Monday, 29 August 2011


Robustness is not just a required quality in my espresso but even more important in my algos.

The video shows you an ES algo, trading just 1 contract,  with summary performance reports covering a 6 month period. This version of FloBot uses a 1.25 point Renko chart to reduce the noise and to reduce the number of trades. Working with Renko charts has particular requirements to deal with the fact that the bars don't have wicks.

My starting point in creating an algo that I can use in my live trading with real money is an algo such as the one shown. Even though this Flo is good enough to trade with automatically, I want to maximise my earnings. So this is my starting point. I then do as host of things to improve it including:
  • looking at times of the day to see if I can see when it shouldn't trade
  • looking for opportunities to add  a scaling out routine and/or a doubling down routine
  • looking for any obvious additional filters to get rid of low probability trades. A simple one can be the distance of the entry from the EMAs
These are just some of my due diligence.

I also do a similar amount of work to create a set of hybrid trading rules to go with the algo so when I decide to manage my exits manually after Flo takes care of the entries, I have a back tested set of rules I can work to.

The technology we have available now, even to a retail trader like we are, is awesome. The vid shows me using TradeStation. I also use MarketDelta and MultiCharts. There are others, but these three do not require me to be a programmer.

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