SITREP 0724
What has happened, what is currently happening, and what is the next move.
Disclaimer: the following post is an organized representation of my research and project notes. It doesn’t represent any type of advice, financial or otherwise. Its purpose is to be informative and educational. Backtest results are based on historical data, not real-time data. There is no guarantee that these hypothetical results will continue in the future. Day trading is extremely risky, and I do not suggest running any of these strategies live.
July is coming to an end, my wife is going back to work tomorrow (she's a teacher), and my son is growing and learning more every day. This has been a productive summer here at HGT. Since June (the month we stayed in Mexico), there have been 9 published posts and every one of them a strategy or an update to a strategy. Not too bad. So, I want to start publishing a quick post each month that summarizes what was accomplished this month and what the goals are for the next month and beyond.
First, we address the elephant. I am currently a couple days behind publishing the next post. I have a few exploratory subjects I want to write about before publishing Strategy 9. This also allows me a week or two to obtain some out of sample test data for the strategy. These topics will help to put an end to the indicator testing tool series so we can move on to testing indicators and adding them to the tool library. The first article, creating a threshold optimization table, will post tomorrow morning. The following two indicator posts will be published before next weekend.
I want to note that the published articles will cover anything from research topics to strategy design and testing. The code in them will continue to be updated as necessary but the original publication will not be. This is where the GitHub repo comes in. All changes and improvements made to the tools that we create here will be available on the GitHub repo with a history or changes. This is also where documentation for the tool library will live too.
Below is a broad overview of what articles are in the works and what the plans for the future are:
Upcoming Articles:
Threshold optimization table.
Close minus moving average (CMMA) indicator.
Price change oscillator indicator.
Strategy 9 - A rotational momentum strategy, Aug 9, 2024.
Quantifying linear trend.
A simple multi-market indicator.
August SITREP.
Strategy 10 - Unknown, Aug 30, 2024.
PyQuantTools (PQT) Updates/Changes:
Combine all indicator tests into a single function that prints results either to a text file (.md) or to the terminal.
Look into turning the pqt library into a proper package/cli tool.
Organize and structure code a bit more purposefully.
Start documenting.
Setup and start using Norgate Data with Python research.
Look into building tests for the tool so we can create a continuous development/deployment pipeline.
Update threshold table to work with multiple indicators
Updates:
I am learning how to use Sierra Chart right now. Once I have gotten comfortable charting and trading through the platform, I am going to turn my attention to developing Strategy 7 and 8 into strategies with this platform so we can start testing them and see how they do as true intraday strategies.
Since I have moved back into a Windows environment, I have decided to embrace developing and working with code completely on this platform. That means dropping the Linux sub-system and learning how to get down with PowerShell and cmd. Luckily, I am old enough to remember DOS and loading video games by floppy disk, so this shouldn't be too difficult. I am going to do my best to use the same tools I currently use (mostly Neovim), but we shall see what happens.
Once I have created a final indicator report, I am going to move my attention to handling historical data for a little bit. For now, I am only going to focus on using Norgate Data and learning how to manage this data for testing purposes a little better.
Thanks for reading. If you have any questions feel free to reach out. If there is a topic that you would like to see discussed, let me know and I will see what I can do. I am slowly adding indicators to the library, in hopes that one day it will have a bunch of useful indicators to help with financial market prediction.
The code for strategies and the custom functions/framework I use for strategy development in Python and NinjaScript can be found at the Hunt Gather Trade GitHub. This code repository will house all code related to articles and strategy development. If there are any paid subscribers without access, please contact me via e-mail. I do my best to invite members quickly after they subscribe. That being said, please try and make sure the e-mail you use with Substack is the e-mail associated with GitHub. It is difficult to track members otherwise.
Feel free to comment below or e-mail me if you need help with anything, wish to criticize, or have thoughts on improvements. Paid subscribers can access this code and more at the private HGT GitHub repo. As always, this newsletter represents refined versions of my research notes. That means these notes are plastic. There could be mistakes or better ways to accomplish what I am trying to do. Nothing is perfect, and I always look for ways to improve my techniques.