Tuesday, 15 March 2011

Flo goes HFT

My trading the DAX yesterday gave me an idea. I set Flo up to trade 1 point range bars fully automatically. I had spent a few hours last night running tests and it looked really promising, but there's nothing like putting real money on the line to really find out if something works for me. I learn by doing unfortunately, much to Mrs EL's chagrin.

Happily, this was one of my better "suck it and see" efforts. I did only trade 1 DAX contract. I got tired just watching.

I can report that no human could have traded like Flo did. There was no question of overriding her, as the trades were so quick I couldn't even have found where to click before she had done two more trades.

The key, I think, was the small targets and tight stops. The result was LOTS of trades. But lots of GREEN. The stats below are the London morning pre RTH 6 hours of trading. The interesting thing is to compare the last few days to today.


  1. Hi EL,

    I have a question concerning divergences. You have mentioned this several times on your blog. As you know, there are regular divergences that confirm the continuation of trends: a lower high in the price and a higher high in the indicator, which could be the volume break down. This divergence confirms that it is likely that the trend continues to be down... This contrasts with hidden divergences: a lower low in price and a higher low in the indicator (Volume Breakdown) are likely to indicate a reversal...

    What do you think about the regular and hidden divergences? Do you use them for reversals and trend continuation?

    Thanks a lot!

  2. I have a question about slippage. Is Flo entering limit or market entry orders? Before I know that you've said limit orders, but I wanted to check if that was the case with these "HFT" entries.

    I also ask, because your range bars are (TradeStation momentum bars) don't close until the next bar trades one tick higher, so I was curious if you were entering on the next bar's open (limit or market) or the current bar's close (limit). So that made me curious if you were going with limits and just going with the trades that get an entry or with market to take all trades.

    Thanks EL and congrats on the great returns.

  3. What VPS service do you use for flobot?

  4. What type of risk/reward do you use with Flo? Risk 1 to make 1? Just wondering. Thanks

  5. Hey EL,
    When autotrading something like this through your broker, do you ever have a concern of the broker watching the flow of trades and figuring the system/ frontrunning it?

    I'm also curious if you're looking at stats on each trade like MAE/ MFE etc to optimize?

    Nice work...

  6. Would love to see that chart.

  7. Sam, divergence is nice but will it be the first, second, third etc divergence that works. But yes, its part of the picture.
    Jeff Carroll, HFT are market orders as its too fast and the DAX trades differently and slippage doesn't matter with the style.
    Toaksie, email me for VPS info.
    Donald, all the system info is in the blog. The rest is just hard work. Yes, i watch the stats and always try and improve. Testing is ongoing.
    Anon 03:39, chart couldn't fit as too many bars on 1 point range bar.

  8. What about commissions, how much are they on dax?

  9. Yw, commish was deducted in the stats. What you pay depends on volume, usually. And you certainly make yr broker happy with HFT. I factored in 6 euros R/T for the stats but I pay less.