Writing this post to document my challenges as I am trying to automate my trading strategies. As shared in the previous post, I am working on Automating some of my trading strategies, but I am also realizing how difficult it is to convert what was once a Hybrid trading strategy (Quant informed but Discretionary) to a fully Quantitative and Automated strategy.

The Good

1. Given almost a decade long screen time, it really helps you come up with hypothesis-es which form the basis for your trades and rules.

2. So in a way, as they say in the world of Optimization, you can define your “Optimization Space” better.

3. Automation efforts can have a fairly non linear pay off, your effort is towards a strategy, which is sort of fixed, but can be deployed for multiple people and allocation sizes (regulation permitting).

4. You get more time to focus on Strategy Design than on Execution.

The Bad

1. Its not easy to deal with itchy fingers, reminds me of the Ulysses and the Sirens story , I need someone to tie my hands for now. You invariable want to ‘finger’ the trade.

2. Its impossible to factor in that “hunch”, where you square off saying - I don’t think this is going anywhere.

3. Lower Returns - Yes, its quite possible that the returns from the same strategy may reduce due to its inability to factor in all the variables which you as a human would. I am not sure about this, will update as and when I get to know.

The Ugly

1. Thankfully no Ugly situations so far. Lets see. Fingers Crossed.

Which Strategy is being Automated?

I am testing my Bread and Butter Strategy that I call NIFTY - OD this strategy tries to capture a part of the Opening Range of NIFTY Futures. At the moment this is being implemented and tested on Futures, later will move it to Options for better cost efficiency.