Dear Keith, as you asked me, also my 2c (though nonlinear has MUCH more experience on this, so if in doubt take his answers).
My status is as this: for some time I am following here and played around.. For a few weeks now, I am collecting data for my own experiments. And only recently I became serious about designing strategies, though this is purely a hobby. I have some background on machine learning, though. Thus, all this is not foreign to me. At this point: most of the time the system is in forward testing mode, for pure recording (I still want to extend my data basis). Last week, I traded it live only on friday, as I had only then time to monitor the system. Currently I do not yet have too much trust in the strategies (because you can never be sure how much your tested strategies extrapolate to unseen data). This said, I leave the computer also alone for half an hour or so, but at this stage not much longer. In the long term, I hope to increase the time frame, but I am not sure, whether I will eventually (can) fully automatic. Besides the quality of the strategies, there is also the question regarding stability of the platform (and connection, etc.). For example, last week while I was forward testing, I suddenly found TWS dead. In such a situation you are stuck with whatever position you had before, as JTB can no longer change it. If you want to go fully automatic, you must be able to accept this financially... Regarding stop-losses, profit targets. I use them when I trade manually - why? Because this is a way I can get basic automatization from TWS. However, any experiments in autotrading are exactly in order to get smarter than this! My personal take on these are: they are very simple approaches to ensure to get out of the market. However, any good strategy (in my eyes) defines exactly when to enter AND when to leave the market. Because, why should I be very sophisticated wrt whent to enter the market and extremely simplistic regarding leaving it? Both contribute in equal manner to the total system performance. If you approach strategy design in this way, that you carefully design both, then you will find, what (to my knowledge) everyone found so far: typically your performance gets worse with stop-loss and profit target attached. Because in such a situation it means, you replace a sophisticated exit strategy with an ad-hoc approach. Cheers Klaus On 4 Jun., 21:08, Keith <[email protected]> wrote: > Hi Klaus, > > Many thanks for your valuable advice - I will take careful note of it. > > Just out of curiosity, are you trading live with preset stop losses > and profit targets? > > Do you constantly watch the platform trading and do you need to > manually adjust the trades when needed or have you gone fully > automated? > > With the default platform, I have to manage the trades on TWS and exit > the platform manually to stop it. > > All the best to your live trading! > > Keith > > On Jun 4, 11:01 am, Klaus <[email protected]> wrote: > > > > > Dear Keith, > > > take care: single days don't tell you anything. If you want to use > > specific strategies: > > set up a data set for training the parameters. (My experiences with > > the out-of-the-box parameters > > for the provided strategies are suboptimal.) > > > Have a second, non-trivial data set for cross-testing. Any strategy > > that only performs well on the training > > data is worth-Less! (Thus, you need this second data set.) > > You can do this with the data provided with Jbooktrader (don't forget > > to split it) > > or with data you record yourself in forward mode (this also helps to > > analyze any instabilities and issues). > > > Both training data and validation needs to be a non-trivial amount (a > > week is not enough, let alone a day says nothing). > > Even for completely failing strategies, there are very good days, and > > even for the best strategy, there are loosing days. > > Ideally both data sets cover different types of days (sideways, up, > > down, zick-zack..) and after optimizing you should > > also check how broad the success regions are. Otherwise you end up > > with strategies that are too brittle.. > > > Having written this, I am currently live trading with a nice result > > for the day so far :) > > (Unfortunately, this does not mean I will even come out + today - or > > tomorrow.. - after all, > > it is statistics.) > > > Cheers > > Klaus > > > On 4 Jun., 18:50, Keith <[email protected]> wrote: > > > > Hi Eugene, > > > > I am glad to report that when I combine the ProfitTaker and > > > LossStopper together and only traded that strategy it seems to work > > > very well this morning. > > > > Thanks. > > > Keith > > > > On Jun 2, 4:54 pm, Eugene Kononov <[email protected]> wrote: > > > > > For those who are anxious to try the "classic" strategies, I am > > > > attaching > > > > two sample strategies, LossStopper and ProfitTaker. The first one uses > > > > a 7 > > > > point stop. The second one uses a 5 point profit target. These are > > > > optimizable parameters, so feel free to experiment. Trailing stop can be > > > > done in a similar fashion. > > > > > On Wed, Jun 2, 2010 at 2:26 PM, ShaggsTheStud > > > > <[email protected]>wrote: > > > > > > On Tue, Jun 1, 2010 at 9:19 PM, Keith <[email protected]> wrote: > > > > > >> Unless we are trading a single strategy per instrument at a time, we > > > > >> will need a risk management strategy for the whole portfolio at risk. > > > > > >> Besides the performance manager, I recommend we have a risk manager > > > > >> object to look at all open positions, monitor profit and stop loss > > > > >> targets with the ability to close any strategy instantly. TWS has a > > > > >> function to close all positions, this could be one of the methods of > > > > >> the risk manager. > > > > > > The concept is interesting. Honestly I don't know how many people > > > > > here > > > > > believe they will be trading multiple strategies at the same time any > > > > > time > > > > > soon - especially more than two, unless we have a really good strategy > > > > > developer lurking in the shadows with a big account balance. > > > > > > Just tossing out an idea here to think about - maybe this could be > > > > > implemented in an external program, through a basic interface to JBT > > > > > which > > > > > would include a basic "pull the plug" command, and an interface that > > > > > provides basic information about present positions and past trade > > > > > performance. The reason this might be nice is that it could reduce > > > > > clutter > > > > > in the codebase, and could be integrated into a larger portfolio > > > > > management > > > > > system if the user wanted to. > > > > > > -- > > > > > You received this message because you are subscribed to the Google > > > > > Groups > > > > > "JBookTrader" group. > > > > > To post to this group, send email to [email protected]. > > > > > To unsubscribe from this group, send email to > > > > > [email protected]<jbooktrader%2bunsubscr...@googlegr > > > > > oups.com> > > > > > . > > > > > For more options, visit this group at > > > > >http://groups.google.com/group/jbooktrader?hl=en. > > > > > LossStopper.java > > > > 2KViewDownload > > > > > ProfitTaker.java > > > > 2KViewDownload -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. 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