I let Ziggy, my futures scalping program, trade with real money this afternoon. I turned it loose in my account around 1:30pm and let it run until the end of the day. It had full authority to make trades and didn’t ask me if I approved or not.
Ziggy made 9 scalps with 6 wins and 3 losses in a nearly flatlined market, and made a total profit of $66.10. So it made $26.40 per hour, which is much better than minimum wage. And that was with one ES contract. With 10 contracts the profit would have been $661, and if I had sold my condo and given it 100 contacts to trade, it would have been $6,661. 
So, we have proof of concept: Ziggy will work in the real world. But a problem has surfaced. Should Ziggy use market orders or limit orders? Good fills are very important for a scalping program like Ziggy because it is like a discount retailer: working on razor-thin margins and making it up on volume.
At first glance, you would want to use limit orders to get the price that you have calculated to be a bargain for the recent price action. But limit orders also guarantee that you will miss trades, especially when the market is moving fast and runs away from your price. Market orders will always get filled, but the prices that you get will often be slightly worse than with limit orders. The good thing about the futures market is that I have never seen a bad tick. The ES never trades at some absurd price for one tick like you see SPY doing frequently, especially outside of regular trading hours. Because of that, you can use market orders with futures and not worry about getting pole-axed.
The frustrating thing is that back-testing and optimization can’t help your with making the limit-or-market order decision because no back-testing technology can precisely simulate a real market.
So, I think I will have Ziggy use market orders for now. The results it achieves will be less than those projected by my back-testing. However, I continue to make improvements and the back-testing results keep getting better and better, so while Ziggy’s transition into trading with real money won’t be completely smooth, I’m confident that it will be profitable.
(Note: I am not ignoring your comments, but I am pretty much coding around the clock and barely have time to read my own blog. So, don’t feel like I’m ignoring you.)
Matt:
That actually sounds fun! I was wondering how your program was doing and if you had live ammo yet.
Matt,
are you running it on think or swim?
I NEEEEEED TO LEARN TO CODE THERE!!!
Ameritrade program is easy and fantastic for signals. trade execution is just horrendous.
One Trillion Visualized
http://www.youtube.com/watch?v=at3MNu8BRwQ
Mitch, yes it is starting to be fun.
K, ThinkScript looks mickey-mouse to me, and TradeStation’s EasyLanguage dwarfs it in capabilities.
but is the actual trading done in TOS? once i get my strategy written I will also forward test my system with real money as I know 4.75 (after comissions too!!) profit ratio is too good to be true. 3 i’ll be ok in expectations
also…
Six Georgia banks fail, bringing 2009 U.S. tally to 64
LOL
YESSSSSSSSSSS I wanted 98.48 on SPY it hit 98.42 AH.
BINGO!!! REJECTION time next week
Hey matt,
ExpAverage(IDataHolder data, int length)
I’m trying to plot something like EMA 2 , 0 candles back & using 60min candles. crossing with same ema of 5
ExpAverage(close,EMA_2) [0] [60] > ExpAverage(close,EMA_5) [0] [60]
? I doubt it
current picks updated on my site. go check it out
once i transfer this to TOS I might even limit the current picks on the site to just the top 5 symbols there so I will have more time to learn coding and do other things important to me.
Just FYI
Matt,
Ziggy must be a fun and fulfilling project. Out of all the hours you’re spending on Ziggy, is that lines of code or refinement and testing?
I need to put more sweat equity in my efforts.
Keep on plugging at at that program Matt. You’re gonna need it in this market environment.
K and George, three of the main beneficiaries from cheap Central Bank money are GS, Copper and Shanghai Composite.
If I am not mistaken, GS and Shanghai are now +-50% above 200 SMA. Copper also way above, but closer to 30% above 200 SMA.
Could you run a prediction on GS and SSE Composite using your system? Not short-term view. More of a 3 month view.
If you have the time.
Thanks
Larry, I would need symbols (besides GS)
and I have specifically designed my system to use 4hr candles so If I use daily things will be skewed. but get me symbols and i’ll get you your answers
GS is a buy on daily though resistance at 170-178
K, from the top of my head Meredith said 180, didn’t she?
Larry,
My trading method has no long-term predictive ability. It is mainy used for trade entries and exits: True, these are “predictions”, but merely predicting accurate trade entries.
The Elliot Wavers would be the best at figuring future moves.
Sorry I can’t help.
I have no idea about that one Yerk,
if 180 it is then wow she must be on same page as me
K, George thanks.
GS. That’s what I thought. They made so much money in Q2 that the sky is the limit.
K, my bad – 186 was her target.
Other banks lagging – the bulls need the other banks to join the bonfire of the shorts
Larry
the most reliable source I follow (called jan high, march low within 1% months in advance, ignored june high (well he fought the downtrend a bit but warned on july 9th about looming melt-up to 1000 spx) just closed all longs. Downside reversal possible now at any point – 1k is his prime target, possible run up to 1.1k. He warns of the danger that pull-backs will not be bought… Target new lows before year end.
My favorite right now is top around 1040, we should see 1k. Trouble is dax target is 5350 which almost got hit on Friday. 1k spx should send the dax to 5500 which daxwise is pretty steep, not to mention 5800. So I’m a bit inconsistent here.
Monday will be interesting, for a further bullish run us should gap up. Maybe it is set-up that way because dax closed 1% below the highs and did not climb ah but spx closed at the highs. As we are sitting at some trendlines a reversal is possible.
Bears panicking, especially technical LT bears close to converting. What else would you expect from a govt sponsered run? Proof of the bearish case?
My 2cts – don’t blame me if reality does not confirm. You can always buy your stocks back, say at spx 1100
George,
you say “My trading method has no long-term predictive ability”. What would be a reason why it should not scale to higher time frames? Many folks are claiming the market has a fractal nature, fibs work on all time frames.
Still puzzled about yesterday’s discovery. You might want to give /es a try. I can’t see a break between premarket and market action. Most of the time it is pretty flat in Asian trading but wakes up during European trading. This is often blamed on the US govt interventions, but 40% of US prop trading are European banks so there should be some collusion.
Yerk,
My method works great on higher time frames. On daily and higher, the indicators need speeding up, but other than that, it’s great. (I use sto 8 and MACD 8.)
Actually, the proper way to use my method is to get in at the bottom and climb up using higher time frames, if the direction allows. That keeps the trade going and doesn’t miss significant bottoms.
As far as predicting… my method “follows” without anticipation except for confirmation of the indicators telling there is a progressive move into higher time frames.
K,
Dad had the same numbers you posted
yesterday. He died of a heart attack. I
suggest you follow String’s advice and
get homocystaine and CRP blood tests
to find out your current plaque status.
Your low HDL number is super dangerous.
HDL keeps the vessels clean…a low number
means that you probably have plaque
build-up.
George,
oh, I see I misunderstood you and we are in agreement. I forgot about your speeding up of the indicators but I will look into it. Actually the last bottom on the /es was a simultaneous move up on the 1h and the 1d and the lower frames quite well aligned. When the US opened the stampede was already on (dear Meredith giving her interview of course helped things but was not the starting point for the move. But she got the blame from the bears
Right now imo the weekly is driving the move and the daily indicates things should reverse some point in time. Do you have any patterns indicating a reversal within the time frame? I’m looking at the slope of the 9ema but it is not without fault. (slope with the trend, don’t trust a cross, slope flat or reversing go for it)
The scale 1:5:15:30:60:390:1950:7800 or even 1440:7200:28800 for a 24h trading day gives a ratio between the frames of 5:3:2:2:6.5(24):5:4. I like K’s idea to use intermediate time frames between the hourly and the daily. Or ignore the 30m?
Matt, as soon as open up on Ziggy, we all will be very helpful in dissecting and improving it
GL with the system in the wild
“you” missing in the last paragraph. Insert at the right place…
Yerk,
I will give exercise and diet change a try first then see if these levels really increase.
how old was your dad if i’m not being too personal.
K, aren’t you asking paula? Okay, I do most of the spamming here today, but not all of it.
K,
Dad was 37 years old.
K,
Most doctors do not run the proper blood
tests. Dad’s doctor did not. I suggest
you have the blood tests in my 12:44 post.
Sorry Paula,
lol. thanks for the info eeek thats scary will let doc know
K, No trading at TOS; their commissions are too high.
George, I go through a code-refine-test cycle once or twice per day. Each one takes about about five hours.
George
I have another strategy based on three time frames. I took your it’s the price mantra to heart. It is not Ziggy or Super, but let me know if you have any interest in backtesting. It has interesting results on all stocks. It also has a $.50 stop loss. Of course it stays over night so nothing stops a gap down below $.50. You might not be keen on backtesting since you already know what and when you want to trade. You had said you wanted to trade and put more capital to work this should meet that. There are losses, but small. Let me know.
String
Yerk, thanks. Make sense. But
200 day provide good support across if things turn south and that is converting bears.
I will be watching from the sidelines for a while.
Current news on the wire—USPS may not
be able to meet Oct. payroll…might issue
IOU’s.
Stringm,
Certainly I’d like the code. Great work! I’m not worried about losses when doing quant-type trades: I did that for years and was very successful. I can tell you this – with a good quant method, the wins are an inverse proportion to the losses. The trick is to keep the drawdown losses low and let the method play out sticking with the “good” trades. Doing this, losses are welcomed because the odds are in the method’s favor and when the wins come, they are much greater.
I’m also looking now more at “directing” funds instead of scalping. By that I mean catching the bigger waves and sticking with them with a stop-loss. Kind of like momentum plays.
Bigger waves would start at the 60min on up. Do the same thing I’m doing now but set it a forget it mentality. Part of the “trading farm”.
7 banks failed this weekend. also in the new.. commercial real estate… 1.8 trillion owned by regional banks like BBT whose half of balance sheet is with those.
fun stuff this should send SPX to 999 before reaching 666 again
paula,
I just joined Netflix so the USPS is getting more of my business. All the other stuff is handled online.
This could be the beginning of Internet taxes to pay for mail that isn’t being delivered.
Have I ever told you about the grit farm I had where the government paid me not to grow grits? Every year I threatened to grow more so they paid me more not to. I have the biggest non-growing grit farm in N.C.!
grow grits now!!!!!!!!!!
George,
Congrats! on your grit farm. We have friends
who drive to your state to enjoy grits for
breakfast…also biscuits. They tell us you
can’t beat a good Southern breakfast.
SPX in a megaphone pattern. TrimTabs
reports massive insider selling.
Yerk,
Try…evilspeculator.com….has some interesting
charts….likes 1046 on this run. Also checkout
Tim Knight’s Legends of the Fall.
paula, you’re faster to post than me and thanks … Using a megaphone pattern to announce the rally
I was expecting the market would take out the first big evil-line on Friday to behave like the dax. It didn’t, so now a gap-up on Monday to better align things? Anyway I read the ladies over there more attentively, women are the better traders. This is another nice one – to keep an open mind:
http://www.screencast.com/users/Keirsten/folders/Jing/media/654f52e1-9e2a-4a40-b13d-34d29e79a14c
paula,
Yes, Southern biscuits are wonderful. If you have a Hardee’s, it has some of the best around.
evilspeculator.com… cool name and site. Nice link.
Tks
George
I have named this “KISS a Turtlehead”. This is not all the code, you can add what you think optimizes it best for you. Pretty simple set up. The Daily 9MA has to be above the 21MA and the 21MA has to be above 36MA. The current 60 has to have the MACD above zero. The 15 is testing for new highs. This is where you add more lines if you want. The way it is now makes too many trades for my liking. So just start adding more 15 BAR tests looking back more bars than 5. It uses a cross of the MACD and signal lines for an exit on the 60 or a .50 loss.
You can also put the commission in the setup so the summary results are true numbers. Look at it and tell me how to improve. I just started playing with it yesterday, so I haven’t thought it through completely. What I found interesting was the small losses. In some cases losses far outnumbered the wins but it pulled a profit.
String
Entry
MovingAverage[MA,Close,9,0,D] > MovingAverage[MA,Close,21,0,D] AND
MovingAverage[MA,Close,21,0,D] > MovingAverage[MA,Close,36,0,D] AND
MACD[Diff,Close,8,13,5,60] > 0 AND
Bar[Close,15] > Bar[High,15,1] AND
Bar[Close,15] > Bar[High,15,2]AND
Bar[Close,15] > Bar[High,15,3]AND
Bar[Close,15] > Bar[High,15,4]AND
Bar[Close,15] > Bar[High,15,5]
Exit
MACD[Signal,Close,8,13,5,60] > MACD[MACD,Close,8,13,5,60] OR
EntryPrice - Bar[Close,D] > .50
Stringm,
I said “I’m also looking now more at “directing” funds instead of scalping.” I should have said “I’m also looking now more at “directing” SOME funds instead of scalping.”
Ain’t nevah gonna give up scalping anytime soon unless forced to, or $50 tax-per-trade comes along. Even then I may hang on ’cause it’s in my blood. Most likely do FOREX trading at that time, which I should be doing now except I’m so busy tending to chores on my trading farm.
George
Run this just like the last one, only use the 15 minute as the interval, since that is the lowest time frame.
String
Stringm,
You’ve done it again! I was curious how to check MA alignment, this is the ticket. KISS a turtlehead… NICE NAME! Hey, Matt has started something giving names to methods… cool.
I’ll take this piece of clay and work its innards. We have enough pieces, now if we can “string” them together properly…
I found the next bubble to burst.. :p
let’s just call it “Hope”
Yerk,
Thanks for the link.
George,
Where did you spend your big grit checks…
On your wife I hope.
Ouch!
http://dshort.com/charts/dueling-bears.html?dueling-bears-alt-real
Larry:
Thanks for that link – I was feeling like the cubs I saw once at a dinky little zoo – all alone with little hope for a good steak dinner and a frolic in larger pastures.
And grits!!!
Mitch. Bill Miller at Legg Mason is now very bullish.
Blindsided by Bear, Mr Miller sees Bull
http://online.wsj.com/article/SB124840178539578133.html
Larry,
In that link’s article, the first sentence tells bunches: “Mutual-fund manager Bill Miller, whose Legg Mason Value Trust was slammed in the market’s collapse, continues to see a brightening light at the end of the tunnel.”
I realize fund managers have to fight with one hand behind their backs. Most are fairly good at what they do. I’m not an authority on market direction, but how can they be trusted with their forecast(s) when they didn’t see the tunnel to begin with?
I have a trust issue/problem with most funds because of their lack of participation in market turns. Too many restrictions, so it’s not their fault.
paula,
I spent my grit checks buying more acreage to not grow more grits. Once you get above 50 acres, the profit percentage goes up about 10%. That’s enough to pay off the land over a period of 8 years.
If I keep doing this, I’ll own N.C. in about 1,000 years.
Yerk,
RE: “Anyway I read the ladies over there more attentively, women are the better traders.”
Exactly. My wife is a better trader than me. I need to start taking different hormones.
Fund managers are just like the Fed, they are not going to say what they think. Do really think that Bernanke would ever come out and say this has a good chance of going to Hell in a hand basket. He might think it in a corner of his mind, verbalizing would be a different story. Fund managers make money managing money. Do really think they are going to say stay in cash because this environment sucks eggs and you will be lucky to make money for 2-5 years.
George: I set mine to look back 12 bars on the 15M chart for a new high. So you have 7 line of tests to add. Less profit, but less trades. Set the interval to 5 instead of 15. test BUCY, CLF, BBT, SRS, and anything else you want.
String
George
How can your wife be a better trader than you? You are always making money and never take a loss. No way to do better than that! Added another line of code. Test the 9MA on the current daily to be greater than one Bar back. Changes won loss ratio favorably.
String
George,
Forget your 1000 year plan. You can’t
take it with you. Spend your fortune
on your wife.
Hope your brother is doing well.
Stringm,
Deb is a better trader because she does take losses and has bigger winners. I sell 3/4 at the initial run to resistance while she stays the course with usually the entire entry. She will have small losses while I have smaller gains.
All in the numbers.
paula,
Thanks for asking – my brother couldn’t be at a better place. They got him a brand-spanking new wheelchair (which he was sized for) and he can move out fairly quickly in it, just using his feet to pedal. They have lots of activities to keep them busy.
“Can’t take it with you” is very true. I hope to die poor.
/ES S&P future pivots..
R3 10001.75
R2 990.38
R1 985.25
P 973.88
S1 968.75
S2 957.38
S3 952.25
K,
Nice. Tks.
tomorrow mornin the SPX or SPY pivots.
just came home from a wedding 4hrs of dancing nonstop = great for cholesterol MUEHAHAHA night
TD and Rosenberg join forces – 70 slides about the state of the economy.
The End Of The End Of The Recession
http://www.zerohedge.com/sites/default/files/The%20End%20Of%20The%20End%20Of%20The%20Recession_0.pdf
Of course it does not help with the question how high can the market go, but it explains the gravitational pull
George, re Legg Mason. That was my point. Agree.
2. The Chinese are piling into the Shanghai Composite. Having seen their behavior at the Baccarat tables in Macau (it’s probably the same people) I am promising you guys one thing. They will not stop gambling as long as they have found a lucky guy on a lucky table on a lucky streak. They will continue and attract more pundits and pile on even more.
And as soon as the music stops, they will all leave the table right away.
I think we need the EW gang on this board to take a look at Shanghai Composite. This rally across the world is driven by news from China. We should pay attention to it, as well as the Chinese loan growth of 500% YoY.
Start with mid-2005 and draw the picture. (Yes I know about HK Mainland Shares).
Shanghai Composite
October 2005 approx. 1,100
October 2007 approx. 5,900
October 2008 approx. 1,800
July 2009 approx. 3,400
In my view it looks like we are in the third wave on the way up? (I have no idea on EW).
Thanks in advance, Larry.
Larry,
Shanghai just filled their breakaway gap from 2008, and the relative strength looks strong and increasing. As you know, the index can get turned back after gap-fill, but it does look like more upside action could be coming. Seems like the whole world could go either way right now… still lots of evidence on both sides (and clearly the real economy is irrelevant right now).
Yerk @ 11:54,
May I inquire as to who the accurate individual is you like to follow, and how does one subscribe? TIA.
Thanks Jungle.
Copper and Alu are surging. People are piling in.
Larry, did you see this ETH Zurich forecast the bubble will pop within the next 2 weeks? So the bulls believe Chinese gamblers will save the global economy. To me it looks like a prime example of Keynesian spending ending in the wrong places – eg liquidity inflow, stock market goes up, bad credit rises and pop. (Can’t happen anywhere else, for sure not…) Reminds me of the old saying the USSR forces the capitalists to behave and is very important to stabilize “our” system.
junglegirl, sure… how good is your German? I’ve reread the last forecast three times, slept over it and have still not figured out where he is expecting the top to be. Text not in line with charts, his forecast for the dax today is the opposite of the dow from the chart… Here’s the most recent dump from the oracle: http://tinyurl.com/nvzeon – (he explains the different service offerings somewhere in there. A couple of other fellows post on the site but I do not follow them)
Whilst being very canny at long-term targets, his short-term forecast quite often don’t work out and the short-term adjustments to his long-term targets are tricky. (Like he says now the bull is alive above 8474. Most likely we get a market reversal within 0.1 to 3 points of that number, then the dow falls further and he pops up and says bull alive above 82xx. After the June high we had this cycle I think three times…) This guy insists on using EW with the right feel, eg his counts tend to be loosely coupled with rules in Prechter’s book and to get adjusted on the way to hit the targets – and not the other way around. What I therefore do is to keep track of this major targets, try to reconcile them with other sources and ignore the way in between. Please come back if you have further questions.
Yerk, I have read those predictions for a while.
Do not underestimate the Chinese willingness to continue gambling when they have found a lucky table.
futures got within 1.25 points of the R1 and retraced. let’s see if this is it
and now we bounced off of P
Yerk. Thanks for the zerohedge. Read tonight.