G-BOT
Algorithmic Trading Project and Platform
G-BOT is a
public academic project, headed by Prof.
Tom
Gastaldi (first
University of Rome"La Sapienza").
The project is about the study of trading algorithms and
fully automated strategies
for systematic profitability and is discussed in public trading forums.
These strategies
and algorithms are also incorporated in an actual platform (a trading robot),
also called G-Bot, which applies them to entire folios, formed by
any
type of financial instruments.
Folios that can be traded can include Futures, ETFs, Stocks, Options. With G-Bot you can trade any instrument, in any market,
worldwide.
G-Bot is expressely designed to
trade simultaneously one or multiple folios of instruments,
on one or multiple accounts, and supports all possible functions at folio level,
including backtesting with real past tickdata and
forward testing with random
generated tickdata (random processes).
G-Bot is not suitable for the amateur trader. In fact it is
designed for systematic creation of wealth on a large scale and requires
significant risk capital
and also good trading skills and smartness. Expected users are professional traders,
fund managers, large investors or institutions.
(Retail traders can
anyway use it, enjoying the educational aspects of the application, by safely using
it on paper trading accounts or by carefully using special lower risk strategies, also
included within the application).
The program works at tickdata level and all data is received, analyzed realtime. Orders are executed in milliseconds
from any overseas location.
It performs realtime charting, with visual representation of all orders for all instruments
in the folio.
It also provides realtime statistics for the entire folio.
A DBMS can be straightforwardly wired to G-Bot to record accurately and store all the trading
activity and orders (for further analysis with other management tools).
G-Bot can recover from any crash or interruption, and it's a bullet proof
application, designed to stay up even forever, trading automatically large folios of
financial instruments.
G-Bot provides all facilities helpful for estimation
of risk capital necessary to trade a given portfolio, depending on
strategy parameters and profit objectives.
It integrates
Backtesting, Robustness Analysis with both past real tickdata or random tickdata at
folio level
Separately, an effective system for
tickdata capture and storage
("Tickgrabber") is also available (provided free on request to traders, for performance
assessment on past real tickdata). Recorded tickdata can
be used by the robot directly to perform accurate backtests and simulations.
It supports
unique features, such as folio superposition, creating multiple
instances of instruments ("clones") , and
multiple instances of the robot can be started simultaneously
on several
accounts, or on the same account, from one single machine. It can safely resume from
any interruption or infrastructure problem.
These features are currently unique to G-Bot, which,
for the very first time, has delivered such innovative concepts.
G-Bot in action (trading a folio of 8 instruments, 10 hours):
See more screenshots of G-Bot Platform
How is G-Bot different from other Algorithmic Trading
projects ?
When you start using G-Bot, you will soon realize that it is totally unique and it stands completely in a category of its own. There are many reasons for that. Let's review the most important ones.
- 1. The other "trading platforms" expect the trader to create and implement
his own strategy. G-Bot, on the contrary, provides a customizable trading logic.
G-Bot is a high precision machine that can trade completely automatically and
unattended 24/7, but it also provides the means for
discretionary intervention at any degree,
when necessary.
G-Bot completely frees the trader from the enormous and endless task of searching
for a good strategy, by providing solid strategic games, and letting the trader
instead focus on higher level aspects, such as folio management, risk management,
with possibility of full discretionary intervention.
It also provides all the technological and methodological tools to test accurately the given logic and
assessing
exacly the performances and risk capital requirements, with both backtesting (real past
tickdata) or forward testing
(scientifically random generated tickdata or
paper trading).
Moreover, being released for free (for paper trading),
the trader can use it as long as he wishes and perform locally, on his
machines, any tests and performance assessments.
G-Bot is not licensed nor sold, but, instead, a share-based partnership is proposed to the profitable traders
with sufficient risk capital.
If you think about it, most platforms - which are licensed
and expect the user to define his own strategy - are just the result of a long (unsuccessful) quest for
algorithmic profitability. As the authors were not able to find
systematically profitable strategies, they had no other choice than to try to profit from program
licensing or sales.
Clearly, you can expect that if a strategist was not
able to being profitable with his own software, it's very unlikely, if
not totally impossible, that a
simple user, with the same software, will. The problem actually mostly being architectural and
conceptual. In fact, when you use a platform, you don't have infinite degrees of
freedom, as you might think (even if you were given the most complete language to
code with), but you are instead limited by the "concepts" and many other architectural
contraints it implicitly delivers.
- 2. While many platforms will provide classical TA indicators for the trader to implement his strategies, G-Bot works on the base assumption that no prediction is used, and that no predictive indicator is used. This approach leads to totally different and innovative algorithms and trading strategies. In fact, the main idea of G-Bot is that of extracting profit from the price curve by building a sort of "probabilistic cage" or "web of orders" from which the price curve cannot easily "escape" (statistically speaking) without yelding a profit. This is implemented through an overlay of multiple strategic layers, each one working with a multi-agent logic and hedging each other.
G-Bot is a world in itself. A concentrate of original and new ideas. Further, we do work on strategies each and every day and with passion, and as soon as a performance improvement is found, it is incorporated in the next software update (immediately shipped to traders and funds).
Public test and discussion on Elite
Trader (ET) on recent algorithms (trading folios of futures)
http://www.elitetrader.com/vb/showthread.php?s=&threadid=222126
[ latest, containing live trading results ]
http://www.elitetrader.com/vb/showthread.php?s=&threadid=208265&perpage=6&pagenumber=23
[ previous, containing live trading results ]
http://www.elitetrader.com/vb/showthread.php?s=&threadid=202078
the threads also contain explanations about the
algorithm's general idea, performances and opinions from other experts
and fund managers worldwide.
Here is a summary of
some simulation and more details on
strategies.
For installation or quick start:
Manual.
Due Diligence: Run G-Bot yourself on your paper trading account (free "private" distribution)
I am currently giving the opportunity to use the G-Bot in
paper trading (or demo) mode
to possibly interested traders or funds.
The aim of this
(free) service is
to provide traders and institutions with a concrete and totally transparent opportunity of
independently evaluating
strategy performances
on their own machines, in order to determine if
they are ready for the next step (trading with real money).
For any serious request, a personal copy
will be prepared and compiled on purpose.
If you are interested in assessing
strategy performances on your own machines,
running the
IB Gateway (or TWS)
send me a request via email with
the following mandatory information (that will be hardcoded in your executable):
- Your name, city and country (for program customization). Your Skype
ID (for realtime support and interaction).
- MAC address(es) of your pc(s)
(If you are unsure how to find it,
read
here
(or use this
tiny
utility we have made it just to this purpose: it will display your mac address).
If
you want to test it on multiple machines or "virtual boxes", send all the corresponding MAC
addesses)
For Microsoft .Net framework 4.0 or above (tested on
Windows XP/Vista/7, 32 or 64 bit ). For IB,
Interactive Brokers
only.
(Note that we are not associated with Interactive Brokers in any way: we have simply chosen IB as our target broker, as at the moment, and as far as we know, it is the most serious broker around.)
Note, however, that for preliminary testing an IB account is not
necessarily needed and you can start testing
G-Bot immediately after installing the
IB
Gateway or TWS and connecting to the IB Demo Account (with the well known universal credentials: "edemo, demouser"), although, keep in mind, in that case, that the tickdata sent
by IB in the "Demo" mode are fictitious (and often totally meaningless,
for some instruments); anyway still ok to
understand G-Bot features and approach. Also, testing on demo account, you will
not be restricted to subscribed markets.]
For any issue or feature request, please feel free to
send it to us. We expect a daily
interaction with our traders.
Any problem reported
is addressed and solved immediately. Get ready with your skype account to chat
real time with any problem or doubt or to suggest improvements.
Our skype id:
datatimesrl
.
Active, frequent, participative feedback is highly valued.
Use of the system in automatic mode with
real
money on local machines (traders' computers) is granted to selected
traders-partners (which
have enough
risk
capital and are consistently profitable).
Attempt to trade real money when not "enabled" yet will cause the program to switch into manual mode
and trading becomes "discretionary": it will work in "manual" mode only, turning you
into a discretionary trader.
(In fact, it turns out that G-Bot is also a good program for
discretionary traders too, as it would allow quick scalps or to place stops
or reversion orders, while showing the actual realtime
net PNL.)
G-Bot incorporates a
complete folio-level backtesting system. Further, it allows to make accurate forward test
(robustness analysis) against
random walks.
Watching at performances on
past tickdata or random data can be helpful to determine how many
instruments and what strategy can be traded with a given capital.
Clearly, past or simulationresults should be considered just a rough indication, as the
future may reserve anything and it's always a good idea to have risk capital in
excess. Remember that (contrary to some popular belief) sistematically using stops on single trades does not help limit
the drawdown, and actually hitting a series of stops can make the drawdown
increase, in time, beyond any limit. Hedging systematically through stops on single trades is
actually the least effective and naive way of protection, as it is
actually the same as taking a series of permanent losses. (In my personal
experience, based on the objective test of thousand of strategies, almost any strategy
which implements plain stops or "stop and reverse" at single trade
level turns out to be
systematically unprofitable or, at most, a zero profit game in the long run
(unless we exploit really exceptional conditions).
Same holds for any strategy which directly or indirectly use "prediction", or
use "indicators" as indication of future prices or price direction.)
Safely beyond the hft concept: OMFT (Overlaid Mid-Freq
Trading)
After much work on HF strategies, I have
resolved that
overlaying folios, each one playing a medium
frequency strategy, is much more convenient and safe for several reasons,
explained below. Besides, objectively "performances" (in terms of
profit to risk ratio) are superior.
Drawdown is more
manageable even without huge risk capital. Whatever temporary disconnection or infrastructure problem will
not be
able to hurt significantly the strategy mechanism.
There are also several other benefits:
- First of all, by overlaying several folios (and/or several robot instances)
you would be actually doing high frequency trading (if you have the
necessary funds). But with many
advantages:
1] Positions will be relatively small and undetected in
the market: opening and closing positions will
never be a problem (also semiliquid instrument can be traded more effectively)
2] Risk will be greatly spread and
performances will increase greatly (in relative terms). Infact there will be
reciprocal hedging across different folio instances, keeping often the actual (algebraic)
position small.
3] Gaps or order execution problems will not hurt the trading activity
4] Further, if a large risk capital is available, starting the new
folios at different price levels, you will be practically covering all the
price range, taking advantage of any price move
5] It does not rely on expensive
infrastructure and services (such as colocation), and attains much better
overall results in terms of reward to risk ratio.
- Second, this approach safely allows gradually ramping
up the invested amount to whatever size, with an optimal money management and
risk diversification.
What G-Bot tries to accomplish at any time is the maximization of the reward to risk ratio, while the absolute risk is to be calibrated by the trader, based on strategy and mkt volatility. G-Bot will also allow the contrarian trader to define the ranges where to trade (through the "discretionary bounds"), in order to delimit and "compress" the drawdown zones (in probabilistic terms) and to have an optimal control of risk.
This is a collection of some
metrics also used by G-Bot
(which also computes
realtime correlations).
G-Bot for real trading
A G-Bot wallpaper
Download [1600x1200, use in "stretch" mode]
Links to useful interesting technical articles [link exchange with serious sites
welcome]
http://www.vosesoftware.com/ModelRiskHelp/Time_series/Geometric_Brownian_Motion_models.htm
http://www.puc-rio.br/marco.ind/stochast.html#estimation
http://www.theoptionsguide.com/selling-options.aspx
http://www.fea.com/resources/pdf/a_mean_reverting_processes.pdf
http://coreyhoffstein.com/2009/01/08/automated-trading-resources/ [Automated Trading Resources, from Corey]
http://homepage.mac.com/j.norstad/finance/rtm-and-forecasting.html
http://www.tradeology.com/priceaction.htmlources/
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
http://www.bearcave.com/software/market_trading/resources_and_notes/Architecture%20of%20an%20Interactive%20Brokers%20Based%20Trading%20System.html
http://www.datatime.eu/concorsopoli/TestPrimalita.htm
http://www.datatime.eu/concorsopoli/MultinomialDistribution_GuptaNagelConjecture.htm
http://academicreviews.splinder.com/
Forum
http://www.elitetrader.com//
http://www.trade2win.com/boards
http://www.traderji.com/
http://www.traderslaboratory.com
Interesting or amusing threads [please suggest]
http://www.elitetrader.com/vb/showthread.php?s=&threadid=66599&perpage=6&pagenumber=24
"Every forex broker is evil?!"
http://www.elitetrader.com/vb/showthread.php?threadid=171976
"Informal ranking of Chicago prop firms"
http://www.elitetrader.com/vb/showthread.php?s=&threadid=200561&perpage=6&pagenumber=1 "You are more likely to become a top Hollywood actor or
popstar than profitable trader"
http://www.elitetrader.com/vb/showthread.php?s=&threadid=199982&perpage=6&pagenumber=1
"Are you smarter than a top
M.I.T. Grad?"
[...]
Tools
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
https://www.thinkorswim.com
Investor protection
http://www.elitetrader.com/br//
http://www.forexpeacearmy.com/
terms of reward to risk ratio.
http://www.forexpeacearmy.com/
http://www.cftc.gov/ConsumerProtection/index.htm
http://en.wikipedia.org/wiki/Forex_scam
http://antifraudintl.org/forumdisplay.php?f=653
http://www.forexpeacearmy.com/forex-forum/scam-alerts-folder/4410-been-cheated-saxo-bank.html
http://www.forexpeacearmy.com/public/review/www.varengoldbankfx.com
http://www.forex-regulation.com/eToroScam.htm
http://www.elitetrader.com/vb/showthread.php?threadid=92351
http://en.wikipedia.org/wiki/Forex_scam
http://currencytradingstrategy.net/brokers-shocking-truth-ecn-dealing-desk-spikes-spread-manipulation-and-other-dirty-tricks//
http://articles.latimes.com/2011/apr/03/business/la-fi-amateur-currency-trading-20110403
Firms
http://www.tradersnarrative.com/list-of-proprietary-trading-firms-735.html
[Proprietary trading firm directory]
http://investimonials.com/prop-firms/
[Firm rating]
http://profit.ly/
http://www.elitetrader.com/vb/showthread.php?s=&threadid=212110&perpage=6&pagenumber=6
[discussion on
unregulated 3rd party educational vendors
]
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
[understand options]
http://www.interactivebrokers.com/en/general/education/webinars/cta-april2005.html
[how to become a CTA]
Link Exchange
(write for exchanging links)
Financial Crisis
http://www.financialcrisis2009.org/financial_directories/Trading/latest-0.htm
[...]
We are not in the US, however, it's useful and wise to recall anyway 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.
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