Dear Klaus, Thank you so much for sharing your experience.
I agree completely with your sentiments especially on money management and control - black swan events do exist and in these very uncertain and bipolar markets, the danger is ever more present. Based on a short exploration of the code, each strategy is a variation of volality, velocity and the volume impact of the bid and ask prices and the relation to the crossover of a fast and slow indicator. These parameters are optimized through back and forward testing over some time period, which is another parameter which may need to be optimized. Many gurus warn about over-optimization - so how do we know if we have the right optimized parameters? It was mentioned that we may need to optimise the parameters after a time - how and when shall we know that? If this is the wrong thread to discuss this, let me know where to take this because this is very interesting to me. I appreciate that having a stop loss in the back tested strategies reduces its performance. Were the stop loss points fixed or also optimized. If a market is very volatile, a closer fixed exit will have a higher chance of being hit be it a profit target or a stop loss. Most gurus recommend a closer profit target to a stop loss for futures. Warren Buffet said once in an interview that he does not trade anything he does not understand. Since you are familiar with machine learning, could you share with us your views on how these strategies function and how do they adapt to changing market behaviours? Thanks. Keith On Jun 5, 7:46 am, Klaus <[email protected]> wrote: > 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]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en.
