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Hafnium

Regular
2525
Posts: 74

Joined: 1/1/2004
Location: Fairfax, VA

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Subject : RE: A Confidence Boost
Posted : 11/28/2018 6:22 PM
Post #45725 - In reply to #45651

Mark,

You stated the following on MOC orders

"Given all that, there are some serious practical problems with MOC orders in an autonomous system"

I have found that autonomous MOC orders actually work fairly well (11 months of live trading with OT2018/ATM/Macro Micro

Steps to implement
-Modify the tradeplans in use to use MOC orders.

-Set the Autotrader to use forming signals only.

-With GXtrader/IB - MOC orders must be submitted before 3:45 EST. Since my normal OT run takes 22 mins (250 Liquid stocks) - I set my AutoTrade Run Time to start at 3:20. The orders are generally submitted at 3:42 , just prior to the 3:45 deadline.

-Every now and then, the final market closing price will move enough to cancel a trade entry signal (as the entries are submitted before the actual close-this happens roughly 1 or 2 times a month).
This is not a problem logistically. Even though the strategy entry signal disappears from the vote line the actual trade remains active - the strategy trade plan manages the trade to its full completion. These trades have the same overall characteristics as the normal trades (HR, PPT, etc...)

LD
Deleting message 45725 : RE: A Confidence Boost


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