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No big news. Robot trading regularly. This week it has been "investing" (mainly in gold). CL is still the "best" (or most lucky) "performer", followed by CHF, which has accumulated over 7K with a very small drawdown. <img src="http://www.datatime.eu/public/gbot/res_sun11_4.png"> When...

No big events. "Realized" increased to 26K (has been doing more than 2K a day). Positive P&L (no big "investment"). <a href="http://www.datatime.eu/public/gbot/Sun%2011%20Jul%202010_port4001_Cli1_2/GBotReport_2010-07-11_port4001_Cli1.htm"> Chart update </a> I could close and restart a new...

Robot continuing increase Realized (no big "investments" so far that are decreasing PNL) <img src="http://www.datatime.eu/public/gbot/res_sun11_3.png"> Best "performer" so far has been CL: <img src="http://www.datatime.eu/public/gbot/res_sun11_cl.png"> The Highest P&L (8.4K) is...

While the robot continues patiently and inesorably its work (It is 19K realized right now and positive PNL, btw) , let see the next questions from PocketChange Within this approach and based on calibration results it appears that drawdown is not a big issue for the present algorithm...

Robot has just closed all positions on a 16K P&L, averaging more than 2K a day (july,20 - 9:16 edt). <a href="http://www.datatime.eu/public/gbot/Sun%2011%20Jul%202010_port4001_Cli1_1/GBotReport_2010-07-11_port4001_Cli1.htm"> Chart update </a> I have this rule, allowing going flat, when...

Still doing ok: 12K realized, positive PNL and max drawdown -3.8K, almost 5 days running. As to the second question from PocketChange: Let's, first of all, say that "martingale" is one of the words I have removed from my vocabulary :-)) I have removed a few other words, but will not...

Tough questions PocketChange ! ;-) Will try to answer one at a time. Feel free to break in any time ... The most obvious purpose of a folio is investment diversification. As this approach never "realizes losses", a diversified and incorrelated set of instrument would mitigate...

Ok have restarted. The main parameter (minimum order distance) is 260$ <a href="http://www.datatime.eu/public/gbot/Sun%2011%20Jul%202010_port4001_Cli1/GBotReport_2010-07-11_port4001_Cli1.htm"> Chart update </a> (have added a couple of vertical lines to charts, to visually delimit RTH) The...

<b>CHOICE OF THE FOLIO</b> As we proceed expounding and testing the general idea and algorithm, it becomes evident that the ideal porfolio would be one containing instruments which are moderately volatile. So for instance, one should be careful with commodities. Correlation does not...

<b>ROUGH CASH RESERVE ESTIMATE </b> In any case, even with the most (consistently) profitable strategy i have personally ever seen (tested) the ratio R = (AvgDailyProfit / Max Drawdown) does have "upper limit" beyond which it cannot be pushed further, due to the natural volatility of...

Ok let's take a look at the first days of trading. Well, looks like I have chosen one of the best week of the year to start. If i were looking for a volatile and tough scenario, I have been suited well ;-) (Should not complain too much however, as we already know that since when...

Hi ZMiniTrader, thanks for your question. The processes of searching consistent profitability involves a lot of struggling which in time, may change completely the way one approaches trading and make realize that most of concept found on some websites (not ET! clearly ;-) or books, about...

Restarted on sunday <a href="http://www.datatime.eu/public/gbot/Sun%2027%20Jun%202010_port4002_Cli1_1/GBotReport_2010-06-27_port4002_Cli1.htm"> Chart update </a> <img src="http://www.datatime.eu/public/gbot/PNLView_Sun_1.png"> During the weekend have been carrying out some more...

PNL view within application with legenda: <img src="http://www.datatime.eu/public/gbot/pnlview.png"> AbsPos = sum of abs positions P&L = "Net" P&L (liquidation value) Real = Realized Unr = Unrealized Comms = Commissions DD = current drawdown MDD = max drawdown ever seen AbsVal = sum...

Trades <a href="http://www.datatime.eu/public/gbot/Tue%2022%20Jun%202010_port4001_Cli1_3/GBotReport_2010-06-22_port4001_Cli1.htm"> Chart update </a> I think will stop here for the moment to resume the testing on sunday. (After all have averaged more than 1K per day.) I noticed that the...

Now will begin saying something to respond to the second part of kxvid contribution. I think that a good way to describe this strategy is that: it tries, at any time, to "wrap" the price making "extreme" entries (buy low, sell high). Clearly, it does that by adjusting to "volatility"...

Here is an update of trades to "now": <a href="http://www.datatime.eu/public/gbot/Tue%2022%20Jun%202010_port4001_Cli1_2/GBotReport_2010-06-22_port4001_Cli1.htm"> Chart update </a> Suffered some (relatively) little drawdown, but recovered. From the charts, i think that the strategy...

This is a very smart question, kxvid, and hits directly one important point, on which i would really gather some idea or contributions. I made a cursory remark on correlations and i am happy this point has been noted. Let me then focus on this. First of all what do i mean by...

I forgot to provide the trade chart legend. The chart symbols should be intuitive anyway: Blue: buy Maroon: sell circle: open (position = 0 before entry) square: close (position = 0 after) triangle: change size (position <> 0 before and after) The 2 price curves are bid/ask...

Ok let's see what's the situation... I started a folio of 10 instruments: ES FUT 201009 GLOBEX 50 E-mini S&P 500 YM FUT 201009 ECBOT 5 Mini Sized Dow Jones Industrial Average $5 NQ FUT 201009 GLOBEX 20 E-mini NASDAQ 100 Futures AUD...