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Anyone making a consistent profit with a live system?

Posted By tbwerz 14 Years Ago
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Posted Thursday August 16 2007
I am new to automated trading systems but have a pretty solid IT/data mining background and tried my hand at daytrading a couple years back (making a small profit).  I was just curious as to how other people who are running live systems are doing and how much work it's been (both good and bad experiences).   I'm not asking for you to share your methods if you don't want to.

-Tom

phg
Supreme Being (157,171 reputation)Supreme Being (157,171 reputation)Supreme Being (157,171 reputation)Supreme Being (157,171 reputation)Supreme Being (157,171 reputation)Supreme Being (157,171 reputation)Supreme Being (157,171 reputation)Supreme Being (157,171 reputation)Supreme Being (157,171 reputation)
Posted Friday August 17 2007
I am currently running an unsophisticated strategy live on an IB account. The strategy (C#) and sporadic reports on how things are going are found on the rightedge-ats Yahoo group. You are most welcome to join. It is a proof of the pudding kind of thing. First, it demonstates that everything works as it is supposed to. Second, the strategy files illustate how to use a number of features of RE, including the DnD; the code is liberally commented. Last, and definitely not least, this simple strategy is making real profits, albeit small. Bottom line: the water's fine, jump right in.


Posted Saturday August 18 2007
Well, I would like to add just a bit of caution here. BigGrin  ... phg has taken many baby steps to get where he is and has overcome some problems and shortcoming that he's encountered.  Plus, I know that Pete is an experienced trader.  Based on my personal experience, I jumped into running live systems way too early in the process (around 2001).  I proceeded to lose money and only then did I begin to try and figure out why.  So long story short, I don't how far along you are in your personal trading development and your system development, but this plays a big part in how well you do just coming out of the gate.

My 2 cents.

Posted Saturday August 18 2007
Understood, Bill..    I am just trying to get an idea of how well this is working for other people so I can evaluate my progress as well as determine how much effort to put into it   Smile
Posted Friday September 14 2007
I've found that, just like everything else, you have to look hard in places where no one else is looking and bring your unique skill set to the table. I think it unlikely that anything found in a book will be very profitable but that strategies involving: difficult math, difficult programming, highly developed market intuition are more likely to work.

Multi-million dollar a year profits with no risk are certainly obtainable but it takes a lot of work. Of course, you have discover/exploit an arbitrage and then continually improve it so it becomes hard for others to break in. I led an investing group for a while and tried to get them to help research different areas in the market in return for a cut of the profits but I ran into a lot of resistance when it came time to do actual work. Even multi-million dollar incentives are not enough for most people to spend 5-8 hours a day (or night) doing real work. A deep understanding of tuning extended Kalman Filters, using Principle Component Analysis, reading detailed contract settlement instructions, etc is difficult and time-consuming and puts stress on the rest of your life. For most people it's just not worth it.

By 'no-risk' I mean that I have about 20-40 seconds of market exposure per day. So I guess there is 'some' risk, but it's small.
Posted Friday September 14 2007
I've some fully automated systems on C2. (see my signature)

They are currently driven by WL, but I plan to switch to RE as soon as enough autotrade features are available in RE.

It took me about 5 years (several hours a day) to arrive at these systems.
(Not counting the years at university for basic education in math and physics and general scientific training).


www.finantic.de

Our Trading System at C2: Topaz
Posted Friday January 18 2008
Multi million dollar per year means you have an existing pool of more times that.

Automated systems leverage effect :



Not to shatter the dreams , there are however hard facts :

95% losers , 5% winners...
Constant winners being the clearer's...Followed by banks and hedge funds...The retails come in last position to make it to the 2% , being that they are at a constant disadvantage (Spread , news , execution times , requotes , liquidity, Investment in R&D and so forth).

Even a back tested model might lose money in live trading...
Live vs backtests will give different results.

Then if you do achieve a trading system , you will be passing orders at a broker , and when your orders are large enough , attract the attention of large corporates/Dealers..(Looking for stop clusters).
You can also pass orders anonymously now with a few clearer's , Sizes of this orders are 100 to 200M minimum trades.

The other thing to take note of , is financial markets are by no means "static" , but have an evolutionary structure.

Not easy as it looks by any means , and a life time of R&D.

Rightedge , however could give an edge to retails vs any other platforms , particularly TS , MT4 and so forth :

-bid , ask data.
-ticks.
-Provider/clearer of your choice.
-SQL
-Customization through advanced language (c# , vb)
-Non linear analysis.

I have looked with interests at Rightedge in the past (before 1.0, a year ago or so) ..Before ticks were added , it was a good retail platform (as good as TS , MT4 and so forth), now this new version gives you bigger chances against the odds than the other platforms.


The product is now as good as truviso's , which costs Rightedge x THOUSANDS (per month)..The ability to have multiple symbols portfolio real time based on ticks (and their aggregate) is new to retail platforms.

The limit being your own (Research , Development , programming knowledge , non linear analysis , quants ,data mining , NN and so forth).

We say though in french , "L impossible n'est pas Francais!".

Good Luck.

Edited: Friday January 18 2008 by FXMC
Posted Saturday January 19 2008
How does the added ticks improve a system in your view?

How can i implement the ticks in a system and what do the ticks tell me?

Posted Friday July 10 2020
We can say that the period of students is one of the most crucial moments in our lives.
After leaving school, we have an important question - is the choice of a profession, the choice of our future path. And the most important thing at this moment is to make this choice consciously. Now I am engaged in trading and making a consistent profit with live systems. It brings me more pleasure than political science. Sometimes I use the services of https://www.affordablepapers.com/ fast cheap essay writing service to write a good business plan. It looks like things are okay.

Edited: Monday July 13 2020 by peferaits
Posted Wednesday August 19 2020
Interesting


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