Trading Week Recap

I've been leery of letting BREAD (my primary trading robot) trade too much. I suspect prior tweaks have it taking too much risk. As such I kept it on a short leash and it only earned 0.9% for the week. Perhaps I'll have time to make some adjustments over the weekend.

On the discretionary front I was back down to a more reasonable 13% this week. Last week's 34% was probably some type of market movement vs trading style confluence. These thing happen.

In other news I have a new Bollinger Band based robot in the works. An early version of it was trading this week -- earning almost %1 as well. More trials and adjustments to look forward to!

UPDATE: No time to do anything Forex related this weekend.

Trading Week Recap

Since the trading robot, BREAD, was predominantly sidelined for the last couple of weeks I felt the need to do more discretionary trading.

While the capital used wasn't very large it felt great to pull in a 34% increase over the course of the week. If I could scalp like this all the time it would definitely spell the end of the day job. I have dreams of setting up a trading office with spacious rental cubes available for other traders. Rookie's trading pit.

Back to reality, BREAD on the other hand snailed along earning 2.4% and 1.7% over the last two weeks. Sometimes I think I live in Bizarro world when I have disdain for a 100% annualized rate of return...

In any case, I think the long tail of H1N1 recovery has finally come about. I should be able to concentrate both on my day job and on creating new robot strategies during evenings.

Minor BREAD Adjustments

The BREAD trading robot has had a minor tweak during this last weekend.

To make a long story short, another risk modification metric has been defined. If things work as planned this will give the robot the ability to trade over a wider currency pair price move.

Obviously, the plan is to simultaneously maintain the same level of profitability.

My initial readings on quantitative analysis, via forums, seem to indicate another insular pool of thinking. Unfortunately, it seems that ego often persuades people that their own area of expertise is the right area while other areas have nothing to offer.

Advice to any that will take it...

Find the important or valuable information without consideration of the source. Often, combining a few great insights from various fields (validly) will provide greater value than being very proficient at all the skills of a particular field. The real world often is not as simple as the assumptions made in order to perform calculations at the edge of the envelope.

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.

Forex Robot Wars: BREAD vs ARTFAB

Two titans of the forex robot trading industry are squaring off in the search for higher profits.

In the green corner we have BREAD (Basic Robot Earning All Day) with consistent earnings of approximately 1.2% per day. In the other green corner we have the relatively new ARTFAB (A Rising Tide Floats All Boats) with very promising early results. Already today ARTFAB has locked in over 3.0% returns.

Wait, before you change the channel, neither of these robots is for sale and I do not want to manage your money. Relax, it's safe here.

In a macro sense BREAD and ARTFAB work using very different concepts. BREAD attempts to time the market and move money in and out during cyclical movements. This allows a small amount of risk to be taken, hopefully profited from, and then put back to work during another apparent down cycle.

ARTFAB, on the other hand, doesn't care about cycles when opening positions. It accumulates small positions and releases them when larger price moves have made them significantly profitable. However, cycles are examined with respect to determining when it may be a good time to close a position.

Both of these strategies appear to be working reasonably well. I'm hoping that ARTFAB will prove to consistently earn more than BREAD, such that I am enticed to move capital from one robot sub-account to the other. However, I have to keep in mind that BREAD functions best during a consolidation while ARTFAB's best earnings occur during a market move.

Of course, as I trade the AUDJPY currency pair almost exclusively both of these robots are trading it. As I have mentioned from time to time my trading account is with Oanda (which let's me scale trade sizes down to the unit level) and I'm using the FxSpyder platform to create and run robots. I prefer Oanda's platform for discretionary trading.

New Robot Rules Fermenting

It's late Friday night, the markets are closed, and all through the house not a creature is stirring. Well, nobody but the scheming trader hatching up another robotic system.

As someone who designs software systems for a living I can assure you that, in terms of making improvements, nothing is more helpful than watching a system in action. The key point here is the concept of "seeing" the results. While this arena is a bit of a different animal I've always been proud to claim that if I could see the problem I could fix it. You see, no matter how complex the problem there is usually something along the lines of a paradigm shift which greatly changes the nature of available solutions.

So, at the end of the week, when I'm not at work, I can review charts, apply various indicators, and see how various changes might affect trading and earnings. During the week I can see or hear positions open and close and watch the daily results tally up. Simple but powerful stuff.

Anyway, the thing that is keeping me awake at night, in a good way, is a relatively easy way to increase the profit per trade. I believe so anyway. Hopefully we'll find out next week... as I'll be developing this new ARTFAB robot pronto.

I do already have a robot trading at an average return of 1.2% per day over the last five weeks (BREAD - basic robot earning all day) but I've set an aggressive stretch goal of averaging 2.5% per day. BREAD just isn't going to get there. Assuming that other people have done much better than my paltry goal really gets the creativity flowing -- as you simply know it's possible if others have done it. There must be a way to get there while strictly controlling risk levels.

I'm sure there are many ways. I intend to find one of them.

BREAD's Trading Results

Yes, for lack of a better name I am calling my robot BREAD. This is short for Basic Robot Earning All Day. It has been given minor tweaks from time to time but it still continues to follow the same system and strategy... taking advantage of constant price oscillations in the AUDJPY.

While the results don't look all that spectacular I invite you to investigate how this ends up in a compound interest calculator. And, finally, the results for the last four weeks are:

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
0.1850%	Sun 20
2.0259%	Mon 21
0.9016%	Tue 22
1.1536%	Wed 23
0.2460%	Thu 24
0.1338%	Fri 25
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
0.7311%	Sun 04
1.0346%	Mon 05
1.0587%	Tue 06
1.9310%	Wed 07
1.6854%	Thu 08
0.9897%	Fri 09

So far the average rate of return over the life of the robot is ~7.20% per week. I'd like to make improvements but it is difficult to make changes that don't have unintended consequences.

Wednesday Status

Wednesday was a slow day.

The AUDJPY was very quiet, which left little opportunity for my robot to extract revenue. In fact, with the DOW drop at the end of the trading day today we may be looking at a bit of a downward correction over the next little while.

My robot is not very active during downward movements. So, I'll get bored, worry about long term profitability, and otherwise be motivated to "do something" or "fix something" when I shouldn't. I must resist!

Anyway, while today was very slow, my currency trading robot did pull in 1.1% with over 4.3% for the week.

On a different note, I need to name my trading system. It would be nice to call it something other than "robot" every day. I could name it ARTFAB (A Rising Tide Floats All Boats) or something? Hmm, maybe FARTBAD or BADSINE?

Hey, BREAD might work... Basic Robot Earning All Day. Okay, tentatively, BREAD v1.0 is on the job. Unfortunately, bread is pretty passive, getting sliced, diced and toasted regularly. Zzzzz. I'll sleep on it.