Personal Algo Trading

[NW-Bound]

Depending on what the market is doing, my system on average is executing between 10 and 50 round trip trades a day. Since May of last year, it's done 3400 round trip trades. Ultimately, I'd like to see it doing 500 to 1000 a day!

Holy cow!

I think the most I have done is 50 option sales, not round trip, and in 1 week, not 1 day.

My gosh, with that much trading, the screen would be a blur, can you really watch it execute?

It had better be well debugged. I can see a mistake driving your stash to 0 in a matter of hours.

 

[njhowie]

It had better be well debugged. I can see a mistake driving your stash to 0 in a matter of hours.

Of course - with numerous mechanisms for configuring hurdles so it cannot go out of control.

That's why I spent 2 months in the sandbox after development and before going live.

 

[MRG]

Holy cow!



I think the most I have done is 50 option sales, not round trip, and in 1 week, not 1 day.



My gosh, with that much trading, the screen would be a blur, can you really watch it execute?



It had better be well debugged. I can see a mistake driving your stash to 0 in a matter of hours. [emoji23]

About 2008 I was in some group of active traders and met a father son team who were doing trades on the VIX.. The son claimed to be a software developer and didn't seem particularly bright but who knows, I'm not a desktop developer. They had done programmatic trades on some test platform and went live with dad's life savings. As it ran they started realizing the testbed had some omissions and so did their code. It didn't end well.

 

[Kroeran]

Interesting thread.

As someone with a lifetime in software I've been coding my own strategies using C# in a platform called NinjaTrader (somewhat silly name but it is a good piece of software, and the free version offers plenty of functionality).

Using the trading platform APIs would work just as well I'm sure.

Mainly focus on swing trading meaning a few days rather than intraday but that is just a flavor.

Keeps me amused during retirement, and sometimes makes me $.

Ninjatrader has tools to enable a non programmer to design algo systems, back test including “walk forwards”, optimize parameters.

I have had a lisenced version for decades and could never find a tradable pattern.

In Canada you can link it to an Interactive Brokers RRSP account.

My suspicion is that the pro teams of PHDs with supercomputers across the street from the exchanges feed off of solo amateurs.