Equities Strategies for Futures Traders
By Dave Mabe
Here's a question from Brian P. about transitioning from trading futures to equities (name used with permission):
Brian P:
The strategy I've developed for the ES does well during markets with elevated IV but doesn't perform well in low vol markets. Because I've heard you say time after time that things are much easier in the equities space, I have begun making the transition.
The one topic I don't remember you guys discussing in the podcast is execution methods. I have a backtest that I'm comfortable with, and now it's time to begin forward testing in the live market. Questions:
Do you use Amibroker to execute/send live orders to IBKR using the IB Controller, or do you use something else?
Coming from Futures, there are only 4-5 instruments I would be comfortable running my strategy on. There are 1000's of stocks. How many stocks do you typically run a strategy on? I'm assuming you scan for stock that fits the criteria that align with the strategy you are running.
Currently, my strategy requires me to set up individual charts for each instrument with the strategy formula applied. Is this the correct approach?
Dave:
Congrats on the transition and finding a solid strategy in the equities world.
I use the Trade Client software (now comes with MabeKit) to execute orders from Amibroker.
You can make it work with the IBController in Amibroker, but the Trade Client is far superior and can trade through DAS brokers (great for short locates).
I like the "separation of concerns" that the Trade Client provides by separating the logic of signal generation and execution.
Yes, you can trade across the entire market with Amibroker, and, yes, finding edge is much easier when spreading your strategy across thousands of symbols.
You can use individual charts to make trades in Amibroker, but that's not feasible when trading a system across the entire equities market.
In that case, you'll need to use Explorations to generate your signals across many symbols.
Explorations are one of the most valuable tools in Amibroker.
Very powerful and infinitely extensible.
To see the Trade Client and Amibroker Explorations in action, see the videos partway down the MabeKit page.
Thanks for sharing with the list, Brian!
-Dave
P.S. Afraid to size up because you don’t trust your edge? Build confidence to trade your strategy with bigger size with MabeKit.