Francesco Welcome to the group. One great thing about algorithmic trading is self taught or not, it doesn't really matter, the only thing that truly counts is your P&L.

4.76 average trade

Looks like keeping costs low is important . A philosophy i subscribe too as well.

Interessante vorrei fare uno scambio di info ed eventuale collaborazione.

ciao Adelmo, ok, puoi contattarmi in privato per cortesia.

4.76 average trade is way too below, people have reached up-to 6.8/6.95 , again depending on the strategy what u used, may be u are using hedging part most if the time,

I am also into equities since last 18 years,

Curious how do you turn a profit with such small profit per trade near 50% profitability?

Ciao Francesco, happy to find somebody else with a path and targets similar to mine (with the only exception that I don't have experience in an investment bank).

I'm in the prorealcode community too (I'm a bad contributor for the time being) and I think it is a very good place where to discuss about technical solution to develop a strategy. Very often I'd like to compare and discuss about the content and reason of decisions taken in a strategies (WHY a choice is taken and not HOW to code it) but I haven't been finding room for these topics up to now. I'll look for you in prorealcode, hoping to exchange ideas and experiences. I'm strongly interested in money management and risk control.

https://www.prorealcode.com/user/barbagio/

ciao a presto!

Thank you Francesco. Try www.Quantreex.com

Create your trading strategy without any line of code, do backtest in a second, optimize and finally automate your trade.

Welcome

Hi Francesco, welcome to the "club". your strategy is still very young (just over 500 trades). However, it looks like you have some work to do on the losing trades. With a 59 % winning trades, you have a winratio of 1.18 only. That is too low. We have the same winratio (1.18) with just 42 % winning trades (average win is 1.6 times the average loss). Keep up the good work !!

thank you Marc Verleysen!

1. 59% of the winning trades – is a HUGE HUGE result! So, if you have it – go and dig a real money. On the other hand – it might be just a coincidence (as Marc has mentioned, that 500 trades is too young).

2. I have visited prorealcode.com - there are a lot of code there. Because trading is a competitive (not a cooperative) business, I am wondering - why somebody will share a strategy, he think is really good, with the rest of the world?

Hi Francesco, I was in the strict and rigid trading world for a while and I am now trading with big data analysis and I am a firm believer of non-random market. When we apply time analysis we can uncover some patterns that are far too frequent to be random! Unfortunately in the banking world they don't want you to think that way even if a small elite in those institutions are applying those same principles to extract money from the market. Very glad to read you! Have a nice day! ;)

M. Bouziane, great to hear we agree on our view of the market :)

Joseph Levitas thanks for your comments, I think it makes no harm to share some of the strategies, it can help you to build a reputation and is a good way of receiving feedback from other people of the "club" that dont work in big institution. I think at the end of the day Algorithmic trading is nothing particularly esoteric, there are 3 kind of strategies: Mean reverting, Breackout and bias. Sharing some of them, will not cause a radical shift in the nature of the market.

Francesco, from my experience the market is a very tough place to survive. But if you feel different – good for you. As I already wrote: 59% is huge. I wish you a good luck, and big profits!

Se fossi in te butterei a mare almeno 50 strategie per tenermi solo le 20 più performanti. E' dimostrato statisticamente che una diversificazione superiore a 20 asset non porta ulteriori benefici.

grazie Antonello le strategie sono gia'su meno di 20 sottostanti ma sono diversificate come tipologia. Mean reverting, breakout e bias. Grazie per il tuo interesse comunque!

Would be happy to connect

Thanks for sharing, will degfinitely check these out. Regarding only 3 types of systems. (Mean rev, breakout, bias) Definitely open on debate but so far Ive categorized them as Mean Rev, Trending, Breakout, Time based, Candles (eg hammer or morning star), fundamental, sentimental. Arguably though I would understand if you said everything is either Mean or Trending and then a subcategory if that. ..Just opening this for discussion.

I agree with Joseph Levitas.....run stats to find out if this isnt coincidence maybe in sample and out of sample testing. You can run your own quant fund from home just by connecting Matlab with google or yahoo finance then connect execution by a private broker i.e. interactivebrokers. I do that but that last question mentioned before still remains why sharing just run your own shop and make money.....I will dig into your codes cheers

Ciao Francesco, secondo te, in qualcuna delle tue strategie, può essere interessante l'interazione con news in tempo reale provenienti da Twitter? Te lo chiedo perché sto collaborando nel produrre un motore che, attraverso algoritmi proprietari, seleziona tweets finanziari importanti (per ora NASDAQ e i principali NYSE e FTSE, in futuro Fx e commodities) e genera allarmi quando la pressione per minuto dei tweets su uno stock supera una soglia legata allo stock. Grazie.

ciao Marco. E'sicuramente un idea interessante, potrebbe essere usata come filtro in molte strategiea, ma per averne un opinione statisticamente fondata direi che andrebbe analizzata nella sua efficacia storica in modo sistematico. un saluto!

Grazie Francesco, se ti interessa dare un'occhiata, http://avanguard.net/sphere.html , in menu-Support trovi una mail. Spero di sentire i tuoi suggerimenti. Buon lavoro!

Hello Franchesco, your strategies seem rudimentary, did you ever traded any of your strategies live ? What was the contract/lot size per entry if It's ok to ask ?