Cycle #6, day off 3:
During last night, trading system has been very active. It made over 20 trades. Volatility around GNO that did gain over 40% during that time has been the main driver for all this activity. It hasn't been a good session. It lost about 5% of its budget.
30 days trading volume is now at $28.5K
I'm trying to understand what went wrong. First impression is that I could fingerpoint the latest improvements added in the algo but this isn't it.
My system got fooled by price spikes that made the price move by 2+% instantaneously but because that market (mostly GNO) is low-volume, the spike that was nothing else than thin air did disappear as fast as it came.
I must definitely include more variables into the trading decisions such as spread size, trading volume and the 24h price change to protect the system against those traps.
I'm about to complete what might be the last execution engine refactoring for some time... I could have finished doing it yesterday evening but I got distracted by all the market activities done by my system...
During last night, trading system has been very active. It made over 20 trades. Volatility around GNO that did gain over 40% during that time has been the main driver for all this activity. It hasn't been a good session. It lost about 5% of its budget.
30 days trading volume is now at $28.5K
I'm trying to understand what went wrong. First impression is that I could fingerpoint the latest improvements added in the algo but this isn't it.
My system got fooled by price spikes that made the price move by 2+% instantaneously but because that market (mostly GNO) is low-volume, the spike that was nothing else than thin air did disappear as fast as it came.
I must definitely include more variables into the trading decisions such as spread size, trading volume and the 24h price change to protect the system against those traps.
I'm about to complete what might be the last execution engine refactoring for some time... I could have finished doing it yesterday evening but I got distracted by all the market activities done by my system...
