Automated trading - yes, algos!

Hi Chartsview, it's been a while

Just thought I'd pop on and say hello and see if anyone is interested in automating trading strategies?

Over the summer I've been manually backtesting a system to trade FX pairs on 5 min charts and it went quite well, especially in the area of risk/loss control which is must. The only problem is that I was backtesting it each day after work so I don't actually know when during the 5 min bar the trades would have executed - I have to make an assumption that the signal was given at the beginning or end of the bar. This will balance out to a degree but overall I think that the results are skewed and make the strategy look slightly more favourable than it really is.

So, I'm on a quest to find a way of automating then backtesting this strategy (and, by extension, any others).

City Index allow coded strategies but I can't code (it requires either C++, C# or maybe Python, I'll have to check) so I was wondering if there is an App which allows a kind of drag and drop indicator tool which writes the code for you. I've got a discussion going on an algorithm trading group in LinkedIn and have had some really helpful suggestions which I'll look into as soon as I get the chance.

Anyway, just thought I'd pop in and let you know. I'm happy to share the strategy with CV members and, of course, if I'm successful in automating it I'll speak with Remo and Ronnie to see we can do something about that too (assuming it's successful).

Hope you're all doing well and have made a few £s during these last 2 volatile years!

Kind regards,

J

Jackozy,good to see you back, first time I've checked in here for a while and when saw your name at the top of recent posts thought I must have somehow got them in descending order!

Hope you're well, are you back in the UK now?

I tried to find some automated way of recording high/low/open/close points on 5 mun bars too feed to an alto but my coding skills were no where good enough. Not a direct solution to your problem but if youre doing it manually couldn't you compare the 5min to the 1min to get a better idea of the execution time...or maybe even use software to record a chart running real time so you could go back to the bar you were interested in?

Jackozy! How you keeping mate, it's been way too long!
Hope everything is going well for you and the family

Sounds interesting what you've been working on, unfortunately I haven't got any coding skills but if there's any other way I can help with your system just let me know.

Keep well and keep in contact

Nice to see you Jackozy! Hope you and family are well.

We have missed you at ChartsView

Sorry myself and Remo have been very busy lately but we will look into it and get back to you with any ideas.

The system sounds great.

Hi Jackozy hope you're keeping well. Have you tried IG's automated tools?

I haven't looked in detail but you can backtest setups to see how would have faired. Not sure if this is what you are looking for.

All the best

Amo

Hi all,

Apologies for the delayed reply.

Ronmould: thanks and hope you're good too? Yes, back in the UK and have been since May 2014. Based in Glasgow - it's like Manchester with wind and hills.

Yes, the multiple timeframe idea was one option. Or, preferably, a way of getting the system to monitor current price instead of only considering open/close with an entry in the following bar. Flexibility usually means cost and complexity though.

CT79: thanks - hope you're good too mate? I think there should be a tool out there but whether it's got the flexibility and accuracy needed to profit from it is another question.

Ronnie: thank you. We're all good thanks, hope you and the familty are too? Just busy as I'm sure you'll understand. I'm on an easy contract at the moment and I've completed my qualification (for now) so had some spare mental capacity and thought I'd look at automated trading. I know the figures from the manual test are skewed positively. I could verify them but it would take me weeks. An automated backtest is much faster. And on that note:

Amo: hi there - thanks for your suggestion. I've looked into that and have set up a system and optimised it this weekend. It can't execute trades when I would like so I'll need to see if I can play about with it. It appears to only allow execution on open of the bar following closing confirmation. Part of the way PSAR works is to create the signal intra-bar so ideally I need to find a way to allow that.

I'll keep you all posted but please be patient as I don't have a lot of spare time to develop this.

For anyone wanting to play about, the system is:

Plot a long term MA. (MA needs optimising)
Plot PSAR and MACD (parameters need optimising)

Enter long when price > MA AND (in either order) PSAR gives uptrend signal AND MACD line crosses over MACD signal line.

Exit long when PSAR reverses trend.

Enter short when price < MA AND (in either order) PSAR gives downtrend signal AND MACD line crosses under MACD signal line.

Exit short when PSAR reverses.

Cheers,

J.