system

Ten psychological components of successful trading

If you pick up comparisons, then the model of successful trading can be compared with the behavior of a hunter, predator or warrior. In his book The Art of War, Sun Tzu notes, that wars are won before, how do they start. Think about, what conclusions can be drawn from this thesis. When applied to trading, this means, that the success of the deal is determined even before the opening of the position by your mental state and the preparation carried out. Maybe, this statement is not completely true, but I believe, that these two factors have a common effect on your success. Also the quoted quote highlights, how important is the first part of a successful trading model - introspection. Continuation : Ten psychological components of successful trading

Warning!!!!

There is often an opinion of players and traders of various markets that, that profit is never small, what should be taken from the market then, what eu…

Failed grail.

Think, that many do not even suspect that their highly profitable systems are looking to the future. In fact, it is easy to determine — if the system shows a result much higher than expected, then with confidence 100% we can conclude that something is wrong, because miracles do not happen. That's just where the catch is, sometimes it's hard from the first, or even from the second or third time to determine. I, too, am no exception, and from time to time I find myself on various sophisticated peeps of the system into the future.. While peeping into the future, which will be discussed below, not so sophisticated, but, surprisingly, I fell for it and did not suspect about it for about a couple of weeks until today I was convinced by a real example. Therefore, it is very important not to rush into battle with full strength immediately after creating the system., rather check, test on real life with the smallest possible position size for some time, closely accompanying transactions by hand.

All in all, I created an intraday system, the content of which is approximately the following:

1. Entrance — if candles and indicators on the daily chart create a certain configuration (I will not disclose specifically as it is not important for this story), then we place a limit order to open a position at the price of the extremum of the previous candlestick against its direction. In the example in the picture there was a purchase:

2. Exit —
and) At the close of the session.
in) For a limit order at a price equal to the middle of the previous candle (in the figure, the exit point is indicated by a red dot)
I.e, if the limit order is not triggered, then we exit at the close of the session.

3. MM —
We play only the most liquid stocks with a dollar volume of more than 100 000 000 dollars per session.
I divide the deposit into 20 parts, that is, one part is 5% from the deposit. If we have 100 000 Dollars, then one position is opened with the amount 5 000 Dollars. It means, what if, even hypothetically, we lose the entire position in one session to zero, then this loss will be all 5% from the deposit. This is our stop. Such, certainly, will never happen, but MM must always be present, otherwise, as a result of an unforeseen catastrophe, you can always go broke.

And here's what happened on the tests of the daily charts since the beginning of this year.:

In fact, the results are fantastic. — Sharpe 7.8, profit 86% with a drawdown of everything 2%, recoveries 17 !!!!!!!!!!!!!! A schedule of equity for 8 MONTHS THAT DOESN'T HAPPEN at all!!!!!

Tested for 5 years, behind 10 — there is generally equity in the form of a straight line at an angle 45% with a maximum drawdown of about 3%, but her of course, on such a long period, the chart does not show.

All in all, I felt that this does not happen, but could not find the catch in any way, although it lies on the surface and how I did not immediately see it, I don't mind — any first grader would see it :)
It's good that you had the mind to start tests on the real world with the minimum position size, otherwise he could have the maximum to quickly redeem the peninsula of Barbados :)

Results of the week.

Friday. Subtotals for the week. Intensive workouts to restore fitness. I ran for three days, rode a bike one day, Roller skating for two days, I drink vodka tomorrow.
And here are the systems for US stocks since the beginning of the year. Note — System # 1 began to trade unsystematically, since there are signals during the session and when I am not there, of course, what, what they do, what is not — result one.

Systems for futures. There are almost no positions, therefore, while futures have little effect on the overall result.
The following positions are open according to System # 1:

The following positions are open according to System # 2:

System No. 3 is the longest, that's why there are more positions — mostly, which did not close during the last correction, unlike Systems No. 1 and 2.

According to System No. 4, which is not doing very well this year:


as well as long ZN and long 6B (from other brokers)

Correction continues on MICEX, therefore, there are almost no positions. Portfolio same as last week, filled on 10%. Rostelecom was closed this week, but an issuer appeared with a previously unknown name. I have no idea what they are doing at all. Since the beginning of trading, so far minus 6,8% which is slightly better than the MICEX index for the same period.

System for US shares

Started playing a new system. While trial size, since it is impossible to test it to the end, since some nuances cannot be programmed. One can only check, does this approach have a statistical advantage over a long time interval, on a large number of shares, checking on a wide variety of layouts, and I have plenty of them, since every month there is 3 new sheet — some shares are dropped from them, others arrive. And on stocks from indices, e.g. Russell1000, 2000, 3000, SiPi 500, 400, 600 and so on.
All in all, the system confidently replays the indices on all sheets. System for American stocks, only long, short-term, we can say swing with an average time in position 4-5 days. Commission costs were applied in tests 0.015 per share (one way). Simultaneously allowed 10 open positions.
Currently being tested in WL4 on all retired stocks before 2007 years with a liquidity filter, certainly. It's already been spinning for four hours, but it only came to tickers, starting with the letter M. Suspect, what when it comes to the last letter, the program will hang, as is very often the case in such cases.
And here is a test on one of the sheets from almost 2500 Shares. The rest of the sheets get similar results.:

The robot learns.

The counter-trend algorithm is gradually becoming overgrown with meat. New conditions for entry are being added. Making a normal counter-trend turned out to be more difficult, than trend following model, Nevertheless, on the five-year tests of the PTC index, he is in the black, bypasses buy and hold, and has a significantly lower drawdown. On the positive side: the model is universal, and can work in different market conditions without additional optimization; the amount traded can be quite decent. Of the cons: profit, for now, only slightly exceeds the yield on a good bank deposit; the drawdown is still too big. From current tasks, reduce drawdown by three times, and increase profitability, so that you can hang shoulders and capitalize interest. I figured out how to screw on another filter tonight, We will try. At this moment, the biggest difficulty, prohibit the robot from entering the countertrend in narrow flat zones, after significant movements, with the potential to continue. Sometimes he misses delicious reversals too..

Algo trading against intuition…

That's interesting, shortly before the closure of Russia, short signal triggered on ES-mini. If a robot stood in the long on a Gazprom futures, he would go on like this – there was no cancellation, but somehow I didn’t risk it for the weekend, closed. Until the end decided for myself, if you trade system signals, one instrument at a time, is it necessary to look for correlations in other, who are considered leading, or is it all prejudice. On monday we will see.

Algorithmization.

В настоящий момент выработано два подхода, трендовый и контртрендовый (как оригинально, ха-ха). Трендовый имеет большее количество верных сигналов, но безопасные условия для входа возникают не так часто. Плюсы контртрендовогоблизкие стопы, возможность поймать разворот и взять бОльшую часть движения, но количество истинных сигналов поменьше. Для каждого подхода выработан список условий, который должен полностью сооблюдаться. Для контртренда он более объемный (с десяток основных, плюс подпункты). Когда это все собралось, естественным образом возник вопрос о целесообразности ручной торговли. Happened, что самое слабое звено в цепочкеэто я сам. Ie. когда система оформилась, It revealed, что руками, в силу определенных особенностей своего характера, и образа жизни, я по ней торговать не смогу, да и не самоцель это. И довольно трудно оказалось, иногда взглянув на график, прогнать соответствие текущей ситуации всем факторам, на различных инструментах. So that, вполне логично появились предпосылки к роботизации. Хотя сам я, long time, был противником МТС, в проекции на себя.

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