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I finally rolled NG. This means realizing quite a significant "loss" in terms of contango, but of course if it continues to fall we will recover that, through the mechanism we have seen in the previous posts (we close with a sell player, and if the sell player can close we transform the...

Today I rolled over ES. Being essentially long, this time the backwardation worked in our favor, even though it's not much: Same we should do for NG, but I am waiting for some small spike up in the attempt to make easier some "recovery" of the unfavorable contango, which is pretty bad for...

Another week is gone. We have started taking notice of the passage of time by writing some options. As said before, there are several ways to incorporate the use of options along with algorithmic trading. Some of these possible ways are the following: - "Anticipation of players" at a given...

Talking of grabbing some time value, today I have sold a few options on CL and ES just as "warm up", and easy small money since the expiry date was today. Actually, when the position becomes significant (and, in time, it usually does, due to the need of recovering the rollover orders), it may...

Well, time is also to be factored in somehow, but I prefer to exploit it in form of price decay (eg. through the decaying ETFs, using "enqueued" orders), or by grabbing the option time decay (which we have not used so far in this illustration, so far). Yes, it was a bit large and actually...

Hi recession2016, Yes, that's wise, and I did that when I was using real accounts kindly provided by investors. Since now I only show paper trading accounts in public threads, to avoid interference due to the intervention of some clueless idiot that punctually starts crying at the first DD...

Hi botpro, thanks for the question. The general initial information about the account is contained in the first posts of the thread. Anyway, we had a 1.5M of which we have been using only a portion, with increasing (and varying) margin requirements (for instance, current requirement is around...

This Monday is also ending in the green zone, after some PNL swing, CL has almost all layers positive at the moment, while SCO has still way to go (due to "excessive concentration" of position, relative to the instrument volatility). Natural Gas (NG) is still in a slow "load phase" and, if it...

Today we just returned in the green sector, ending the day with +108K. The recover is mostly due to the crude oil and mkt simultaneous moves. The "manual" layer of SCO has still way to go for a recovery: (In the meantime I have been doing some software changes, following the suggestions of...

Another week gone and we are more or less at the same point as last time we checked. Crude oil (CL) has been swinging down and up causing some more drawdown. We are still paying our "mistakes" with SCO and we need to patiently wait for the opportunity to "unload" it. We have a good position on...

Another week (was pretty busy, so I did not follow it closely) is gone, and we are back "underwater", mostly due to crude oil moving down. We have "discharged" some of the CL position, however SCO and ERY were loaded "too early" and "too close" through manually "enqueued orders" so they are...

Let's take advantage of the weekend to recap and possibly refine our current algorithmic approach. In post #92 we have discussed some strategic points. Let's refine further here. First of all, we have said, that for several good reasons we only trade FUTs (futures contracts) in full automatic...

We end the week in "green" zone, with PNL around +143K (146,337.94 according to IB). Maint margin is just 548K. We still need to close most of our positions on the (decaying) ETFs. Anyway, even if crude oil should shoot down again, we know we can hold the move, and even make another profitable...

Today looks even better than yesterday with our PNL returned to around +125K, current maint. margin is around 550K. There is still way to go to fully "unload" SCO and CL as we can see in the picture. It was a bit unfortunate we did not had enough resources to overload SCO and CL on the real...

While SCO is momentarily shooting down (and hence CL rising), we have returned in the "green zone", but there is still long way to go: As a tip for the fund managers playing with my applications, one convenient way to close the orders which are result of "enqueued orders" or "manual" fills...

The situation looks now better, with the DD returned at an insignificant level (we are just -2.82% "underwater"). I will feel better when I can discharge a bit the "manual" SCO position which was loaded too much and way too "early". Anyway, at least we know for a fact that with the current...

This morning, first thing I have rolled over NG to the "new" contract NGJ6. As explained before, I have closed the position with a player and reopened with a manual order, to preserve the trading information of the existing buy players: As explained, the reason why one may want to use a...

We close the week with a monster "recovery" (we made back about 500K in the last few days), mostly due to the SCO, CL, ES, YM drawdown being reabsorbed. We are still "underwater", at -8.75%. Next week, we need first of all to rollover NG, which is subject to the Physical Delivery Rules. I have...

The situation is now looking slightly better with PNL, while still underwater a 12%. CL has bounced back a bit and yesterday I have also rolled our CL layers to CLJ6. SCO has suffered a very severe DD, as I have, objectively, "overloaded" a bit too much, and too "early". If it drops some more, I...

You are welcome OldSpec. During the DD or "load up" phases I tend to do naturally a slower update activity due to the reason that, in time, I have experienced that, in these phases, it's better to get a bit "detached" from the trading activity, to avoid: 1) the temptation to "mess up" with the...