Thursday, 10 June 2010

Flo is a machine

We are live with Flo, running her on ES and Euro FX futures (6E). I'll show her in operation during the training and after that, if there is interest and I can find a practical technological solution, I'll give a view to all blog readers who want to see her live.

Lot's of challenges to get to the stage we are at. Broadly speaking, testing over a year of tick data using continuous contracts gave a draw down of less than about $2,200 per contract. The last year or so of the 6E had a theoretical nett profit of around $100k and the emini $30k, both per contract.

Flo is not curve fitted in the normal sense. The parameters that may be considered curve fitting are the targets and the stops but these are pretty generic. We are still working on improving exits and will have a later version on test after the week-end.

We test live with real money on one contract with the exit at a logical first scale area. Nothing fancy. The later versions will have more exit logic as well as scaling out.

The biggest challenge is data and connection speed. We use eSignal data for testing and analysis but the orders go to the brokers. There is a disconnect between the prices on the eSignal feed and the broker. We could run the analysis using the brokers' feed but the feeds are not raw enough - snapshots, amalgamations and such like. At this stage, if it makes money we won't worry a lot but further down the line we may look at hosting our server at the exchange to get purer data and faster connectivity. Looks like I may be in Chicago at the end of October and I'll look into it then.

Our current testing is also doing an analysis between the theoretical results on the eSignal feed and the actual trading results generated with real money. We are running this in parallel. I want to see what percentage of the theoretical profit we actually capture.

That's the story so far. We'll expand the number of markets we trade as soon as we get the next version of Flo tested.

Lot's of you are designing automated trading systems. It's not easy but I am now convinced that Kiki's enthusiasm was warranted. Although I still beat Flo by trading more markets at the same time, she wins in the end.

I started posting about Flo because I have found that many new traders look for hard and fast rules for their trading. They are not really discretionary traders in the true sense and perhaps many of them would be more comfortable, and profitable, with a completely rule based methodology that is executed by a computer so that consistency is met, unless, of course, they switch off the PC.

Today is rollover day in the ES and we have had the usual distortions as the spread traders do their thing rollin', rollin', rollin'. The first trade as ES RTH opened was a sell against the upper tail of yesterday. It overshot a bit into a higher volume congestion of 4 June. I traded it down to the POC of the split distribution of yesterday. I then sold it after a rally that tested the highs. The shape of the Profile clued me in.


  1. Hi Kiki&El,

    Let me say what you have probably heard so many times: This blog is one of the best blogs about trading. For me, this blog is the bible of electronic trading. The concepts make sense and are very clear.

    Many bloogers have raised the question many times of how to achieve this blog. One of your readers created a blog summary ( Can you please tell us how to create this blog achieve? I want to do this on a daily basis. This blog is too important to miss anything about it...

    Thanks a lot!


  2. Regarding connection speed:

    Can you get a p2p T-1 connection in the UK? In the US it can increase speed by 10-100 times, depending on location, etc. For trading, you don't need a big pipe (band width), you need lots of water pressure (low latency = high speed).

  3. Samer, I intend to leave this blog up and available
    Anon, not easily and the contract lengths are long. I trade from 3 different locations so it would not be much use in only one even if it was easily available.

  4. Tom,

    This one's a bit off topic but I think it's of relevant importance for the old and new readers of your blog.

    I'm an active participant at a forum where there's a thread about you and your trading methods, and someone I learned a lot from wrote that he's been through your blog a few times and found everything so vague, no details. That he just skimmed some of the key posts and found no useful content there at all.

    This is someone that I truly respect and has pushed my trading skills one step further. He writes about order flow too.

    Although I agree with him in the sense that you don't share much of your setups, I sent him a link for the "Setups and Upsets" post:

    It's not easy going through the whole blog and I know the harder I work the luckier I get, but I think it would be very helpful to have this post on your "KEY POSTS & INFORMATION" section.

    Many of your readers are certainly looking for the same think and can't find it.


  5. Braulio, you miss the point, All the setups are here in the blog with all of the indicators and settings. Nothing is hidden. My whole philosophy is that to become CP, a person wishing to become a trader has got to put in the work. Not for me but for himself. Kiki did this as did dozens of the people who have emailed me that they have found success by working as set out here. These numbers fit with the 90% failure raate often repeated. "The harder I work, the luckier I get". Without the hundreds and hundreds of hours of work, trading success will most probably be a dream for most. The training I am delivering in July (which is full) will cut a trader's road to CP by 90% if they follow the roadmap and do the work.

  6. EL: You mentioned that you will find a way to show us Flobot in action - if there is interest. I would like to let you know that I am most definately interested!

  7. BrĂ¡ulio,

    The way I found all the best information on this blog was to print out every page and put it in a notebook. Then I read every page carefully and created my own set of notes organized in a way that makes the most sense to me. It took many hours (at least 100). The information in this blog is very important, but just as important was the PROCESS of carefully going through everything, step-by-step, and making my own "blog" that works for me.

    Best regards,