Twitter Signal Service Experimentation

trend_meanreversion since: 31 Jul 2014;

  31 Jul 2020, 11:45
Twitter Signal Service Experimentation

Hi Everyone,

Some of you may know me from my earlier posts at cTrader forums ( https://ctrader.com/algos/cbots/show/1026 ) and may have used my bots/trading algorithms or helped me in my coding or were simply interested in my approach to trading.

I have now been trading for several years with general inquisitiveness for new and innovative ways of trading and have been fortunate to have garnered some success along the way.

I have recently started exploring quantamental (quantitative + fundamental) approach to trading and have developed a trading algorithm which I have been testing/refining in real-time for a while. I am using sentiment analysis and calling it the fundamental part of the algorithm. Due to the non-availability of historical fundamental data, I have to test this algorithm in walk forward way. I am starting an experiment to post my trading signals on Twitter in real-time via my cBot. Below are the main points of this exercise:

1)  August 2020 will be the main public experimentation month for the algorithm and the aim is to refine the signals and particularly develop risk management around it.

2)  I will focus on 5 major Index CFDs initially and then will see how it evolves.

     AUS200: Index CFD representing https://www.bloomberg.com/quote/AS51:IND

     HK50: Index CFD representing https://www.bloomberg.com/quote/HSI:IND

     DE30: Index CFD representing https://www.bloomberg.com/quote/DAX:IND

     US30: Index CFD representing https://www.bloomberg.com/quote/INDU:IND

     UK100: Index CFD representing https://www.bloomberg.com/quote/UKX:IND

3)  There can be only 1 trade per product per day (unless I have made a coding error).

4)  Initial risk management approach->

         Take Profit : 10bps

         StopLoss : based on Daily ATR

         Exit : End of Day (if neither TP nor SL gets hit during day)

   ** Day is defined as -> 00:00 UTC – 21:00 UTC

Note: I am aware of pretty skewed risk-reward and thus this strategy is not suitable for everyone but I need to refine it and this exercise should help me do that.

5)  Every trade signal will be published real-time with Time stamp, Product, Direction, Bid/Ask (at the time), Take Profit and Stop Loss.

     For example: Sell Signal generated at 24/07/2020 10:06:49 UTC for UK100 at Bid/Ask Price: 6152.5 / 6153.6 [ TP: 6146.35 , SL: 6252.6 , Exit: EoD ]

6)  There will be End of Month report (starting from August month) with analysis of all trades taken with the Trades generated, Entry Price, Close Price, %Profit Generated, and other key performance indicators. For reporting purpose, I would assume account balance of 20K USD with 20K USD equivalent risk exposure on each product taken in each suggested trade and   returns will be generated accordingly. This would mean our portfolio max risk exposure will be 100K on any day if one trade is generated on each of the 5 Index CFDs. We can define better risk-management using those trades data and potentially explore other TP/SL/Exit options.

7)  For August Month, I would look at tick level data to generate the report and expected exit prices accordingly.  I will implement in September trade taking capacity in cBot (not just signal    generation) with TP/SL so that it becomes fully automated algorithmic trading strategy.

8)  Reasons to do this exercise:

  1. Advice/help/suggestions to refine it.
  2. Make myself disciplined with this strategy with more eyes looking at it critically.
  3. Ability to create a trading signal without any unnecessary clutter of charts & essay on the analysis of trade and with clear simple executable trading signals with auditable/transparent record.

https://twitter.com/TMeanreversion --> This is the Twitter account where trading signal will be posted so feel free to follow and check yourself. I may or may not respond to individual messages as I am busy with my other trading strategies, but any positive criticism and suggestions are welcome. It might may lead nowhere and trading strategy might not be a long-term winner, but we all shall know if it is of any value.

Wish me luck!!

ronblade061 since: 01 Aug 2020;

  01 Aug 2020, 10:38

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tgjobscv since: 05 Dec 2018;

  01 Aug 2020, 22:04

30/06/2020 01:00:00.000 | Backtesting was stopped
30/06/2020 01:00:00.000 | Crashed in OnStop with NullReferenceException: Object reference not set to an instance of an object.
30/06/2020 01:00:00.000 | Crashed in OnStart with UnauthorizedAccessException: Access to the path 'c:\data.csv' is denied.
30/06/2020 01:00:00.000 | Backtesting started
 

tgjobscv since: 05 Dec 2018;

  01 Aug 2020, 22:07
RE:

You can make group in the facebook.

trend_meanreversion since: 31 Jul 2014;

  02 Aug 2020, 03:28
RE: RE:

tgjobscv said:

You can make group in the facebook.

Actually not a bad idea but I will keep it simple for the time being for few months and will make a Facebook group in September or November.

trend_meanreversion since: 31 Jul 2014;

  03 Aug 2020, 06:54

First signal generated !!! Yippie  [ https://twitter.com/TMeanreversion ] 

Sell Signal generated at 03/08/2020 03:11:30 UTC for HK50 at Bid/Ask Price: 24465.3 / 24472.8 [ TP: 24440.83 , SL: 24828.16 , Exit: EoD ]

Already locked in TP :) 

Let's hope it keeps taking the right trades !

trend_meanreversion since: 31 Jul 2014;

  04 Aug 2020, 12:30

Second trade via bot [ https://twitter.com/TMeanreversion ]

Buy Signal generated at 04/08/2020 08:00:03 UTC for US30 at Bid/Ask Price: 26624 / 26627 [ TP: 26653.63 , SL: 26349.76 , Exit: EoD ]

Already locked in TP !

trend_meanreversion since: 31 Jul 2014;

  05 Aug 2020, 15:58

2 more trades for today (so far) via bot [ https://twitter.com/TMeanreversion ]

Buy Signal generated at 05/08/2020 08:32:14 UTC for DE30 at Bid/Ask Price: 12656.1 / 12657.1 [ TP: 12669.76 , SL: 12455.6 , Exit: EoD ]

Sell Signal generated at 05/08/2020 02:53:54 UTC for HK50 at Bid/Ask Price: 25059.2 / 25066.6 [ TP: 25034.14 , SL: 25389.22 , Exit: EoD ]

Already locked in TP for both !

trend_meanreversion since: 31 Jul 2014;

  11 Aug 2020, 11:54

2 trades generated so far via bot [ https://twitter.com/TMeanreversion ]

Sell Signal generated at 11/08/2020 07:23:56 UTC for UK100 at Bid/Ask Price: 6142.7 / 6144.1 [ TP: 6136.56 , SL: 6227.72 , Exit: EoD ]

Buy Signal generated at 11/08/2020 14:07:33 UTC for DE30 at Bid/Ask Price: 12908.1 / 12909.1 [ TP: 12922.01 , SL: 12703.25 , Exit: EoD ]

Already locked in TP ! 

trend_meanreversion since: 31 Jul 2014;

  15 Aug 2020, 03:03

2 Signals generated and locked in TP !!

Buy Signal generated at 14/08/2020 18:47:42 UTC for DE30 at Bid/Ask Price: 12841.3 / 12843.3 [ TP: 12856.14 , SL: 12668.44 , Exit: EoD ]

Sell Signal generated at 14/08/2020 07:13:26 UTC for UK100 at Bid/Ask Price: 6128.6 / 6130 [ TP: 6122.47 , SL: 6206.77 , Exit: EoD ]