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Howard Bandy "Quantitative Trading Systems" & systems design Q&A

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howardbandy said:
...He is continuing to expand it, particularly in areas that I think are important -- tools for validating systems and tools for automated trading.
Click to expand...

Howard,
Your obviously the man to seek for guidance on this. Is the automated trading available yet in AB? I am new to it (5.30.4) but I can't see it anywhere yet.

What I want to do is backtest my systems - which I can do now - but then once confirmed with a positive equity curve, switch it over to automated trading through my IB account. Do you know if this is possible now with AB (a plugin maybe?) or would NinjaTrader be better for this as it already has automated trading I believe?
Thanks very much.
 
Hi BullBear --

There are interfaces between AmiBroker and brokerages. Most of the work has been done with Interactive Brokers. There are several AmiBroker forums on Yahoo -- one of them is Automated Trading. Here is a link to that forum:
http://finance.groups.yahoo.com/group/AmiBroker-at/

I have been personally involved with systems that trade automatically and recommend that automatic trading is only practical when the trader has a large enough organization to use it safely. That means duplicate everything -- computers, data feeds, power sources, communications facilities, etc -- staffing so that there is a person at the terminal at all times (we had two traders around the clock), and a good enough relationship with the brokerage firm that they will break trades that the automated system entered that should not have been entered. If a system is trading automatically, it cannot be safely left alone for even five minutes.

Thanks for listening,
Howard
 
howardbandy said:
...If a system is trading automatically, it cannot be safely left alone for even five minutes.
Click to expand...

Hi Howard,

Well that's rained on my parade... but then I may have been confusing the term 'mechanical trading system' with 'automated trading system'. Would I be correct in thinking you support the former not the latter? As in, the mechanical system would unemotionally find the trade for you based on set criteria - but it won't go ahead and place the trade. That would need to be executed by a manual process via broker or platform.

Most of us don't have staff/traders we can place on standby around the clock as you say - so the mechanical/manual approach would no doubt miss many opportunities I'm guessing.

Just curious - if a system;
a) backtested well over a long period (10 years etc), and
b) position sizing was small enough (1%), and
c) exits were triggered by system conditions (not stops), and
d) it was in a constant market (few or no gaps) like Forex
would you still think it too risky to be left to automation? I respect your opinion Howard, I'm just trying to establish how much evidence would be required to sway that point of view. Or would you never trust a machine to execute no matter the results?
 
howardbandy said:
Hi BullBear --

There are interfaces between AmiBroker and brokerages. Most of the work has been done with Interactive Brokers. There are several AmiBroker forums on Yahoo -- one of them is Automated Trading. Here is a link to that forum:
http://finance.groups.yahoo.com/group/AmiBroker-at/

I have been personally involved with systems that trade automatically and recommend that automatic trading is only practical when the trader has a large enough organization to use it safely. That means duplicate everything -- computers, data feeds, power sources, communications facilities, etc -- staffing so that there is a person at the terminal at all times (we had two traders around the clock), and a good enough relationship with the brokerage firm that they will break trades that the automated system entered that should not have been entered. If a system is trading automatically, it cannot be safely left alone for even five minutes.

Thanks for listening,
Howard
Click to expand...

5 mins ... that sucks ... lol, are you sure you have exhausted your approach on trading.

Btw, I know of traders that have successfully traded using AT (automated trading) using AB (amibroker) with IB (interactive brokers) for years now.

Perhaps they trade different to Howard ?
 
Howard, one thing I have always wondered, is what you trade, and what time frame ?

It would be easier to reply to your comments.

My responses for automation was EOD, but I also trade most futures (All) and stocks (US and Aussie).

What do you actually trade when you make comments ?
 
weird said:
5 mins ... that sucks ... lol, are you sure you have exhausted your approach on trading.
Click to expand...
That's a strange comment. Are you sure you have interpreted HB's comments correctly?
Btw, I know of traders that have successfully traded using AT (automated trading) using AB (amibroker) with IB (interactive brokers) for years now.
Click to expand...
Well bully for you. :rolleyes:

Perhaps they trade different to Howard ?
Click to expand...

Your own guru mentions in his book that many profitable traders trade differently to each other. So what?
 
I have been personally involved with systems that trade automatically and recommend that automatic trading is only practical when the trader has a large enough organization to use it safely. That means duplicate everything -- computers, data feeds, power sources, communications facilities, etc -- staffing so that there is a person at the terminal at all times (we had two traders around the clock), and a good enough relationship with the brokerage firm that they will break trades that the automated system entered that should not have been entered. If a system is trading automatically, it cannot be safely left alone for even five minutes.
Click to expand...
I cannot agree here HB and I say that with the utmost respect for you as your teachings and books are the main influence in my trading .
There are many perspectives and styles of trading and I believe that there are trading styles that have little or none of the disadvantages you have stated.
I have used Ninja Trader for a few months running systems live 24hrs a day on FX and have not experienced any issues but I have managed possible risks such as I use a VPS which has a guaranteed reliability of over 98%.
Also this style of trading uses multiple systems with small postition sizes and tight stops and systems are using an hourly time frame.I only checked these systems twice a day on average and they had no operational problems.
 
What I want to do is backtest my systems - which I can do now - but then once confirmed with a positive equity curve, switch it over to automated trading through my IB account. Do you know if this is possible now with AB (a plugin maybe?) or would NinjaTrader be better for this as it already has automated trading I believe?
Click to expand...
I have being told that you can not run systems on IB 24hrs/day due to the fact that they reset their data daily which will stop your systems but DYOR.
Ninja Traders Auto interface is more advanced IMO and more reliable so I would go that way for now but you would have to use other brokers for trading due to the above issue.
I also have Amibroker and it is the best and most comprehensive tool out there ATM and if they decide to further develop their Auto Trading Interface then that would be the ultimate.:D
 
bullbear39 said:
Hi Howard,

Well that's rained on my parade... but then I may have been confusing the term 'mechanical trading system' with 'automated trading system'. Would I be correct in thinking you support the former not the latter? As in, the mechanical system would unemotionally find the trade for you based on set criteria - but it won't go ahead and place the trade. That would need to be executed by a manual process via broker or platform.
Click to expand...

Hi Bullbear --

Yes, I am strongly in favor of mechanical trading systems. Mechanical as compared with subjective.

It is possible to use intra-day orders without using automated trading. I regularly place limit orders to be filled when conditions that my trading system calculates occur. But I place these myself through the brokerage interface -- I do not allow the computer to place them for me. Depending on your broker, these orders can be quite complex, such as including one-cancels-other, so you have quite a lot of control over your trading without the need to be at the terminal throughout the day.

Thanks,
Howard
 
weird said:
Howard, one thing I have always wondered, is what you trade, and what time frame ?

It would be easier to reply to your comments.

My responses for automation was EOD, but I also trade most futures (All) and stocks (US and Aussie).

What do you actually trade when you make comments ?
Click to expand...

Hi Dave --

I personally trade high liquidity instruments, including ETFs, options, and occasionally futures, based on broad indexes on the US exchanges. Holding periods range from a few minutes to a few days.

But my comments about automated trading are based on my real-life experience while I was an employee of a major commodity trading advisor. The firm traded futures in all markets on all exchanges around the world around the clock. We regularly had to rely on a backup to one or more of our system's components -- data feed, communications, line, power, computer, broker. We regularly tested all of our backups -- throw the breaker on the power to the computer room, etc.

And we regularly saw the computer enter an order based on data it saw, have that order filled, then have that data point corrected or removed. We needed a good relationship with our brokers to get out of that trade quickly -- either have it reversed or manually exit. Whenever a trade is entered and the data that caused that entry is revised, the computer no long has a record that it is in a trade and it will never issue an exit for it.

I regularly speak with people who are trading automatically and have done so without problems. My caution is that when problems arise, it is wise to have contingency plans in place and have tested them. It is difficult to do this with a limited organization.

Thanks for listening,
Howard
 
Thanks mate, although no one is listening, perhaps thanks for reading (J/J) ... Aussies are terrible jokesters.
 
Howard,

I already have your "Introduction to Amibroker" book and in the process of reading it. But being new to trading, I would like to know if "Quantitative Trading System" book will explain the different types of trading systems.

Thanks in anticipation.
 
I'm in my annual 'learn to code phase' and wanted to get into this book again. Does anyone know if all the code in the book is error free? I saw a complaint on antoehr forum and thought it may have been with the version of Amibroker being used. Is the code all error free, i would love to type out the code so i can get in the habit of actually constructing the code myself...
 
Hi CanOz --

1. There was a nasty exchange on another forum from a person who had some undefined agenda and was making derogatory comments without specific and answerable points. One of those was "I am getting errors" without quoting the line or even the program that was causing the error. I was banned from that site for mentioning that I had published a book explaining the answer to a question asked in one of the threads.

2. Does anyone know if all the code in the book is error free? To the best of my knowledge, all programs execute correctly in the context of the example being explained in the book. If you try something and it does not work as anticipated, ask for clarification. Please identify:
A. Which book. (There are five books.)
B. Which program -- by figure number or page number.
C. What you expected the program to provide and how what you obtained was different.

Each book has an "errata" file. The url is www.<booktitle>.com/book. Corrections to text are noted in the errata file. Corrections to programs are both noted in the file and reposted to the downloadable code in corrected form. Read that file.

I will do my best to clarify.

Best,
Howard
 
howardbandy said:
Hi CanOz --

1. There was a nasty exchange on another forum from a person who had some undefined agenda and was making derogatory comments without specific and answerable points. One of those was "I am getting errors" without quoting the line or even the program that was causing the error. I was banned from that site for mentioning that I had published a book explaining the answer to a question asked in one of the threads.

2. Does anyone know if all the code in the book is error free? To the best of my knowledge, all programs execute correctly in the context of the example being explained in the book. If you try something and it does not work as anticipated, ask for clarification. Please identify:
A. Which book. (There are five books.)
B. Which program -- by figure number or page number.
C. What you expected the program to provide and how what you obtained was different.

Each book has an "errata" file. The url is www.<booktitle>.com/book. Corrections to text are noted in the errata file. Corrections to programs are both noted in the file and reposted to the downloadable code in corrected form. Read that file.

I will do my best to clarify.

Best,
Howard
Click to expand...

Howard that's great, thanks:xyxthumbs. Can't imagine why anyone would want to ban you, that's just silly.:eek:

I need a course to learn this stuff. I have a short attention span, books are difficult for me to learn from. I really wish i could just work my way through a course.

Howard, will you offering any of your books in eBook form?
 
CanOz said:
Howard that's great, thanks:xyxthumbs. Can't imagine why anyone would want to ban you, that's just silly.:eek:

I need a course to learn this stuff. I have a short attention span, books are difficult for me to learn from. I really wish i could just work my way through a course.

Howard, will you offering any of your books in eBook form?
Click to expand...

You've probably progressed beyond this already, but might be worth a look. Plenty there. http://www.asxmarketwatch.com/2012/06/lets-learn-amibroker-how-to-make-a-watchlist/
 

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