Slow Trading Day – No Automated Trades

April 9th, 2008

I took a couple discretionary trades yesterday which ended up going nowhere. Quite the boring day. I’m continuing to make some nice improvements to my automated trading software that will allow a lot more flexibility. I’ll easily be able to add new strategies to the bot and have it trade them without any coding.

Here are my discretionary trades for yesterday:

The first was MSM which stopped out for a 1R loss:

MSM

The second was GRMN which did basically nothing the entire day. (+.4R)

GRMN

Charts automatically generated by StockTickr.

2 Comments

  1. Jason Roberts Said,

    April 9, 2008 @ 8:35 am

    I’m in the process of building an automated trading system myself using .NET and integrating it with my broker’s API and datafeed. I already have a co-located server and a lot of the infrastructure and UI in place, so it’s all coming together. I can’t wait to get this thing up and running!

    Your automated trading system sounds interesting, but you don’t seem to really talk much about it beyond listing it’s day to day performance. I for one would love to hear more about it. For instance:

    1. Does your automated trading system send orders itself or do you enter them manually based on alerts?

    2. Did you build the system using off-the-shelf software like TradeStation or did you custom build your own in Java or .NET and then integrate a datafeed and broker API? If so, how much work was it to build and how long did it take you to get it up and running?

    3. Did you design the trading logic yourself using a combination of indicators and conditions based on your discretionary trading, or did you employ more exotic methods like neural networks and genetic algorithms?

    4. Did you back test the trading rules and if so and what type of software did you use?

    5. If you did back test, what type of back testing methodology did you follow to prevent curve fitting the data? Also, what level of performance did you require from the back test results before deciding to forward test and/or go live?

    6. What inspired you to build the system? Was it uglychart’s ATS or was this something you had been wanting to do for a while?

    7. What gave you the confidence that an automated trading system could work? You hear a lot about how these systems work for a while and then don’t and are basically never that successful. Then again maybe it’s just that the successful projects tend to keep quiet for fear of inviting competition, while the failures are more than happy to talk about what they tried.

    Anyway, those are just some of the questions that popped into my head?

    By the way, if you’d like to share war stories, ideas, etc, then feel free to send me an email.

  2. Dave Said,

    April 9, 2008 @ 12:16 pm

    Great comment, Jason. I’ll email you directly with some responses.

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