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@NoahA I owe you a ginormous apology, you were 100% correct, and I was 100% wrong. It doesn't change anything we're doing on our end, But it DOES put on our radar we need to have a much better understanding of E-Mini depth/liquidity. So thank you for that, and apologies once again.

I guess I'll be saying this 50 different ways, but at our volume orderbook depth had not been on our radar because it hasn't needed to be. That being said, coming from a stock world where Size is in 100 share lots, I assumed Futures was displayed the same. Happy to admit I've been wrong on...

LOL "piddly", aren't you the spicy one... I'm glad to hear we're not moving the market. Even being wrong on my (mis)understanding of the Bid/Ask Size (I do come from a stock trading background before starting futures last year), all I really care about related to this topic is whether or not...

Oh, we're really trading them, but as I said in my message above, if that's the case, then we're already moving the price, but spread across 40-60 strategy instances placing the same order, we didn't realize it. Which will be a huge epiphany for us.

I've reached out to our Interactive Brokers account rep to get a definitive answer. It would blow my mind if these Sizes listed in their TWS platform are NOT 100 contract/share lots for Futures. Here's daily trade volume and open interest for ES: With an average daily volume of 1.5M...

I guess I'm missing something. At the risk of stating the comically obvious (for anyone that's ever traded), Bid/Ask Size (quantities of contracts/shares sitting on the orderbook at the Bid and Ask prices) represent lots of 100. In the following screenshot just now: The size "64 x 23"...

Just shoulder-tapping and word of mouth, no advertising or anything public-facing. Once you have your first client that manages a large portfolio for others (which is the hardest part), and return an amazing ROI for them, word gets out quickly to other entities with money they're connected to...

I have four part-time people I work with (who all have full-time jobs elsewhere), two developers and two Math/AI PhD's. I'm the only "full time" person on the strat/tech/trading side of things. Expenses were (relatively) minimal to get started, as we all worked for free for future...

Also, what may not have been obvious at first glance is how these two strategies, while semi-independent, complimented each other. One strategy went long with a 17 contract position, but then a drawdown. That strat held through the DD, AND the second strat entered a smaller long at nearly the...

Ha, "severe" is a subjective term. On a $575K trade balance, I don't consider an $18K MaxDD (thanks China) "severe". Not preferable of course, but no drawdown is. Sorry, those are "secret sauce" questions ;). For sure. Good thing I'm not a manual trader.

Here's an example using today's trades in that account: As you can see, one strategy opened a long of 17 contracts (in two transactions) at 07:01, and another strategy opened up a long of 6 contracts (in three transactions) at 10:02. However, the 6 contracts had three different exit targets...

Simple, the trades I posted was an account that only trades one contract at a time. That $19K day you saw is for an account that trades a maximum of 23 contracts with I think close to $700K in it currently. Big difference. Also, the "one contract" account is our most conservative PnL simply...

Hey there Murray, I'm assuming you're taking about the results I posted recently. I don't actually get hung up on win rate, as it is easily manipulated, which I covered in an earlier post: "While we do have an almost 90% win rate, that is largely due to tight take profit targets. It is super...

Your spreadsheet is a backtest to 2018. EVERY trader I know is rich on their backtest. I should have specified do you have any more LIVE trade history to share. I was just chiming in (on the other thread) that algo trading CAN be profitable. And sharing a bit of our process in the hopes that...

I don't really understand the value of posting ONE good month of trading, during a month the markets went up no less, but I'll bite: These are personal accounts, not our client's institutional accounts. All of them had a 15%-20% July. While profit in one up market month is thrilling, do...

Well, that MA thread was a painful thread to read, but my experience (and application) with various MA's types is we use them for confirmation of generated signals, but NOT for signal generation itself. For example, one of our strategies has a safeguard in place that says, if the strat (using...

Hi, not sure if you're just waxing philosophical, or referring to the specific trades I posted, but just so we're on the same page, everything I'm posting is live, not backtesting...

That particular strategy has a maximum open position of 2 E-Mini contracts. It's portfolio basis (cash in the account we expect in order to trade any multiple of this strategy) is $40K for a margin account (we require enough cash in the account to MORE than weather the occasional drawdown, or...

The way our dynamic stop losses work is they are recalculated every minute, and barring a sharp spike in price movement against our position, CAN allow an open position to go into a pretty significant drawdown. Hence my earlier comment in another post about periodic drawdowns in the 10% range...

Nope, I have not. While we do have an almost 90% win rate, that is largely due to tight take profit targets. It is super easy for me to destroy our win rate, all I need to do is either a) get greedy with our take profit targets, or b) overtighten our stop loss exits/tolerance. Our tuning is a...