Thursday, 28 June 2012

Successfull Trading with an Algo Part 2

One way of increasing the profitability of an algo is to build different algos for different conditions and contexts.

For example, once the market has shown it was a trend day up, switch on the algo that trades the pullbacks from the long side. When using an algo like this, I set my target and stop to fit the market that day. I don't test that algo on the market in general but look at trend days up and see how the algo would have performed. This making the algo like I would myself.

By making an algo trade like me, I am more able to replicate my own trading profitability. The algo still won't perform exactly as I would, but it's getting closer.


  1. Hi EL,

    Thanks for keeping up such a great blog, this is quite a gold mine. Your desire to share is very much appreciated.

    I've spent over the past week reviewing every post and comment in your blog, which inspired me to dust off my decades old "good enough to get by" EasyLanguage programming hat.

    I've been able to reproduce most of the algos in TradeStation to confirm what you have written. But as you have also written many times, I can see how the refinement process will take quite some time to fit my personality and style.

    In the meantime, I hope you can help me with a couple questions:

    1) TradeStation doesn't allow "look inside bar" backtesting with momentum/range bars.

    Does MultiCharts or other programs offer that functionality?

    2) When I tested a strategy live, I've discovered that TradeStation doesn't submit all orders at once, unlike what you could manually do with a bracket or OCO type order.

    As you probably know, TradeStation generally allows only one active order to be submitted to the exchange (based on which order is closest to the current market price).

    Therefore, there are times when your limit orders are canceled and reentered numerous times, thus losing your place in the queue every time. Big disappointment.

    Is this common practice, or do other programs like MultiCharts allow a more "sensible" approach to automated order submissions?

    Thanks again for all your great work.

    1. Grove Under, MultiCharts does have lookinside the bar but not for renkos or range bars although it has a setting to construct the bars out of proper tick data, honoring the correct O,H,L,C. The Renkos in MC have just been perfected in the latest version and are outstanding.
      The cancelling and resubmitting of orders the way TS does it is a function of both the TS prtogram and it's order submitting method to RJO and other executors. Using MC with other brokers including IB, AMP and others, I do not have this issue and keep my place in the queue. There may be something in the way you program TS that can overcome this but I am not expert enough in easylanguage to know.

      Glad you are getting benefits from the blog.