Discussion of article "Interview with Juan Pablo Alonso Escobar (ATC 2012)"
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New article Interview with Juan Pablo Alonso Escobar (ATC 2012) is published:
"Everyone who is struggling with programming and who were not able to participate in this year's competition, know that it becomes a lot easier in time", said Juan Pablo Alonso Escobar (JPAlonso), the hero of today's interview.
Please tell us about your prop-trading experience. How it is correlated with programming of Expert Advisors?
Participating for the first time in the 2007 championship inspired me to focus on an algorithmic trading career. The development and trading skills acquired from building EAs and participating in the competitions have been very useful for my professional experience.
Your EA trades using the Stop & Reverse principle. It can also close unprofitable long position and immediately enter the market in the same direction. Is this a randomness or a planned behavior?
It is not random, and not necessarily in the same direction. Part of optimizing the EA and making it "Championship ready" was making it simpler and much more aggressive than usual. The original Expert Advisor I was building had more flexible stop/profit targets and it was selective when entering positions. It was stable and consistent... but it had no chance of winning the competition.
The final version still followed the same basic rules when finding the "direction" of the trade, but it was much more liberal about opening positions. While the original EA may have, after closing a position, waited to find a high probability trade before going back into the market, the optimized EA is willing to take medium probability trades as well. That is why the program seems to enter orders so soon, and so aggressively.
Unfortunately, part of what made the EA so profitable may be risky in the last few weeks of the competition. The forcefulness of the orders means that the variance of the portfolio will be extremely high, with average daily swings of 10,000.
Given the volatility of the EA and the expected results of the other participants (based on previous year’s results), I estimate, despite my current 30,000+ lead, only a 50% chance of winning the competition, 15% of ending in 2nd or 3rd place, 25% of staying elsewhere in the top 10, and 10% of leaving the charts altogether. The competition is still open, and I will be watching the results closely.
Author: Automated-Trading