What trade algorithm Back-Testing platform would you recommend?
Trade station is not available here in Canada so looking for
other options. Programming language does not matter. Thx!
The difference between Recession and Depression is the extent of
the job losses. The flippant answer is "when your neighbour
loses their job, it's a recession; when *you* lose your job, it's a
depression".
What are those of you in Canada using as your trading platform?
Are you using a separate charting platform? Is there
anything equivalent to TradeStation (for backtesting
algorithms)?
Currently I'm using TC2000 to chart and generate some custom
trade signals, and Scotia iTrade to manually enter those trades.
No quantitative backtesting available with this setup
though.
I'm in Canada with registered accounts (RRSP, RESP, TFSA) and
really want to use something like TradeStation, but they only offer
it outside the US as a $250/month charting-only package (i.e. can't
execute trades).
I want to be able to:
backtest algorithms against multi-year data
(some day) semi-automate the trades (rather
than manually copying info from one screen to the other)
automatically log my buys, sells in one place
so I can track Profit Factor, win percentage, etc
My registered accounts (RRSP, RESP, TFSA) are currently at
Scotia iTrade but I'm finding their interface clunky and they don't
appear to have an API that would allow me to use a different
front-end to execute trades. As a compromise, I'm using
TC2000 for its charting and then manually entering trades when my
algorithms trigger.
I'd really prefer a better platform though....
Anybody here have a good setup for trading within Canadian
accounts??
Got out of SPY PUTs about 1/2 hour ago for a +23% gain.
Admittedly I had been getting nervous as the SPY continued to
chug higher this week... as I had a 5% position...(!).
Any pointers for getting better fills when buying/selling
Options? Predominately using them on ETFs (GLD, TLT, XLE, etc
but sometimes on Stocks/ETFs that are 1M+ shares per day).
I'm finding that the spreads can be huge (over 10%, sometimes
over 50% !) and, even if I place a Limit Order at the mid-point
price, often the Bid will snap up to my price and the Ask will snap
even higher...
It's as if the Market Maker algo is trying to lure me in to
chasing a higher and higher Ask...
Interesting. Unfortunately, this is all within Registered
accounts, so I'm not allowed to sell-to-open any options except
Covered Calls. I can only buy Calls, buy Puts, and sell
Covered Calls.
It seems like the bid/ask spread widens when I place an order,
hoping to draw me into chasing it. If I adjust my bid price
within a minute or so, the ask will continue to move up, even if
the underlying isn't moving. However, if I do nothing, the
underlying will eventually start moving the bid and ask prices in
tandem with it and if I get lucky, it will move through my bid
price and fill.
This happened to me with VNQ--an ETF that trades almost 6M
shares per day. The option bid/ask spread is currently almost
8% (1.90 - 2.05).
Even on SPY options, I regularly see a bid/ask spread of 2%
+
Is it because there typically is such a big potential percentage
profit to be made that the market makers know you'll tolerate more
slippage on entry/exit?
How do you folks deal with the (often huge) bid/ask spread on
Options? Sometimes the spread is as big as 40% (!), or 10% on
Options that are getting some regular volume.
Seems like they're run by an automated process that reacts to
the orders you place.
I remember Matt saying that he tries to go one tick past the
mid-range (above when buying, below when selling) but quite often
I've found that just bumps the bid (or ask) to my price and
sometimes even bumps the other end of the range away from me.
After 10-15 minutes, the range often tightens up (and may in
fact fill), but this huge uncertainty in what price I can get a
fill at really makes it tough.
Hey Matt, how did you choose that particular strike price?
Looking at the 286's, the Delta is 0.82 but with only a
volume of 58 contracts today. The 287 strike has a Delta of
0.81 and a volume of 5.1k (increased liquidity?).
I hope everyone is enjoying the day off with family, friends,
and time to reflect.
I'm interested in hearing how others here balance their max
number of active positions with trade sizing/risk
management.
Myself, I can only track 3-4 active positions on an intraday
basis, but that means either sitting mostly (80%) in cash (to keep
each position's risk contained), adding more positions (and losing
track of their sudden movements), or sizing each position large (up
to 25-35% of account in each).
Matt: Thank you for the stop-management thoughts last week.
Got in to SE (Sea Limited) on May 16th and stopped out (right at
the LOD!) on my own $ trailing stop 3 days later.
Jumped back in that same day, and last week switched to a
stop-ratcheting approach loosely based on what you were describing,
and it has kept me in it during its recent run, despite the
pullbacks.
Now up 20% from where I re-entered, and have an objective way to
trail up the stops so that I don't end up doing a round-trip
(currently "guaranteed" a gain of >13% ).
Thanks again for sharing your thoughts Matt! It's a big
help for us who have been finding countless ways to lose money (or
give it all back) on our own.
In the newsletters, when you guys would say "trim and trail" or
"trail up your stops in accordance with your trade objectives" I
knew (in theory) what you meant, but didn't have a repeatable
concrete process for how to do it consistently.
I've needlessly given up a *lot* of gains via round-trips over
the years. This should really help.
p.s. Enjoy Disney!
.../john in Victoria, BC
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Thanks, I’ll take a look
What trade algorithm Back-Testing platform would you recommend? Trade station ...
Posted by rojoch on 13th of Sep 2023 at 02:38 am
Thanks, I’ll take a look
What trade algorithm Back-Testing platform
Posted by rojoch on 12th of Sep 2023 at 07:29 pm
What trade algorithm Back-Testing platform would you recommend? Trade station is not available here in Canada so looking for other options. Programming language does not matter. Thx!
Just to clarify, this PUT
SPY system 3rd short and hi,mid, low 1st short 1st entry comments
Posted by rojoch on 14th of Apr 2020 at 04:02 pm
Just to clarify, this PUT you're buying is out of the money?
The difference between Recession and
Over 10 Million Americans Applied For Unemployment Benefits In March ...
Posted by rojoch on 3rd of Apr 2020 at 01:22 pm
The difference between Recession and Depression is the extent of the job losses. The flippant answer is "when your neighbour loses their job, it's a recession; when *you* lose your job, it's a depression".
Canadian BackTesting Platforms? What are those
Posted by rojoch on 9th of Feb 2020 at 04:02 pm
Canadian BackTesting Platforms?
What are those of you in Canada using as your trading platform? Are you using a separate charting platform? Is there anything equivalent to TradeStation (for backtesting algorithms)?
Currently I'm using TC2000 to chart and generate some custom trade signals, and Scotia iTrade to manually enter those trades. No quantitative backtesting available with this setup though.
Anyone? Thanks!
.../john
Who here is Canadian? I'm in
Posted by rojoch on 6th of Feb 2020 at 01:52 pm
Who here is Canadian?
I'm in Canada with registered accounts (RRSP, RESP, TFSA) and really want to use something like TradeStation, but they only offer it outside the US as a $250/month charting-only package (i.e. can't execute trades).
I want to be able to:
My registered accounts (RRSP, RESP, TFSA) are currently at Scotia iTrade but I'm finding their interface clunky and they don't appear to have an API that would allow me to use a different front-end to execute trades. As a compromise, I'm using TC2000 for its charting and then manually entering trades when my algorithms trigger.
I'd really prefer a better platform though....
Anybody here have a good setup for trading within Canadian accounts??
Thanks!
Do you have a stats/performance
FYI regarding SPY System: early notification a probable trade today
Posted by rojoch on 27th of Jan 2020 at 03:41 pm
Do you have a stats/performance chart for that sub system you can post? It would really help with trade-sizing.
Thanks!
.../john
Got out of SPY PUTs
SPY system exhaustion Trade exit
Posted by rojoch on 24th of Jan 2020 at 03:03 pm
Got out of SPY PUTs about 1/2 hour ago for a +23% gain. Admittedly I had been getting nervous as the SPY continued to chug higher this week... as I had a 5% position...(!).
Thanks for the great systems Matt!
.../john
Any pointers for getting better
Posted by rojoch on 7th of Jan 2020 at 11:13 am
Any pointers for getting better fills when buying/selling Options? Predominately using them on ETFs (GLD, TLT, XLE, etc but sometimes on Stocks/ETFs that are 1M+ shares per day).
I'm finding that the spreads can be huge (over 10%, sometimes over 50% !) and, even if I place a Limit Order at the mid-point price, often the Bid will snap up to my price and the Ask will snap even higher...
It's as if the Market Maker algo is trying to lure me in to chasing a higher and higher Ask...
Any tips?
Thanks,
.../john
Interesting. Unfortunately, this is all
How do you folks deal with the (often huge) bid/ask ...
Posted by rojoch on 24th of Dec 2019 at 01:42 pm
Interesting. Unfortunately, this is all within Registered accounts, so I'm not allowed to sell-to-open any options except Covered Calls. I can only buy Calls, buy Puts, and sell Covered Calls.
It seems like the bid/ask spread widens when I place an order, hoping to draw me into chasing it. If I adjust my bid price within a minute or so, the ask will continue to move up, even if the underlying isn't moving. However, if I do nothing, the underlying will eventually start moving the bid and ask prices in tandem with it and if I get lucky, it will move through my bid price and fill.
This happened to me with VNQ--an ETF that trades almost 6M shares per day. The option bid/ask spread is currently almost 8% (1.90 - 2.05).
Even on SPY options, I regularly see a bid/ask spread of 2% +
Is it because there typically is such a big potential percentage profit to be made that the market makers know you'll tolerate more slippage on entry/exit?
How do you folks deal
Posted by rojoch on 24th of Dec 2019 at 01:05 pm
How do you folks deal with the (often huge) bid/ask spread on Options? Sometimes the spread is as big as 40% (!), or 10% on Options that are getting some regular volume.
Seems like they're run by an automated process that reacts to the orders you place.
I remember Matt saying that he tries to go one tick past the mid-range (above when buying, below when selling) but quite often I've found that just bumps the bid (or ask) to my price and sometimes even bumps the other end of the range away from me.
After 10-15 minutes, the range often tightens up (and may in fact fill), but this huge uncertainty in what price I can get a fill at really makes it tough.
Any advice?
Thx!
.../john
Looking at the option trade
SPY System Trade List
Posted by rojoch on 29th of Nov 2019 at 01:11 pm
Looking at the option trade list, there are two "2nd entry Pullbacks" on 8/5/2019 but with different exit dates.
What happened there?
Hey Matt, how did you
SPY system trade
Posted by rojoch on 12th of Sep 2019 at 04:44 pm
Hey Matt, how did you choose that particular strike price? Looking at the 286's, the Delta is 0.82 but with only a volume of 58 contracts today. The 287 strike has a Delta of 0.81 and a volume of 5.1k (increased liquidity?).
Thx!
.../john
I hope everyone is enjoying
Posted by rojoch on 22nd of Nov 2018 at 02:48 pm
I hope everyone is enjoying the day off with family, friends, and time to reflect.
I'm interested in hearing how others here balance their max number of active positions with trade sizing/risk management.
Myself, I can only track 3-4 active positions on an intraday basis, but that means either sitting mostly (80%) in cash (to keep each position's risk contained), adding more positions (and losing track of their sudden movements), or sizing each position large (up to 25-35% of account in each).
How do others here balance this??
That would be super-useful to
Triggers Been here for over a year now and learned so ...
Posted by rojoch on 17th of Nov 2018 at 04:23 pm
That would be super-useful to have all in one place.
Have fun--you're going to love
TSLA
Posted by rojoch on 23rd of Oct 2018 at 02:12 pm
Have fun--you're going to love it.
Matt: Thank you for the
Posted by rojoch on 1st of Jun 2018 at 03:33 pm
Matt: Thank you for the stop-management thoughts last week.
Got in to SE (Sea Limited) on May 16th and stopped out (right at the LOD!) on my own $ trailing stop 3 days later.
Jumped back in that same day, and last week switched to a stop-ratcheting approach loosely based on what you were describing, and it has kept me in it during its recent run, despite the pullbacks.
Now up 20% from where I re-entered, and have an objective way to trail up the stops so that I don't end up doing a round-trip (currently "guaranteed" a gain of >13% ).
Thanks again for sharing your thoughts Matt! It's a big help for us who have been finding countless ways to lose money (or give it all back) on our own.
I agree, but it helps
NKE stop progression
Posted by rojoch on 24th of May 2018 at 02:08 pm
I agree, but it helps to see what has been working for others as you develop your own trading plan.
Since we were already on the topic of Matt's own trading style, I figured this was a reasonable scenario to ask him how he handles it himself.
.../john in Victoria, BC
Now that summer is upon
NKE stop progression
Posted by rojoch on 24th of May 2018 at 01:37 pm
Now that summer is upon us, for someone (like yourself) who is going on holiday, do you:
- exit all your positions before you go so you won't get blindsided?
- set a trailing $stop on all your positions and let them run? If so, how would you come up with a $trailing amount? Some multiple of ATR?
- switch to a weekly timeframe, using 9-week EMA and weekly candles (and update your stops only once/week on the weekends)?
- something else?
Thanks!
.../john in Victoria, BC
Yes, this is a huge
NKE stop progression
Posted by rojoch on 24th of May 2018 at 01:18 pm
Yes, this is a huge help.
In the newsletters, when you guys would say "trim and trail" or "trail up your stops in accordance with your trade objectives" I knew (in theory) what you meant, but didn't have a repeatable concrete process for how to do it consistently.
I've needlessly given up a *lot* of gains via round-trips over the years. This should really help.
p.s. Enjoy Disney!
.../john in Victoria, BC