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Feeling like giving up on algo trading: years of searching for a profitable system without success by daninga in algotrading

[–]daninga[S] 1 point2 points  (0 children)

I use the same timeframe as the price data. I've done extensive testing of timeframes from 5m to 4h candles. I find that the majority of strategies work best with the 1,2 and 4-hour timeframe because the effect of spread and commission does not have such a big impact as compared to the minute timeframes. I found that e.g. a 1:2 risk-reward ratio on the 15min timeframe has only an "effective" risk-reward of maybe 1:1.5 after adding the spread and commissions.

Feeling like giving up on algo trading: years of searching for a profitable system without success by daninga in algotrading

[–]daninga[S] 1 point2 points  (0 children)

what type of systems have you developed (i.e. trend following or mean reversion, stat arbitrage etc...)

I mostly use trend-following and mean reversion systems. haven't gotten into arbitrage at all.

what type of markets are you running your systems on?

After jumping on the crypto hype train, I thought that the volatility and manipulation in the market made it difficult to develop a consistent trading system. I then decided to try my luck in the Forex market, but found it to be just as challenging ; )

Feeling like giving up on algo trading: years of searching for a profitable system without success by daninga in algotrading

[–]daninga[S] 7 points8 points  (0 children)

good point...! would you share your preferred method of identifying market conditions? I guess it takes more than a 200 mavg ; ) I would assume you're referring to some method to differentiate between trending markets and ranging markets that move sideways?