2013: Quarter 1 Results

Yes, I'm alive! More importantly I wanted to share some results. One of the best things about automated trading as that like yourself dear reader, I wasn't sure of how well the strategies have been performing this year; especially those that are not running on live accounts :-) So here's some pretty pictures for you.

The strategy 'b' and strategy 'rs' are both on live accounts. b is one of my oldest strategies; a simple solid performer. rs is something that was moved up at the beginning of the year after very promising results. It's slightly down for the year after a great start. It will be one to watch.

Strategy b

Strategy rs

These are some testing strategies still being run on demo accounts. In general they need various amounts of love before they could be considered ready for live -- some are potentially even unfinished ideas. That said, monitoring how they do is an important part of determining eligibility to move them to live. Hopefully we'll see some more ideas be added to this list as the year goes on.

This one might be turning around. Might just need some tweaks.

Strategy con

Hmm, not so good.

Strategy cor

 Up/down? Movement? I'll have to dig into the basically flat results here.

Strategy l

Tunnel Vision

Whoosh! Gone is the spring! Well, things have been ticking along on the trading front, and recently I found time to dedicate to coding again :-) There were some design changes to make and some wishlist items. But most importantly, there were strategies to port to the new abstraction layer. They haven't been running in some time due to the switch.
I spent a few hours this past week in earnest porting the strategies and making them work, adding new features to the common framework in support of the strategies, etc. It was only once the first one was running that I begun to wonder -- what in the world is this strategy attempting to do?
While I do like to think I do an honest job of commenting my code, it could always be improved. However the worst part of trying to port the code was the fact I failed to comment (aka, in simple concise English) what the purpose of the strategy was! This omission found in my earliest work was noticed and rectified at some point, but this strategy pre-dated that.
Desperately I searched through my revision history to find an older version that was perhaps simpler and more likely to be understood. Looking at the old version (before porting) did answer my question, but not in a good way. I now understood what the strategy was doing, but I hadn't a clue as to why. It simply made no sense at all.
This sent my head spinning -- I opened up some of the current strategies and although successful, they made no sense to me. I've simply had tunnel vision for too long.
Here I have been porting these things to run in the new and improved layer (making coding a strategy much simpler), but now I have no idea what the point and purpose of the strategies I have running and/or am porting is. I still have the idea of the general concepts of strategies I wish to employ -- some that should perform better in trending versus ranged markets, etc. However, the execution and implementation of those strategies seems to have gotten lost in the focus of coding the framework and making things robust. Time to sharpen my pencils and step back for a minute.
I realize I haven't looked at a chart, I mean really looked at a chart in a long time. Far too long.

Price Feed Success

Success! I have implemented a proper notification failure system as well as solved the disconnection issues I have been having with my price feed. It seems my request was a bit malformed, and overall everything is running much snappier now. I am retaining the idea of a backup fail-over feed "just in case" it is needed, and the coding is done on that as well. However, I did shy away from having automatic fail-over, so for now, this will be a manual thing if needed. I hope the days of endless disconnections are gone now.

Price Feed Failures

Lately, I have been having trouble keeping a connection to Oanda's pricefeed. I keep getting disconnected and then eventually my programs tolerance level is exceeded and it times out and dies. If you will recall, last year I migrated everything to the cloud. Sadly when I did that migration I failed to replace my fail-over system which alerted me when failures like this occurred so I could take action. Since my desktop was my trading server until that point, it was simple enough to have alerts be generated on it to awaken me even from sleep if necessary.

Due to programming changes I made in separating out the individual bots from the price feeds, the bots themselves are completely unaffected by the price feed failure, at least from a technical standpoint. From a practical standpoint, they will not be getting any updated pricing information, and will therefore not be able to properly manage trades. I think the next step here is to implement some more automatic failovers to potentially other datafeeds if necessary. I have found a couple potential feeds that can work as a failover in a pinch -- the question is would you rather have data that is potentially 10 pips or more off your brokers feed, or no data at all?

In most cases (depending on the strategy) I think having a general idea of where the price is, even if it's a bit off, is better than sitting blind. If we execute trades on the prices generated from the failover feed, we'll chalk up the execution price against the opening price as slippage anyway.

Automatically failing over, and then rotating back to the real feed at some point will be a technical brain teaser to solve. The most interesting piece will be making the transitions transparent to the strategies using the feed. However, I also need to bulk up my alerting system so I am aware of what's going on as needed. This will likely consist of getting email alerts sent to my phone again. As it stands, if I can get the email, I can login and respond to whatever issue may be occurring. Last but not least, I need to figure out why the feed is failing and if possible fix it.

I started what is now a half finished debugging session almost a week ago. There has been with no movement on my end to finish it. The potential for some better trading should hopefully be motivation enough to take a serious look and overhaul the alerting, failover and reporting systems I'm currently using. The importance of this infrastructure can't be understated. Now to find the time to implement.

Still watching the euro

Since my last post, the euro has indeed put on an impressive rally back. People are doubling down on there shorts and just getting crushed. This momentum was really easy to feel in the ticks before the event. Still, I like to sit out counter rallies as a matter of safety -- it's way to easy to get caught in reversals and whipsaws. So what is the new trend for the euro this year? That anyone's guess -- as for me I'll just being watching and waiting for new trends. With statements like "low rates through 2014" from the Fed and Bernanke, the euro might not be the worst of the failing currencies in 2012 and could instead see us rally back towards 1.4X.

Some manual trading down the euro

While the breakout bot has been holding a ~1.33 EUR/USD short for almost a month now, I decided to get in on the action with a little manual trading of my own. I was inspired by my visit to Hungary and being on the ground in Europe again, I felt the urge to get in on the action. My trading coincided with the large downtrend starting right after the new year and ending only a few days ago. Oanda's new trailing stop feature came in very handy, and I must admit it was nice to trade from the UTC+1 timezone. The euro is now counter rallying and we'll see if indeed this short play is over and we'll tread water again, or if the 1.2X's are here to stay this year for the euro. Time will tell.

Visiting a currency crisis

In my time trading forex, I never really stopped to consider the physicality of it all. We're dealing with real money here. Most of it is paper mind you, but it's physical nonetheless. And it's being exchanged for goods and services. People are collecting it, spending it, or simply wishing for it. In general more people understand and are involved in the stock markets, but honestly the currency markets play a much more vital role in there lives.

Now despite the dollar gloom and doom, we're in luck that our currency is one of many fiat currencies trending to zero. Since the rates change at any time, we're not always winning that race (here's to hoping the dollar comes in last, cheers). We can look to our European friends to find several examples of failed currencies, not only within my lifetime, but also my trading lifetime. The Turkish lira, and the Icelandic krona to name a couple. I remember watching the bid price on kronas blow up live. What a crazy day that was! However, I was not in Iceland at the time, nor invested in the currency. What happened on the ground when the paper became worthless? What did people do?

This past week I got to experience the fragile beginnings of such an event. Visiting Hungary let me see and touch the bills that may one day be worthless or otherwise replaced. Hungary has never quite recovered from the 2008 financial crisis and the pain is getting worse. Having accepted one IMF bailout, they find themselves asking for another.

So what did the country look like? The bars certainly seemed full. The streets still busy and the restaurants still serving food. Yet there were rallies and protests in front of the parliament building, and whispers on the streets. Currency was leaving the country and locals talked of moving money to nearby Austria and other foreign banks. The feeling in the air was a nervous laughter, ripe with anticipation of knowing what must come, while still hoping it wouldn't.

So what does the collapse of the dollar look like? What will history say? I can imagine a similar story when the time comes.