The G-BOT Project

Automated Day Trading System – VERSION 5


What is G-Bot ?

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).
It can recover an interrupted trading session from any location and at any time.

 

[ 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.
In time, we also gradually dismissed almost any concept of the technical analysis, which remains anyway remarkably interesting and useful as a descriptive tool. But, as to trading is concerned, is pretty useless, unless you are interested in the “prediction of the past” ! ]

 

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 :

Previous Algorithm and results

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]

Sun 27-29 december 2009

Mon 28-31 december 2009

Wed 30-31 december 2009 (on a second IB account, added 2 instruments)
 

---------- 2010 -----------

(Interface remake)

2010_01_13-15



And now relax:

 

_______________________________________________________________

 

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.


[A separate application and tick repository takes care of real-time market data, which can be used by the backtesting  and tuning engines]

 

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).
Please, only:
cpo, cta, or big private investors:  Contact us

 

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.

No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program. Hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading.

All information on this website is for educational purposes only and is not intended to provide financial advice. Any statement about profits or income, expressed or implied, does not represent a guarantee. Your actual trading may result in losses as no trading system is guaranteed. You accept full responsibilities for your actions, trades, profit or loss, and agree to hold us and any authorized distributors of this information harmless in any and all ways.

The use of this website constitutes acceptance of our user agreement. Logos and trademarks are the property of their respective owners.

 

 

Links to useful interesting technical articles

[link exchange with serious sites welcome]

 

http://www.puc-rio.br/marco.ind/stochast.html#estimation
http://www.tradeology.com/priceaction.html
http://coreyhoffstein.com/automated-trading-resources/
                 [Automated Trading Resources]
http://www.stat.uconn.edu/~studentjournal/index_files/Zoe_s05.ppt
http://people.orie.cornell.edu/~protter/WebPapers/HistoryJP04.pdf
http://www.math.duke.edu/vigre/pruv/studentwork/malone.pdf
http://www.e-m-h.org/
http://www.optioncity.net/pubs/Caltech2004Talk.pdf
http://www.mathematik.uni-leipzig.de/preprint/2002/p3-2002.ps
http://www-groups.dcs.st-and.ac.uk/~history/Printonly/Bachelier.html

 

Forum

http://www.elitetrader.com/
http://www.trade2win.com/boards
http://www.traderji.com/
http://www.traderslaboratory.com

 

  
Instruments

http://finance.google.com/finance/stockscreener
http://www.amex.com/
http://www.nyse.com/
http://finance.yahoo.com/
http://www.marketwatch.com/tools/etfs/html-adv-screener.asp
http://www.proshares.com/funds
http://www.marketwatch.com/tools/calendars/earnings.asp
http://ultrafunds.blogspot.com/2008/01/ultralong-etf-reference.html

 

Brokers

http://www.interactivebrokers.com/ibg/main.php
http://www.tradingtechnologies.com/

 

Firms

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
http://grailtrading.blogspot.com/
http://ezinearticles.com/?Forex-Scalping-Systems---The-Truth-about-Profit-Potential-From-Day-Trading&id=1030178
http://www.forexfactory.com/showthread.php?t=18238
http://www.readersdigest.ca/money/cms/xcms/day-trader-don-ts_281_a.html
http://www.pipholic.com/ive-found-the-holy-grail-unbelievable.html
http://butlerblog.com/2007/04/05/the-holy-grail-of-trading/
http://www.compuvision.com.au/Examples/HolyGrailPart1.htm
http://chartingstocks.net/article.cfm/id/31320
http://www.financialsense.com/fsu/editorials/wagner/2006/0901.html
http://www.tradingwinner.com/archive/2006/11/19/trading-strategy-using-trailing-stops/
http://opportunitiesaplenty.com/Debt_Blog/2008/05/_using_a_trailing_stop_limit_can_generat.html
http://www.traderji.com/words-wisdom/9837-wisdom-dump.html
http://www.traderji.com/words-wisdom/15241-stage-trading-r-u.html
http://stocks.about.com/od/tradingbasics/a/tailingstop.htm
http://www.trade10.com/technical.htm

 

Videos

http://masteroptions.com/?p=3  [recommended video to understand options]

 

Link Exchange (write for exchanging links)

http://forexdarkside.com/
http://www.bioteams.com/2005/11/11/is_wikipedia_crap.html
http://globetrader.blogspot.com/2009/01/trading-forex-with-futures.html

 

Visit also DataTime Reporting System !