Wednesday, 15 November 2017

This is Why I Trade Using Algos Now!

I've written in the past about how the markets have evolved to an algo impacted environment.

The fact that over 60% and perhaps 80% of the volumes of active markets are generated by algos says to me that there are a majority of volume is generated by people who think that nowadays, trading using an algo is more profitable than any other means of trading.

I've been using algos since the early days of SystemWriter,TradeStation and other software back in the 1980s. I embraced algos more as the markets became automated and orders could be input through a computer.

However, it is only recently that the technology has moved ahead to make algo trading a more viable way of trading than discretionary trading.

The chart above is a good day trading one of my DAX algos. I say "one of" because it is important to trade a PORTFOLIO OF ALGOS rather than a single algo. The strength in algo trading is the smoothing of an up-sloping equity curve due to the number of algos in the portfolio.

There is no way I would have made the trades in the above chart had I been trading manually. I don't even have to know what the logic behind the trades were. What I did have to do was to put the algo through a series of about 7 ROBUSTNESS tests before I went live. This doesn't mean that the algo makes money every day because it doesn't. There are plenty of losing days but due to the robustness testing I am confident that a llong losing period is improbable but see my disclaimer.

More posts on the "how to algo" coming.


  1. Thanks for sharing,
    If pure algo creates 80%vol I like to think it's mainly on one min tf or below dozen of minutes. Hence discretionary traders may still have an edge the higher their TF might be. What do you think?

    1. The algo is running off 18 minute bars. The "magic" of algos is to not run just a single one but a portfolio. A portfolio will create a smoother equity curve and trade almost 24 X5. Beats bsitting in front of a workstation for 10 hours.