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The G-BOT Project Automated Day Trading System – VERSION 5
G-Bot is an Automated Trading System - that is a software robot which automatically execute trading activity, according to predefined trading strategies, complete with all the other subsystems necessary for such activity (Backtesting, Tuning, Charting, Reporting, Tick management, etc). It has the capability to trade
real time simultaneously any number and any kind of financial
instruments (STK, FUT, OPT, FOP, CASH, …) on any market, and
simultaneously on multiple accounts (and even with a different strategy
for each instrument).
[ Initially, several years ago,
when we started this journey in the trading world, the robot was
(naively) intended to work based on properties of the Geometric
Brownian Motion (that’s why the name), but, in the years, testing
thousands of strategies and their variants, most of the initial ideas
had to be abandoned, because they did not work. We kept anyway
the name.
Hedge Scalping: Trading a portfolio of Futures In the following diary, we will be testing for a while a new algorithm. This is the forward testing of the newly implemented strategy. This test is carried out on an Interactive Broker account. It's a forward test, which uses real-time data provided by IB feed and "paper" money. We will be testing here a new
algorithm which tries to improve over the previous one. Infact, the previous algorithm has shown good potential as to scalping
capabilities. Hedging was provided by the continus scalping action and
by options approprately chosen by the user : The new algorithm tries to remove the need of options, with the final goal to have a "selfcontained" hedging action robot which does not require options. While in the the previous version an instruments could "get stuck" in presence of rallies (due to position bounds), this new version plays continuosly, whatever price shift occurs. In fact, the previous absolute limitation has been turned into a limit to the difference between opposite direction scalpers. Options are substituted with appropriate orders in the trend direction. They are placed in such a way to hedge and reduce the overall position. The final perceived effect is a scalping mechanism with a sort of "option strangle emulation". Tests so far show this algorithm
is more easily playable and more completely "robotical" and automated
than the previous one. Forward test (real time, real
data) on a folio of Futures Mon 21-24 december 2009 [first PROTOTYPE VERSION]
Mon 28-31 december 2009 ---------- 2010 ----------- (Interface remake)
2010_01_13-15
_______________________________________________________________
What is the general architecture and what technology G-Bot uses? G-Bot is a .NET application which currently relies on the IB (Interactive Brokers) technology to send orders real time to international exchanges (although it could be moved to different brokers with the appropriate API). Being a .NET application, currently it runs on any Windows platform. G-Bot has full support for both day trading strategies and overnight approach (it can restore any trading session, even on different machines). G-Bot is composed of 3 main subsystems fully integrated: - Trading Engine: the main part, for real trading (including charting and alert system) - Backtesting Engine: to verify or select strategies and appropriate securities
-
Tuning Engine:
to calibrate strategies by estimating correctly the strategy parameters This kind of strong integration between subsystems ensures that during simulation the data feed gets through exactly the same engine which performs real trading.
Want to run yourself our strategy ("hedged scalping") on your fund ?
G-bot is not for sale. It is only provided to very
selected big investors (on a profit only share basis).
Wish a release of G-Bot software which runs your own strategy? G-Bot has evolved, during the years, in such a way that, while the infrastructure remains the same, the trading strategy can be replaced with relative ease to meet the specifications of any user, while the rest of the program (order engine, backtesting engine, tuning engine, charting, etc.) remains relatively unchanged. So in case you wish to implement a given strategy within our platform, we can provide the entire general infrastructure, which is a good and robust environment for trading, backtesting, tuning and tick management, and we can implement, clearly subject to NDA, your own strategy within it. Thus creating a perfectly customized version of your trading robot. If interested in fully automatic trading, contact us to discuss a possible solution. Each project is quoted on an individual basis, because it depends on how complex your strategy is, and on the amount of work it involves to implement it, to test and tune the strategy parameters. In any case, your executable is always a unique customization and will work only on your own registered machines.
We are not in the US, however, it's useful and wise to recall the following: CFTC Disclaimer U.S. Government Required Disclaimer - Commodity Futures Trading Commission Futures and Options trading has large potential rewards, but also large potential risks. You must be aware of the risks and be willing to accept them in order to invest in the futures and options markets. Don't trade with money you can't afford to lose. This is neither a solicitation nor an offer to Buy/Sell futures or options. No representation is being made that any account will or is likely to achieve profits or losses similar to those discussed on this web site. The past performance of any trading system or methodology is not necessarily indicative of future results. CFTC RULE 4.41 - HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-OR-OVER COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFIT OR LOSSES SIMILAR TO THOSE SHOWN. All results shown on this website are
live
paper trading (broker:
Interactive
Brokers) results.
Links to useful interesting technical articles [link exchange with serious sites welcome]
http://www.puc-rio.br/marco.ind/stochast.html#estimation
Forum
http://www.elitetrader.com/
http://finance.google.com/finance/stockscreener
Brokers
http://www.interactivebrokers.com/ibg/main.php http://www.tradersnarrative.com/list-of-proprietary-trading-firms-735.html [Proprietary trading firm directory]
Readings
http://ezinearticles.com/?Trade-Exit---How-To-Cut-Losses-And-Let-Profits-Run&id=62634
Videos http://masteroptions.com/?p=3 [recommended video to understand options]
Link Exchange (write for exchanging links)
http://forexdarkside.com/
Visit also DataTime Reporting System !
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