I would like to get a system automated so I can trade automatically at interactive brokers. Here is the system:
Can you steer me in the right direction?
Trading rules for US stocks:
1. The stock price must be above $5 per share.
2. The stock 19s average daily volume over the past 21 days (one
trading month) must be at least 250,000 shares per day.
3. The stock 19s 10ââ¬day Average Directional Index (ADX) is above 30.
4. Today the stock 19s lowest price is at least W% (W = 8) below the previous day 19s close.
5. Today 19s close is in the bottom X% (X = 10) of the day 19s range.
6. The ConnorsRSI(3,2,100) value of the stock is below Y, where Y = 10
7. If the above rules are met today, buy the stock tomorrow on a
further intraday limit Z% below today 19s closing price (Z = 10).
8. Exit the position when the stock closes with a ConnorsRSI(3,2,100) value above N (N = 80), exiting at the closing price.
A developer interested in helping me makes it sound awfully complex. Is there really this much to it? He says:
The trading system you described below can be developed in the Java language. It would have
the following components:
- Connectivity to data feed provider
- Connectivity to execution broker
- Order state manager
- Component to calculate the market data indicators
- Actual strategy logic
- User interface
-the market data and historical data provided by IB is not so reliable so use a better data feed provider (like IQFeed) and use
IB just as the execution platform.
-Additionally, because positions can be held over several days, a database will be needed for state persistence. This is required in case you restart the application, so that it know what open positions you are holding.
Thank you
Larry Klein
Thank you
Larry Klein
Hi Larry,
Both of the systems we offer here on C2 use a custom program to autotrade in live IB accounts as well as issue the trading signals to our C2 subscribers. We have developed a number of these custom programs for clients over the years. Based on the description you gave and assuming a minimal user interface, I would estimate the project to take about 20 hours of work. If you’re interested in having us do the work, send me private message on C2 and include your email address.
Gary
This is the ConnorsRSI system … I would advise that you look at historical backtests and most importantly the equity curves, rather than looking at individual trades. What Connors never shows is how his systems trade as a strategy - he only talks about individual trade results and does not show how trading it mechanically plays out. The big challenge here is trading frequency (which is too low in my opinion) and position sizing.
And if you look at what you are asking, you really only need a screen for these candidates since all orders are limit orders that can be put in the night before. This is not a system that needs automation to work, but rather a screening algorithm to identify potential trades that you then put in as limit orders.
This type of screen is easy to do (I already did it for fun about a year ago when the system first came out). Contact me and I’ll be happy to discuss further.
hi larry,
it very easy to developp this system in multichart and then trade it via ib, or you can also use tradestation
best regards
so if some developer told me the following, is it overkill or is his recommendation most robust:
The trading system you described below can be developed in the Java
language. It would take 3-4 weeks . It would have
the following components:
-
Connectivity to data feed provider
-
Connectivity to execution broker
-
Order state manager
-
Component to calculate the market data indicators
-
Actual strategy logic
-
User interface
Additionally, because positions can be held over several days, a
database will be needed for state persistence. This is required in case
you restart the application, so that it know what open positions you are
holding.
I suppose I can easily set up a screen in stockcharts but then I need to watch the candidates every day - run the screen for the new candidates and run the screen to sell existing candidates. My concern is that this manual minutia is prone to error and doing that type of monkey work each day is not a favorite activity. Any ideas you have to streamline–greatly appreciated.
I am not exactly following your comments about the Connors RSI performance. I am looking at trading the rules on page 16 (http://www.screencast.com/t/rC87FVVJw2H) and using one of the top three variations on the table p.26.
I am all ears as to what I am missing.
Thx!
If you look at trade FREQUENCY you’ll see that the Connors filters typically trigger a lot of trades at the same time, and then go dry for long stretches. Also Connors does not talk about amount of trading capital committed to each trade - assuming you are not committing more than 10% to any given trade you can start to see that a quick 5% return really amounts to a 0.5% increase in total equity, and 90% of your trading cash is not in play. These conditions are not talked about by Connors since he is selling systems - he wants you to look at individual trades.
As to the need for automation, you of course already know that the entries are all placed as limit orders the night before. No automation needed since the total number of candidates for any given day is small. Once the trade is triggered you can look at the exit rules and figure out what price would trigger the exit (or just target a % increase if you are feeling lazy) - then just place a limit order for the next day at that price and if it hits you have traded the system as designed. Again, no need for complex automation of you are willing to put in 10 minutes to 15 minutes each night. If you are looking at a straight percentage increase you can just make that order GTC based on your entry price (even lazier).
PM me if you have any further questions on this or how to construct the correct screener for candidates.
There is a built in screener for specifically what you ask for on the TradingMarkets site. Simply plug in your trades each night as Kevin suggests into your account for the next day either to open a position or to close one. simple.
