My algo trading daily performance

[mechtrader]

Hi Mech,

In context of your and be answer..how do manage this...


"Hi bpr,

I trade the 10 min tf.
I use 200 ma as one of my indicators so that will be around 6 days of data.

Thanks,
MT"

Not sure if I have asked something illogical. but I can't justify my understanding..

Apology if I am bothering you much

Thanks

The data used is always current month futures. It doesnt matter. Maybe i didnt understand your question fully. You can see it on the charts and you will find it doesnot matter.

MT

 

[finfreedom]

Hi Mech,

Let me give you an example. On a first day of of future ( I.e. the last Friday..) When refer last 6 days data..then you are previous month future data.

Will that any problem? If it is then how to solve this.

 

[RockyRobust]

Could you please elaborate how should we take care MM and psychology while building the framework?

Not sure, whether I asked something silly...have very little knowledge...

Thanks

One of the best website on Trading Psychology is here:

http://www.brettsteenbarger.com/articles.htm

Enjoy !! :thumb:

 

[algorial]

Hi Mechtrader,

This is a awesome thread and really inspirational!

Do you use Ninjatrader for your trading? We have built about 50+ algos in Ninja, and we can discuss sometime if you are free.

Drop me a line.

Regards
naren at algorial.in

 

[mechtrader]

Hi Mechtrader,

This is a awesome thread and really inspirational!

Do you use Ninjatrader for your trading? We have built about 50+ algos in Ninja, and we can discuss sometime if you are free.

Drop me a line.

Regards
naren at algorial.in

Hello,

Good to hear from you. Thanks.
I use only amibroker for my strategies, does the job just fine. In the future maybe i would want to use ninja for more complex logics.

MT

 

[jallanankit]

@Mechtrader,

Sir, seems the just very fine material I was looking for..
have gone through your full thread all at once.. but everything I needed was almost there..

Some more queries for you..

I have paper tested my Amibroker strategy on Symphonys simulated environment.. I wish some alterations in the Execution logic before going live.. once that is made available to me by Symphony, I will again paper test it before going live..

Queries for you..
Alike you, mine is also purely intraday model.. I wish to enter a limit order at the price signalled by afl..again then if limit order is not filled or partly filled, I want a time based check (as u say 10 sec) to see if limit fills or else limit order converts itself to market order to get it filled.. I am also thinking of a further check to control slippage..(price based).. For example, If say limit price is 7000 in Nifty, and we agree to say 5 points slippage, then if before the time based check of 10 seconds, if nifty moves to 7005, the execution logic will convert itself to market and get the order filled..

PLS SHARE YOUR OBSERVATION ON THE SAME.. if you second my thought.. I need to give this a try on paper mode before going live..

Same logic to handle in terms of EXIT signals..
Order entry at limit order type and conversion into market order either on time elapse or favorable price movement..

Having said this, I am still concerned on how to reduce slippage... because when we are putting limit orders, we will never get any price below our limit order price... Do u have any plan for this owing to your 1 year + experience..

Your view will help me to join the auto trade league asap..

Regards,
Ankit

 

[mechtrader]

Its good that you are thinking on those lines before even starting. Thats commendable.

The thing that you are suggesting was on my radar from quite some time now. I along with few of my trader friends at symphony have requested this modification to be done and have paid for the development. The output is currently under testing.

Regarding slippage, u cant escape it. Try to keep it minimal and factor every cost during backtesting.

Good luck for your endeavor.

MT

 

[jallanankit]

When will u get d result of testing? And from how long have u been testing it?
Moreover, pls share your insights on further ideas of reducing slippage..
And without disagreement, I agree to your words that slippage cannot be altogether ignored but we should make efforts to reduce it tominimum.. in the last one year I have traded on my developed system on manual basis.. I have given my system to my closed ones for use as well.. they are also satisfied.. so now the idea to scale it further..

 

[copypasteaee]

How much brokerage are you paying per trade

 

[jallanankit]

And thank you somuch for your kind words..