Started Algo Trading - Daily Paper Trade updates

[extremist]

Profit drastically reduced after slippages because 80% of my profit comes from 20% of trading days. other days results in negative results. winning % is 45%, but because of huge impact of slippage cost on a long term my profit will b very less. Either i should trade in less of no of stocks to reduce slippages (but it will not be of much help because less no of stocks = very less returns) or i should opt out of this strategy

i'm no pro but know little things.....
if u want to reduce the no of stocks u r trading and the quality of the signal generated then please try filtering the trades with ADX .

i hope it is the indicator which actually suggests strength in t he trend.

i just think so....
u check with it if u find this worthy.

 

[bpr]

Profit drastically reduced after slippages because 80% of my profit comes from 20% of trading days. other days results in negative results. winning % is 45%, but because of huge impact of slippage cost on a long term my profit will b very less. Either i should trade in less of no of stocks to reduce slippages (but it will not be of much help because less no of stocks = very less returns) or i should opt out of this strategy

@Cubt

May I suggest to strat your trading in Nifty and increase the position.
Stock futures slippage will be a problem and liquidity varies and I have faced this problem in past and I did not have a solution so came back to Nifty Futures and options.

 

[Cubt]

@Cubt

May I suggest to strat your trading in Nifty and increase the position.
Stock futures slippage will be a problem and liquidity varies and I have faced this problem in past and I did not have a solution so came back to Nifty Futures and options.

Yeah, i have to start with index futures n options but annual returns would be lesser than stock futures. As u said, I shall start with nifty n move to stock futures only when I find a solution to reduce slippages.

 

[Cubt]

Slippage impact trading Nifty

Consider we have 250 trading days in a year.

Nifty lot size : 50

Slippages and Brokerage points deduction: 5 per day

So in a day irrespective of profit/loss, we need to pay = 50*5=Rs.250 as slippages and brokerage considering the algo takes only one trade(buy&sell).

In a year we end up paying Rs.62,500 as slippages n brokerage, which is 1245 points in a year.

Again Symphony algo fee is Rs. 50000 which is another 1000 points.

In order to break even we need to make 1245+1000=2245 points minimum in a year.

This is for just one lot calculation, increasing lot size increases slippages n other costs.

The impact much higher if I opt for Stock futures. As said earlier 80% of my strategy's profit was coming from 20% of trading days(trending days), but remaining 80% trading days are range bound days which would have huge impact because of slippages.

When I was trading this setup manually there was slippages but was still profitable. I did not realize that on a long run I will not be profitable at all trading that system.

I did not realize slippages will have such an impact, only after trading in Symphony simulation environment i realized it.

ahhh.. man... after trying so hard for past couple of months with all dreams that I would start algo from Monday.. finally everything got shattered..

Anyways everything happens for a reason, Good thing is I realized it before I GO LIVE, or else I would have lost lacs and realized it later. I seriously accept my defeat, there is lot more I need to work on.

With all new Hope and strength, will try to do what am good at rather than spending time on finding a system.

Request Mod to kindly close the thread.

 

[onlinegtrash]

k.. this sounds too easy but I was thinking algo trading as hair splitting complex!
(still thinking so...!)...

profits figure are astounding 25% per day... sounds like a fairy tale (even if you take the bull market into account)!

but also I feel something is missing life can't be so easy!

will watch this thread when you go live! good luck!

...

Some guys have resolved to tame this nameless invisible beast even without knowing its full realtime characters... I appreciate their braveness to explore the unknown but it still worth a lot to listen from guys who have battle scars esp.

...

So the name of invisible beast is slippage, brokerages and flat markets.

But still your spirit of exploration and learning is worth appreciating!
Its never a defeat... Its just not being couch potato and exercising human awesomeness...

Precisely this behavior has led us from stupid apes to awesome human beings with a working brain.
So, this is an event worth celebrating and a story of intelligent exploration and risk taking of an individual !

and also wanted to add a thank you note, for sharing your knowledge from countless hours of work and dedication.

 

[stock72]

:thumb::thumb:

Agree with u except the word stupid Ape .. how we know ape is stupid ...

if the so called intelligent human came from ape even now human should evolve from ape ...

So the name of invisible beast is slippage, brokerages and flat markets.

But still your spirit of exploration and learning is worth appreciating!
Its never a defeat... Its just not being couch potato and exercising human awesomeness...

Precisely this behavior has lead us from stupid apes to awesome human beings with a working brain.
So, this is an event worth celebrating and a story of intelligent exploration and risk taking of an individual !

 

[onlinegtrash]

:thumb::thumb:

Agree with u except the word stupid Ape .. how we know ape is stupid ...

if the so called intelligent human came from ape even now human should evolve from ape ...

yeah... that could be possible... did you see the movie 'Rise of the Planet of the Apes' !?
awesome movie...!
youtube.com/watch?v=T3tidwW1gGM

 

[DSM]

Interesting thread Cubt. Was looking forward to see you go ahead. Yes, it is true that when we start on a journey and adventure, we never know what pitfalls lie ahead. But what would life be, if knowing that unknown beast lie ahead, we never venture out from the safe confines of our homes? Would Colombus discover America? Would man have landed on the moon? And would we as a human race not regress sitting in the confines of our couches and watch TV?

You have mentioned that 'I have not failed.....' That's great attitude. You have remarked that your profit comes from 20% of trending days. Can that be defined? If say the index makes two higher pivots of Xpoints? Or breaks out of the range+Xpoints? Or if last 3-4 days have been trading within a range of Xpoints, the system can look to capitalize on a break? Just wondering.... these the human mind can infer in a few moments, but coding the same into Algo logic is a different thing altogether.

All your threads have been interesting. Look forward to you to continue posting your thoughts on this/another thread.... so what if you have realized that the current Algo logic does not work? As you say, you have not given up, suggest you keep this thread and interesting discussion open.

Thanks.

Slippage impact trading Nifty

Consider we have 250 trading days in a year.

Nifty lot size : 50

Slippages and Brokerage points deduction: 5 per day

So in a day irrespective of profit/loss, we need to pay = 50*5=Rs.250 as slippages and brokerage considering the algo takes only one trade(buy&sell).

In a year we end up paying Rs.62,500 as slippages n brokerage, which is 1245 points in a year.

Again Symphony algo fee is Rs. 50000 which is another 1000 points.

In order to break even we need to make 1245+1000=2245 points minimum in a year.

This is for just one lot calculation, increasing lot size increases slippages n other costs.

The impact much higher if I opt for Stock futures. As said earlier 80% of my strategy's profit was coming from 20% of trading days(trending days), but remaining 80% trading days are range bound days which would have huge impact because of slippages.

When I was trading this setup manually there was slippages but was still profitable. I did not realize that on a long run I will not be profitable at all trading that system.

I did not realize slippages will have such an impact, only after trading in Symphony simulation environment i realized it.

ahhh.. man... after trying so hard for past couple of months with all dreams that I would start algo from Monday.. finally everything got shattered..

Anyways everything happens for a reason, Good thing is I realized it before I GO LIVE, or else I would have lost lacs and realized it later. I seriously accept my defeat, there is lot more I need to work on.

With all new Hope and strength, will try to do what am good at rather than spending time on finding a system.

Request Mod to kindly close the thread.

 

[hauler]

yeah... that could be possible... did you see the movie 'Rise of the Planet of the Apes' !?
awesome movie...!
youtube.com/watch?v=T3tidwW1gGM

And you should also watch both both "Planet of the apes" - the classic and the new one.

 

[Smart_trade]

Algo and high frequency trading works best in liquid markets where impact cost is low and with low transaction charges. Here we are playing with a handicap of high impact cost and high transaction charges. So we have to make enough to take care of these two charges ( slippage and transaction charges ) and after that comes our profit....a little difficult task in real trading.

Bank Nifty could give good moves though impact costs and transaction charges are high...but profits also could be high. Worth trying out in test mode.

Smart_trade