A Contest Trader’s Time-Based Trend Strategy and Risk Choices

Summary

In this interview, Automated Trading Championship 2012 participant Sergey Abramov discusses the design and behavior of his trading robot. He says its entry timing was selected by optimizing results from prior periods, with one main entry time during exchange working hours and a second, riskier entry opportunity. He describes the approach as trend-following and says it performs poorly in flat markets. The interview also notes that a position-closing code error affected the robot during the contest.

Abramov explains that the robot used large fixed trade sizes under contest rules, with sizing based on the maximum permitted volume, and that this increased risk. Its stop and take-profit levels were rigid or linked to the preceding price move. He emphasizes the need for real trading experience and testing, including a pre-contest demo period. These are the participant’s observations and contest-era results, not evidence of a robust strategy; performance was tied to historical optimization and exposed to execution issues, coding mistakes, and market conditions.

Key ideas

• The robot’s entry times were selected through optimization on historical periods.
• The participant describes the system as trend-following and poorly suited to flat markets.
• A position-closing bug affected the robot during the competition.
• Sizing at the contest’s maximum allowed volume increased exposure to risk.
• The interview stresses testing in live-like execution conditions before competition deployment.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.