Tuesday, 12 January 2010

Project Alpha- Art or Science

It was an interesting day in the trading room - well every day is, but today had an extra dimension - Kiki threw down her gauntlet which I picked up, even though she was leaving the trading room for fencing class.

I am always saying how trading is an art, not a science. Well Kiki thinks that science can beat art. Amongst her many other talents, Kiki is an honours graduate in computer science. She also has quite strong opinions,in a good way. Kiki says that she believes that by programming our methodology to auto-trade a few markets simultaneously and allowing the program to only trade the most "perfect" trades, she could leverage our methodology so we made more money without the level of concentration we need now. I think this all came about because she sees the great trades that appear almost 24 hours a day in many markets. Trading long hours and looking at a number of markets at the same time is unsustainable in the long term.

On the other hand, computers don't get tired and can trade more consistently in more markets at the same time.

I said I didn't think she could pull it off. Nothing like saying that to Kiki to motivate her to excel.

So Project Alpha is born. Watch this space.

Today we traded the DowEuro50.

Click to enlarge


  1. I have already programmed it in TradeStation and backtested on the ES and the BP. It's tough to get the autostrat to avoid taking some rades which a discretionary trader would skip. I had the best results with the BPH10 market.

    Yes... it can make money autotrading .... but not anywhere near what you are doing on your own. Perhaps Kiki will have better success creating the program than I have had.

    Besides - to have confidence in any auto trading strategy you need a lot of data, and not all the data is available to backtest with. (ie. Bid Ask information )

  2. I tended to agree with you at first. I have worked with automated systems since the beginning before TradeStation was TradeStation - I think they were called system writer, 1980's. I gave up system trading because of what you said: a system cannot perform as well as a human. The reason I agreed to give it a try with Kiki is because, firstly, she's a great programmer and it will not cost the tens of thousands it would otherwise and we can risk wasting her time, and, secondly and perhaps more importantly, with all my experience of trading both discretionary and automated, I know that the only way to make this work for me is to isolate a number of BEST setups WITH ALL THE NUANCES so the percentage of winning trades remain high. Without that, I wouldn't trade it live as I know I wouldn't keep running it when the drawdown became large.

    We'll see how it gows.

  3. Tom,

    I have gone thru most of the blog, but I may have missed the criteria you use for entries. Do you have specific criteria you look for in delta, cumdelta, keltner, cci, mom dots, and MA when entering trades at the S/R levels? Do you look at all of the indicators or a subset to line up? Can't wait until the webinar!!!

  4. Hello Boss,

    I am glad there is only 2 days left until the webinar, because truth be told, today’s post completely threw me for a loop.

    How do you program context? You can program conditions, such as relationship to MA’s and if long CCI is under 0 and short CCI crossing 0 from above, etc. But how do you program order flow Or MP zones or...?

    Not sure how anyone would program it with TradeStation. They don't even have a way to allow VB on a range chart. (Actually in
    TradeStation what you use are called momentum bars).

    Kiki rocks,


  5. Your webinar clock is wrong :)

  6. I am Enjoying the occasional read of the blog,
    and have to agree with you, sometimes the best trades are about discretion, and then making yourself more systematic.
    Plus I could not help but add for me "trading is a business - neither art nor science" :)
    good luck with this and future projects.