exchange time 10-min bar. One example of how you may exit a trade. Let's say you were short rom 18695s trend change and target was not yet reached. This would be one reason to lighten position or exit altogether.
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4. It is unwise to follow my lead on X with any narrative because I am a short-term trader. It is very likely I have already acted by the time I have tweeted anything. In fact, it is likely I have lost on a trade (or won) :). 3/
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11. Just as many of you, I have a list that is endless of ideas to test and not enough time to do so. I rather have a list of ideas than nothing because at some point, even adaptive edges may lose their touch over time. Especially for the short-term models. 10/
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They keep dropping these spinners. Can only mean one thing surely. Trapped traders the other side..
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From the small edge shown earlier this morning. Today has seen 3 trades. It would be up some small change of 13 NQ points per contract.
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At least ones that work in real time and execute exactly as you need it to. Either that or I am just slow and outdated :)
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@PJSmith
are you fully automated? I'm semi and going full auto seems to be a stretch with my current template.
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I explained my posts are mostly for me to understand. But generally speaking from my work, I can expect an expansion within N bars. It's not often I get a cluster but since my tweet there were 3 more bars at 0610,0650,0730 exchange time that had warnings....
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@RenardZee
@mlabs0967
@FlowMan37704391
Thanks. I could probably code a tool giving me estimations of average swing length. Or something as simple as a difference study >/< avg to get an idea of how large rotations are. Is this what you mean? Ty.
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Be nimble. Shorts often come off much faster than Longs. Adapt. Don't be married to a trade :)
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#NQ
A close below 19909.50 before 11am exchange time could see some bulls start to step in. Trades will only be executed if system says GO. 1/
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Though I didn't get a sell to capture any of this rotation down, the warnings are sufficient to keep me out of big losing trades / days imo.
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My point? I take scratches and losses too :) But when she runs, the runners help the bottom line.
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@jmaldo1024
They key takeaway from
@mlabs0967
is to fight the urge of overcomplicating. Simplifying makes more sense 99% of the time. Found Mike's feed to be super helpful in refining my approach - almost like an AHA moment last few days. At leat for 2 of the signals on my chart now.
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UB from 115 9/32s has beena sell only with warnings without further signals.
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Cannot keep up here. warnings for the sellers came in too! Alright. I will return to watch the markets last hour.
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