Monday, November 17, 2008

Automated Trading System Trade Review

Today I ran one of my trading systems on ES. I was surprised to see it positive considering it had 25 losses and only 10 wins. I was glad to see the avg. profit three times bigger than the avg. loss. I set each trade to have a 1pt hard stop on each trade with an exit based off a signal or an 8pt limit target.
I'm still working on a few things but I've been making pretty good progress in determining the best stops for this system. Many of the trades were winners of 3pts of more, only to be stopped out because I set the "exit signal" to far. I also got stopped out on a few trades because I had a time stop set to breakeven after 3 minutes. I will likely get rid of the time stop. I've noticed the majority of the really good trades are winners immediately even with the ATS's crappy entries. Most good trades don't have more than 3 ticks of heat and are in the black within the first 15 seconds. Almost all of the bad trades are stopped out within 10-40 seconds. I will need to work on the entry method for the system and try buying on the bid and selling on the ask instead of using all market orders.

Below you can see the Trade log from bracket trader, the alert log from quotetracker, and some of the signals the ATS took off the ES chart.


Anonymous said...

Huge work you doing there.
Did you think about to find quickly good entry methodes, timeframes and to recognize the sytem essentials using backtesting/optimization. Not to aim the best one but for eliminating settings poorly working in that special instrument over longer haul and sorting out the redundants before. Doing that rt eats much time.
If you wanna save costs i think some retail prgs like ninjatrader offer that option for free.

MatchPointTrader on 10:45 AM said...

Hey HPT,
I have taken quite a bit of loss in last few days and so, I have been away from blogging\trading a bit. Anyways, I just want to say that "Thanks a lot for useful links and videos". BTW, I like the new look of the website.

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