Friday, October 23, 2009

Robot Trading: Six Weeks In

Things are going well. As you can see BREAD (Basic Robot Earning All Day) is starting to look like a winner.
   Return   Day
0.1900% Sun 13 September
3.2339% Mon 14
3.1616% Tue 15
3.2615% Wed 16
2.1510% Thu 17
0.4442% Fri 18
--------------- 13.05%

0.1850% Sun 20
2.0259% Mon 21
0.9016% Tue 22
1.1536% Wed 23
0.2460% Thu 24
0.1338% Fri 25
--------------- 4.72%

0.0000% Sun 27
0.1900% Mon 28
0.6862% Tue 29
2.3444% Wed 30
0.3317% Thu 01 October
0.7376% Fri 02
--------------- 4.44%

0.7311% Sun 04
1.0346% Mon 05
1.0587% Tue 06
1.9310% Wed 07
1.6854% Thu 08
0.9897% Fri 09
--------------- 7.75%

0.0915% Sun 11
1.2179% Mon 12
1.4263% Tue 13
1.9298% Wed 14
1.3023% Thu 15
1.2064% Fri 16
--------------- 7.38%

0.2985% Sun 18
1.6787% Mon 19
2.1774% Tue 20
2.3200% Wed 21
2.3552% Thu 22
1.2715% Fri 23
--------------- 10.52%
Looking back, this system was too aggressive during the first week. Later tweaks reduced this aggressiveness to some degree but also lead to lower earnings. At the moment aggression is scaled based on market factors so that in some situations it will take a larger slice.

Although the last week of earnings was great it's really too early to know how this robot will perform in the long term. As mentioned in a recent post I know that BREAD will earn the most during a consolidation period with prices confined in a range that ends in an upward break. I do expect the AUDJPY to exhibit this behavior a lot but it certainly won't do this all the time.

Now what?

This thing has been trading live for a while now. The only thing I plan to do is keep on letting it run until I'm able to create something better. ARTFAB (A Rising Tide Floats All Boats) is the latest attempt...

UPDATE: Something I'm curious about is if I'll notice a longer term cycle in robot behavior. For example, the last time BREAD earned more than 10% in a week there were a couple of weeks that then underperformed. It is possible that the market will exhibit behavior that is clearly visible through trading profits.

UPDATE: I have discovered this very good blog... Hack the market. From there I've noted the following graph:

This suggest to me that I can gauge my daily returns against that of the bigger players to see whether not I'm doing well. Notice that the smallest group seems to have much better returns -- and thus is where I should be comparing my results. Perhaps my stretch goal of 2.5% is a little two low? Regardless, I'll be happy to up my goal when I reach it.

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