I let Ziggy, my automated futures-trading program, trade one SPX futures contract (ES) all week. It finished with a $297 profit. Here is the equity-curve chart for the week (click to enlarge):
And here are the daily totals:
As you can see, Monday and Tuesday were a disaster. There are two reason for that. First, both days were “reversal days” where prices glided down in the morning, and glided back up in the afternoon. Those are the worst days for Ziggy. Fortunately, they only occur once a month or so, but I had the bad luck of getting hit with two of them to start the week.
The second reason for the losses was slippage. My initial tests showed that Ziggy could do OK with market orders, but it turns out that that was a wrong conclusion. Ziggy got nickled-and-dimed to death with bad fills on Monday and Tuesday to the tune of about $300.
So, on Tuesday night, I re-tooled for limit orders, which is a big deal because it complicates the program’s logic. I don’t have an ideal solution to the problem of un-filled orders yet, but the new version works much better in the real world. As you can see on the “7/29/2009 – 7/31/2009″ line of the table above, Ziggy v2.00 made $979 from Wednesday to Friday, with a 60% batting average.
Wednesday was the big day. That was the type of day that I had in mind when I first started working on the program. The SPX barely moved, but the intra-day action was wonderfully volatile. Watching Ziggy on Wednesday was like watching a John Deere combine harvesting the crop.
So, even though the week started out with an industrial accident, I’m very happy with how it finished up. It’s not easy to watch your computer makes trades. It requires a lot of discipline to resist the urge to “help” it. I only did that three times over the entire week, and without my “help”, Ziggy would have made another $100 or so.
It’s a funny thing; while I have coded my trading rules into software, the software is a much better trader than I am. Ziggy always follows its trading rules, it trades without emotion, like a robot, and it has perfect concentration. The latter is very important for scalping, which is sort of like driving a race car: if you doze off for just a few seconds, you might crash and burn.
Ziggy can make enough money to pay for its own electricity now, so it’s earning its keep. If it can prove itself over the next couple of weeks by building up enough equity, I will let it trade two contracts. At that point, I can start working on code that scales into, and out of, positions to get better average prices.
CONGRATS!!!
I just wish ameritrade was good enough to execute trades automatically for the past 2 weeks i would have made a killing with automated. I instead went more short and more short via options LOL
oh that day will come where Ziggy and SuperK will meet. but right now they are on different worlds
again CONGRATS MATT
wow I need to get the Krugman book for the fall semester International Trade Class
http://www.amazon.com/International-Economics-Theory-Policy-Addison-Wesley/dp/0321493044
one last comment.
going back to the 22nd (how far i was able to go in TOS) 15:55 today in futures had the biggest volume spike in the 5 minute chart almost 150k contracts were traded..
just sayin…
nice work! Ive been daytrading almost exclusively lately and will at some pt set up a program for the e-minis on my tradestation account. Keeping one’s attention of the whole day is v difficult so I generally take a break mid-day so I don’t get beat up on the close from making poor decisions due to fatigue. I havent started yet but programming the system to recognize the whole consolidation vs trending scenario so you don’t get burned when it is trending I could imagine would be v hard. Nevermind just making a profitable program which is a feat in itself!
This sounds v lo fi but on trending days when v often the indicators will get maxed out and the market will continue plowing ahead although they are maxed out. Ever consider just having the program call it a day when say it runs across ‘x’ number of losing trades on such a day and just wait for one of those whippy, consolidation type days where it generally cleans up?
this is assuming we are seeing more consolidation days than trending days of course….
K,
Yes, that is a lot of contracts. The last time the ES exceeded that volume was at the close on June 30th. So maybe there is some sort of end-of-month thing going on.
Matt
also…
http://www.mademan.com/trader
HEHE some weekend fun
greenlander,
Yes, I have experimented with dozens and dozens of strategies. So far, profits always drop whenever I have Ziggy stop trading for any reason. It’s batting average may go up, but overall profits fall, so I let trade non-stop for now.
For example, on a trend day, it might take big losses as the market shoots up, or plunges down, in the morning. But it makes it all back, and then some, when the market consolidates in the afternoon.
However, I am working on trend-detection code. I have a couple of things that work pretty well so far. But chasing trends is a completely different style of trading, and it’s not easy making a scalping program jump onto trends when they appear. But in the long run, I think I can eventually work it out.
Matt
K,
Check this out: over the past hour I took TradeStation’s Floor Trader Pivot indicator, turned it into a function so that I can use it in strategies, and then made a “Short R3″ strategy. Trading one ES contract, using a stop-loss of $100, and a profit-target of $500, it made 5 trades since June, got stopped out of 3 of them and finished with a $700 profit.
Here is the line of code that makes the trade:
if close crosses above R3 then SellShort (“Short R3″) 1 contract next bar at market;
That was just my first stab at using the pivots. It’s obvious that we should expect support/resistance at those levels, but what are the best ways to trade off of them?
I’m going to see if using the pivots will help Ziggy with scalping.
Matt
throwing ideas around is a great way to make ziggy 3.0 and superK 2.0 and the KISS or whatever everyone else here has LOL
thanks for that Matt,
Am getting used to TOS for now and hopefully in a year or 2 have enough cash to go tradestation
Yeh when I get my stuff going I am leaning towards more low volume trading program. I think if I tried to orchestrate something that was v active my head would explode trying to optimize it. When I get more comfortable w letting it run I think I will open up its parameters more. But when I get it going, Im just try to make something that doesnt lose me money to begin with and hopefully add more wrinkles.
Anyhow good luck on the trend-detection code. You could have a monster tractor in the making!
On another note, do you feel like the programming has helped your actual trading, i.e. helping you become more systematic and disciplined? Taht was one reason why I am interested in programming.
Matt
Good work!!. Forget fine tuning, and don’t worry about the losses. They are just part of doing business. Just make sure you are the best loser there is. We are all losers playing this game. The only winners are the best losers. Keep the losses small and gun the winners. Just trade 10 contracts and take home 3k a week. If you can’t live on that then I will show you how!!!!!
String
but yeah Matt, Like you said we should expect resistance.
but now check down GLD pivots for today.
R3 was at 92.7 for gold and it reached up to 94.03 so I guess you could give it 15 cents stop loss from 92.7? get out at 92.85 perhaps.
I will also study my own pivot indicator and work something out but I can’t backtest TOS too far back hence i will see what SD offers in terms of pivots and strategies
greenlander,
I feel like programming helps but like Matt noted that he “helped” his automated system a few times.
It’s hard to watch the system get in and go red.
you expect it to give you green all the time.
good luck and keep us posted
i’ve been telling you guys to subscribe to the free monthly SFO magazine but don’t know how many did. just got august issue and talks plenty about strategies and system testing
http://www.sfomag.com
take care
ok i now found one of the articles here but it looke better in print
http://www.sfomag.com/article.aspx?ID=1382&issueID=c
1020 is the level of SPX that i will put 25% of my account short SPY!!
GDP actually at -2.3%
http://econompicdata.blogspot.com/2009/07/q2-gdp-closer-to-23-accounting-for.html
Matt, when I retire I would like to buy a copy of Ziggy.
2. Denninger is suddenly afraid of a US Dollar crisis. He has done the math. Mish has done an EW count of USD and says it might go higher now. Over in the inflation camp they don’t know what to say either and are just praying for a peaceful end to the madness.
I think the two camps need to join forces and try to increase voice across the world.
Meawhile, the growth rate of stimulus (emphasis rate of growth) will start to slow now in both China and USA. That should lead to a crash soon. So the first bubble lasted 19 years, the second lasted 7 years, and this third one will last only 6 months. The next bubble after this should therefore last only 1-2 weeks.
Joking aside.
100% cash.
more on the GDP
http://market-ticker.org/archives/1281-CNBC-With-Dennis-Kneale-731.html
Larry,
If you bought Ziggy now, maybe you could retire now?
But, Matt would not sell it!!!!!!!
I hope not
K,
That was an excellent article you linked to sofomag. The author’s explanation about risk was parallel to mine except he communicated its role best. No matter how much risk is beginning to be eliminated, this country will turn to pansies if we continue on that course.
On page 4, “Follow The Path”, the author explains the true mindset of a trader. It is difficult to live by that 100% but even 80% will produce excellent results. These trader characteristics are paramount to success.
I’m going to frame this puppy and hang it on my wall.
K, I know. But I will make him a good offer in a couple of years.
George, what do you see? S&P500 in a 6 month time-frame. I see we are almost there, unless this is a secular bull, which it isn’t.
Dear Larry – curious when you say 100% cash, is it the US Dollar?
Stuck in Kiev until mid August, thanks to all on this board for keeping me current with the markets and with links to articles.
George,
There are about 5 more articles in the august issue which I still am not done with. I think you should subscribe to it for the future releases. just unsubscribe from their daily email reports of the market if you don’t care for it but that I also find helpful in summarizing a day.
for example here is friday’s stock market wrap
http://tinyurl.com/luspgt
Some very useful articles published on the magazine and on SFO mag every month I love it.. it’s FREE too
one more
http://www.safehaven.com/article-14073.htm
WOW!!
http://danericselliottwaves.blogspot.com/2009/08/p2-massive-grand-supercycle-backtest.html
everyone but cnbc is now ready for the new crash
K, Thanks for the links. Will check it out.
Randall, I am too confident now after the luck of the past 15 months. The only safe place in that situation is cash. NOK and Asian Currencies.
I am a fool and a fool will always find a way to make a fool of himself and lose all his “hard-earned” money (digits).
How is Kyiv? Mini-Depression after the fake boom, or are they warming up the printing presses again?
heh I am stirring up the twittersphere with that last link and I think I will have enough influence to crash the market monday
(time to go dream like FAZ a few months ago) Dreams do come true.!!
Matt,
Congrats on your progress. We tested limit
vs market orders and discovered that with
our broker limit orders was the way to go.
Trend days are big money days…hope you
can work it out.
I know, I know, my days and nights are messed up during this recoup.
Matt,
Those are great descriptions you’ve been giving Ziggy. Is that fun, or what? By all accounts, it is making profits and that is remarkable. Sure, it can be tweaked to do better. Considering all of the hours it will save not having to manually watch and make trades is a great benefit.
My plan is to have something like that in place within the next 4 years. I don’t want to day-trade when I’m 70yrs old. Naturally, I’ll get something going sooner than that, but my environment at this time has not allowed me to do that. Maybe when this construction wraps up toward year-end.
And, thanks for the updates on Ziggy, the Automated Trading Mattchine.
McCulley of PIMCO says we need 0% rates till at least 2011. Because global aggregate demand will be below global aggregate supply.
No mention of unintended consequences. But I guess that doesn’t fit into their economic models. I hope PIMCO buys stocks and real estate in Shanghai next week.
http://www.bloomberg.com/apps/news?pid=20601087&sid=aPZx5kGyDavA
Larry,
RE: “George, what do you see? S&P500 in a 6 month time-frame. I see we are almost there, unless this is a secular bull, which it isn’t.”
K’s safehaven link was an interesting take on the market’s future. Honestly, I don’t know, but I do like to be prepared. I would never make a trade based upon Elliot Wave or other predictive methods and especially CNBC or Kramer.
There’s so much interpretation as to what makes a bull or bear market. More so if one has possibly begun. Additionally, there are too many extraneous events that control their speed and duration.
I do check higher time frames each night to get an overall picture of the market. Not for a “feeling” of how I may trade but more for a directional perspective: More like, will I be trading bigger counter moves, and which direction. Also, I want to know where the 3,9,36MAs are on those time frames because while the lower time frames drive the higher, the higher time frames affect (sometimes provide) the support and resistance for the lower.
I’ve given up trying to figure out what will happen next – burns too much.
That being said:
The VIX is a slow boat to change course which makes it a nice confirmation indicator. I use the VIX indicator on all intraday time frames although I don’t use it to decide trade entries or exits. I will use it on higher time frames for confirmation of continuation if I’ve gotten into a trade on a lower time frame.
On the monthly SPX, there hasn’t been a buy signal using standard indicator settings (that I use). Using the speeded-up settings, there was a buy on the monthly last month, July. However (don’t you just luv disclaimers?), the slow boat, Mr. VIX, has not confirmed nor has it turned up significantly.
In the hierarchy of boat-turning-indicators from fast to slow are price, stochastic, MACD, and VIX. Therefore, since there is not an agreement among these, this move up will fail to go to fruition then drop back for another try.
My guess is one, or less than one month continue up, drop back for 2-3 months to test the monthly 9MA, then ?????
…and this is WAY more than you probably wanted. It just felt good to write it because I took my pain pills and I’m in ozone.
Really, it’s good to discuss this stuff to pick each others’ brains as to our thoughts.
Geeze, Larry, you up too? I think I’m going to hit it soon.
George, I live in asia
Thanks George, that was excellent commentary. The VIX made a double-top in Nov and Dec. It has reached the bottom target. It looks ready to make a move soon.
K,
Who is that McHugh guy? He’s talking about RUT and some sectors going to zero IF certain patterns play out!
Interesting statement: “Will 50 percent of all jobs in America eventually be either in the healthcare industry or the government? That is no framework for a prosperous nation.” Too late to be a forecast Robert, the government is already there. Question is, how do we profit from it?
I see at the bottom of the article he’s already praying.
Intense stuff. I’ll have to read it closer when I’m not so groggy.
…just sayin’
Larry,
Yes, the VIX is compressing like Matt’s spring. Need something to set this jack-in-the-box off. I’m hoping for those highly volatile times we had earlier. I’m making my inverse plans as we type. Got them all lined up. Not too anxious though, need to let this move up play out.
Let’s set some traps.
Larry,
Asia. Ah, that explains it. Well, good afternoon or evening. See you today again some time.
George,
I take all these articles with a grain of salt. But I never hesitate to read them to have different perspectives.
he wrote an article about 1 year ago kind of predicting the crash technically
http://www.safehaven.com/article-10840.htm
and if you google him you get here
https://www.technicalindicatorindex.com/ and the about us tells you more about the guy
like I said Take it with a grain or a pinch of salt but keep an eye out I guess
oh and sorry for all the links!
now let’s get entertained and see how you use your day
http://www.nytimes.com/interactive/2009/07/31/business/20080801-metrics-graphic.html
K,
Amazing how that nytimes activity chart looks like this
and this http://tinyurl.com/mkxhsu … funny.
Matt, re your trending question sometimes it works like a charm, sometimes not but I suggest analyzing the /es set-up before the regular market opens George style a try. Maybe some divergence between spx and es could be interesting as well. I do lack the data to back test this, but you might want to give it a try.
btw, the withholding taxes chart urgently needs a second derivative improvement…
George, are going to sell your Ford now? Great performance on that one!!
In general weekly and daily indicate limited upside now, so the monthly might miss its buy signal.
K, ewt claims to work over 220 years? “This overthrow was largely the result of the expansion of credit which allowed people to borrow their way to a way of life that nature would normally keep in check. This is what Prechter could not possibly foresee nor predict.” When you’re off by 10% on the big cylce that might be more than 10 years which will stretch your solvency…
I was no friend of the 29 redux, as corporate earnings didn’t play along. What was different this time was that ridiculously expectations created an atmosphere of growth so we got the long bump up. Now comes the slide. US gdp past quarters got revised downward (anyone trusting the current reading?) – and the big savior was the massive increase in military spending. rofl – that is the stimulus plan? Sounds like the most efficient way to zero to me.
Expect Thursday’s high to hold for now but the possibility for higher high in August is still there. 1014 should be the top of the last box. Support about 950ish.
we are really recovering when…… Geithner: Administration Looking at Further Extensions for Unemployment Benefits
Yerk,
The SPX wave A down was minus 909.30.
A 3/8 wave B retrace takes you to your
1014 number…I like 50% retraces…will
keep a close eye on wave B. Wave C down
usually equals wave A. So take your top
and subtract 909 from it for a possible
wave C target.
Hope your’re having a great weekend…enjoy all.
George,
Hope your recovery is on the fast track.
When you can take your wife out…
…a nurse reward.
paula, thank you… Didn’t you fire the ew guy?
I am sorry for another link but this is from the market ticker!
http://market-ticker.denninger.net/archives/1283-Is-The-FDIC-Broke-And-Covering-It-Up.html
K,
Don’t apologize for those links, you come up with some good stuff. You’ll be our Market Hound – the only one in existance that eats natzi soup.
Bowwww Woooow
Larry,
RE: “I am a fool and a fool will always find a way to make a fool of himself and lose all his “hard-earned” money (digits).”
I looked “fool” up in the dictonary “A person with a talent or enthusiasm for a certain activity: a dancing fool; a fool for skating.”
Glad you have that attitude. If you have the opposite, Imma gonna come to Asia and give you a cometojesus meeting.
paula,
You’re one thoughtful, sweet and obviously intelligent person. A positive upbeat attitude is contagious and we all need that.
Don’t let anyone/thing change you!
George, I have to sort through about 150-200 economy related blog posts a day hehe. so around 7-8 links i posted this weekend have really been selected out of ~300+
I try not to post as many links in weekdays since we got the market moving but weekends are great times to skim or read up on stuff
No Soup for you George! you had your chance at the hospital to eat soup
george, I remember earlier last week i think when you said BBT didn’t like staying below $20 and you are surely right! $22.88! very nice!
K, thanks for the links. Given the recent market logic it might make sense to go long Denninger’s bk banks. Trouble is, to the best of my knowledge there are no banks not bk, as the system itself is bankrupt. We had a financial markets crisis which was – missing the right word here, maybe: – perpetuated and now we are entering the underlying solvency crisis. The last months’ push in the US to obfuscate things (and Meridith W was very explicit about the logic which is driving this when she raised banks’ targets short-termish) will not work out. Neither will the European approach to obfuscate Spain or CEE. Let’s see who’s gonna fall first.
Workers are willing to leave their employer against a one-time payment – have they an idea where to get the next job? Denial. Debt counseling now has to deal with the fools which bought a new car in the c2c scheme but couldn’t afford it. About the only positive change I see is that there are almost no drivers going faster than 100mph on private trips – usually this only happens after oil price spikes. This time it must be income side…
http://www.ft.com/vftm
Interviews with Joe Saluzzi about the HFT issue. Besides all the obvious rip-offs I’m looking forward to the regulators’ explanation after the next 87ish event why it could not have been foreseen. From my experience I’d like to see an analysis of the impact of rogue orders – and the possibility of sending those on purpose at critical points in time. Of course the trade can get canceled later but the impact on the price action is there.
Yerk,
Glad you mentioned (F)ord.
My barber and his partner have Ford (F) and Morotola (MOT)-heavily. Panic set in last year when their prices continued to drop and they asked my advice. I hate that, but I hate their brokers who got them in right before the top years ago and never got them out! These guys are going to retire in the next several years and they have been hurt badly.
So, reluctantly, I agreed and told them the plan: We would only use monthly signals. Those puppies were salavating and relieved to have at least a couple of stocks with some management. They figured what the heck, those are almost worth nothing anyway. “Hey, it’s worth a try” they sez, “we just need to try something.” (Panic here!)
I got them out the latter part of ’07, around September. Wouldn’t you know it that the next week, it started going back up in a retest and I was scheduled for a haircut. Well, I told them “no, not back in yet, waiting on a longer-term trend to develop.” Well, this questioning went on every month.
Both stocks got a weekly/monthly buy signal two times. You can imagine their excitement when I made those trades. At times, they would run up 5 or 6 weeks. But, clearly, the MAs were overhead resistance, one at the 36MA, the second at the 9MA. They were really upset that these moves didn’t last longer. I reminded them of our agreement. I told them to be patient because after all, they were making money and price is way below where we sold it. Still… I think some of those nicks on my neck weren’t accident.
Then, all smiles the next visit when price starts dropping after they sold. Well, it’s about this time that I have a glimmer of sympathy for money managers: That’s a whale of a responsibility although no skin off their teeth if there is tankage “beyond their control”. “Hey”, they say, “we’re all in the same boat”. Misery luvs company.
FINALLY, the TRUE monthly buy came, based off the weekly in March. I speed up the indicators and use the 3MA as signals on the monthly, keep the weekly at the 9MA. So, we’re there… still gaining. We’ll see how long it lasts.
The exit?
The booster rocket (stochastic) combined with the hydrogen engines (MACD), then finally to the stratosphere with the Third Stage rockets (MAs) got us to this point. We can still see their vapor trails. We haven’t hit any obstacles (resistance) thus far. When power has been fully expended, our faithful capsule will slowly turn over and go to support on the weekly. If there is no additional support of its vapor trails, the trade is exited…
And I will exit the money management business with the barbaric barbers.
K,
I could go for that natzi soup right now. That’s about all I’ve been eating.
Yes, BBT is hanging tough. Has tough charts, too. Lots of flaky stuff going on. I’ve been waiting on the best setups to trade for safety reasons.
I just can’t see some of these stocks taking a significant beating anytime soon. Ford went to a dollah, UYG still suffering, etc.
Still expecting more upside but will let the indicators tell me.
Yerk,
Yes we fired the wave expert. Mother brought
in a friend to go over the charts with us. He
is what I call a big picture person.
George,
Thank you very much for your very kind
comments. Please make sure you don’t
change. Wishing you the best of everything.
Stringm,
With this new release of SD, I lost the ability to have the MACD DIFF MA(8) with the trendline. Are you getting the same results?
Tks
George, that was a great read! You should get your haircuts now for free
Yerk,
They give me a break on the cuts.
George
I never used that MACD indicator, but it should not have changed. Do you still have a custom indicator set for it? If you do you should still be able to overlay your MACD.
String
remember weeks or months back when my arm was twitching? now my left thigh is LOL back on the George Nitric Oxide and magnesium pills I go.
anyways following up on another NYT chart funtime
http://www.ritholtz.com/blog/2009/08/more-exhaustees-coming/
the unemployment benefits exhaustion seems like it’s about to hit the east coast hard! I know at least one person using those benefits and its not going to be fun….
went long the US dollar via USD/JPY with a tight stop loss just in case. risk reward is on my side unless i get stopped before it jumps.
)
currently at 94.73 and Pivot point is at 94.97 so I am expecting it to break that. (mostly wishful thinking
S&P futures JUST started trading so here are the pivots
R3 1001.13
R2 995.81
R1 988.88
P 983.56
S1 976.63
S2 971.31
S3 964.38
Currently the first 5 minute bar looks way too BULLish for me but it’s at 985.25 at the moment meaning it’s above the reversal point (aka the Pivot)
looks my dollar bet was wrong after the first 30 minutes I got stopped out.
Since I am dominating this thread I will cut back on posting for the night
Stringm,
That’s the MACD code you gave me to make the MACD histogram have a single trendline that follows the histogram ticks.
K,
With regard to the unemployment exhaustees, Gheitner said they were considering extending benefits. The individual states make those payments and the Fed will most likely foot the bill. Still, that is going to be an on-going and rolling event as this economy continues injured.
Another ball goes into the air for the Fed to juggle.
Unemployment insurance may be running out for up to 1,500,000 Americans by December
so when holiday season comes be sure to watch for those earning reports!!
futures aiming for R1 as I write this. Good night and good luck tomorrow trading.
K,
Same to ya, K…
Good grief, Charlie Brown, Greenspan is out and unbound. Here’s a site I don’t recall seeing before: http://www.thestockmasters.com/node/1584 talking about Mr. Greenspan’s optimism about the bottom being in for the market and the booming economy.
Will anyone listen? We’ll know Monday morning.