Saturday, 6 January 2018

Fully Auto Algos

There are lots of ways of using algos. The benefit is that after creating a fully tested algo you have not only a fully tested and walked forward strategy but you have a trading plan built into the process as well.

The strategy below is a very good example. It is an algo based on the ES and uses DAILY RTH data. It only trades at the open so is very easy to follow.

This strategy was created over 5 years ago by using genetic programming technology. The out of sample profitability for the last 5 years or so is:

I can trade this algo in different ways, with futures and let it run fully auto or with options and choose from different strategies such as credit spreads or butterflies. The algo takes away the difficult decision making process. Its robustness having been profitable for more than 5 years may change if the market changes from being so unidirectional. However, the data used to create the algo goes back to the year 2000.

Algo trading is an important part of my trading arsenal and complements my discretionary and option trading. It does take work to find and test the right algos.


  1. Awesome Tom, thanks for the post! How can I purchase this algo from you? I would need the TS platform right?

    1. I haven't thought of selling algos as I'm more into teaching to create them but email me so we can talk about it. Address is in my profile.