Yes, everything is automated at this point. What I am using now was developed over 18 months in spurts of research and analysis. Seems like every week I would learn something new, find something I could keep, find things that weren't worth keeping, etc. I would develop a baseline then explore different scenarios off of the baseline. Now I have my series of baseline variants that I still experiment with for continued learning and testing out new ideas.
2018 - 8 Future Basket Trading Journal
- Thread starter MidwesternTrader
- Start date
Yes, everything is automated at this point. What I am using now was developed over 18 months in spurts of research and analysis. Seems like every week I would learn something new, find something I could keep, find things that weren't worth keeping, etc. I would develop a baseline then explore different scenarios off of the baseline. Now I have my series of baseline variants that I still experiment with for continued learning and testing out new ideas.
Keeping the journal and answering questions from other members has kicked off a number of "Why do I do this" thoughts in my head. Why have I decided to trade in certain ways with this 8 Futures Basket trading strategy? Can I explain it in a way that presents any logical reasoning?
I've been documenting some of these thoughts and will post some additional analysis items from time to time. Feedback is always welcome, especially if you feel I'm using erroneous methods to make any of the decisions.
I've been documenting some of these thoughts and will post some additional analysis items from time to time. Feedback is always welcome, especially if you feel I'm using erroneous methods to make any of the decisions.
Last edited:
Shortened Holiday Trading Days – To Trade or Not to Trade?
With the MLK short session trading occurring this week this brings me to a decision all traders need to make. In the past I have wondered whether to trade shortened market hour days or not using this strategy. CL, HO, NQ, GC, and NG all trade partial market hours during some American holidays. KC, LE and HE do not, their markets are usually closed. These days occur on the following American holidays:
· MLK Day
· President’s Day
· Memorial Day
· Independence Day
· Labor Day
· Thanksgiving Day
· Day After Thanksgiving Day
The 8 Future Basket results for these days in 2016 and 2017 back tested to the following in total basis points. 1 basis point = $10.00:
Holiday **********2016 **** 2017
MLK Day *********** 62 ****** -62
President’s Day ******-75 ****** -4
Memorial Day *******121*******-25
Independence Day*** -155 ****** 28
Labor Day **********105 ****** 94
Thanksgiving Day ****-55 ****** 23
Day After Thanksgiving*561 ***** 177
Yearly Totals ******+564 *** +231
The sample size is too small to derive any definite conclusions for the 14 holiday shortened trading days recorded. But there is evidence that an outsized, positive outlier can occur on a shortened trading day where one day traded at +561 basis points ($5,610) for 1 position traded in each future open during partial trading hours. The particular outlier gains that day came in powerful CL and HO moves. So should these days be traded or not? The math indicates that the positive P & L returns from 14 instances leans towards yes. For this particular strategy, holidays should be traded like any other day.
With the MLK short session trading occurring this week this brings me to a decision all traders need to make. In the past I have wondered whether to trade shortened market hour days or not using this strategy. CL, HO, NQ, GC, and NG all trade partial market hours during some American holidays. KC, LE and HE do not, their markets are usually closed. These days occur on the following American holidays:
· MLK Day
· President’s Day
· Memorial Day
· Independence Day
· Labor Day
· Thanksgiving Day
· Day After Thanksgiving Day
The 8 Future Basket results for these days in 2016 and 2017 back tested to the following in total basis points. 1 basis point = $10.00:
Holiday **********2016 **** 2017
MLK Day *********** 62 ****** -62
President’s Day ******-75 ****** -4
Memorial Day *******121*******-25
Independence Day*** -155 ****** 28
Labor Day **********105 ****** 94
Thanksgiving Day ****-55 ****** 23
Day After Thanksgiving*561 ***** 177
Yearly Totals ******+564 *** +231
The sample size is too small to derive any definite conclusions for the 14 holiday shortened trading days recorded. But there is evidence that an outsized, positive outlier can occur on a shortened trading day where one day traded at +561 basis points ($5,610) for 1 position traded in each future open during partial trading hours. The particular outlier gains that day came in powerful CL and HO moves. So should these days be traded or not? The math indicates that the positive P & L returns from 14 instances leans towards yes. For this particular strategy, holidays should be traded like any other day.
The moment you treat a holiday like an outlier to other days, you will lose. Don't do it. The market does not see holidays...just moments of spittle that you need to see through. Be the ball.
Nahahahaha.
Thank you very little.
Chevy Chase was an Elite golfer in CaddyShack. Elite, or skilled, people make things look so easy to the uninitiated.
Middle-aged/young males perform and peak well at that age. It reminds me of Poker champions, and in the Business environments. And also some of the greatest traders in history as well.
It's also good to be collectively well-rounded and generally wise about things outside of your daily field.
Those lessons and wisdoms and character traits can sometimes produce successes elsewhere.
Life's everyday instances and events and occurrences...no matter how mundane or minute or grand...is like art -- it can be perceived a million different ways, by a million different people.
Last edited:
Week Jan 8th – Jan 12th
A draw down week. Some perspective on draw downs for this approach. The 2 year back test results showed approximately 25% of all weeks would be negative NAV. Average negative week over 2016 – 2017 was -$2,470, so this draw down is stronger than average. The baseline strategy (perfect execution) for this week recorded as -$4,010, but the actual trading loss was larger. I’ll provide a breakdown for why that occurred below.
2 wining days, 3 losing days. 14 winning trades, 23 losing trades. 17 of the losing trades were full stop losses. HE, LE and KC markets were closed and did not trade on 1-15-18 MLK holiday.
NAV: -$4,623.45
Adherence to outlined trading strategy: 92%. 3 trading errors this week, all occurred on Wednesday.
Error 1 – Misread a stop on KC trade by thinking an “3” was an “8”. This led the stop to one half cent higher than it should have been. The higher stop was taken out and out resulted in losing an additional -$187.50 on the trade. (1 cent = $375 on KC)
Errors 2 & 3. – Forgot to set the grouping identifier codes on the HE and LE exit trades. When set correctly, the trade grouping code will cancel all other orders if one trade in the group is executed. The HE stop loss trade and the LE limit up profit trades were executed that day as designed, but since there was no grouping code to cancel the associated close position at close trade, HE and LE executed new short sales at the close. This left me short overnight both instruments. I closed the unintended shorts at market open the next morning. The two extra trades totaled -$330 in losses.
The three mistakes resulted in a -$517.50 NAV loss, which accounts for the why the weekly actual NAV loss was greater than the expected “baseline results”. Since I began trading futures systematically in July 2017, I have recorded these order automation execution “slip ups”. 13 in total. 11 resulted in losing money.
Lesson 5: Not executing your system as designed will typically cause you to lose money.
Finally, I continued to trade HE and LE with an 8:35 AM opening trade times instead of using the strategy baseline’s 8:30 AM opening trade. The difference between 8:30 AM baseline and 8:35 AM actual trades this week was negligible. Still completing my final comparative analysis between the 8:30 AM and 8:35 AM opens to determine the best opening time to use.
A draw down week. Some perspective on draw downs for this approach. The 2 year back test results showed approximately 25% of all weeks would be negative NAV. Average negative week over 2016 – 2017 was -$2,470, so this draw down is stronger than average. The baseline strategy (perfect execution) for this week recorded as -$4,010, but the actual trading loss was larger. I’ll provide a breakdown for why that occurred below.
2 wining days, 3 losing days. 14 winning trades, 23 losing trades. 17 of the losing trades were full stop losses. HE, LE and KC markets were closed and did not trade on 1-15-18 MLK holiday.
NAV: -$4,623.45
Adherence to outlined trading strategy: 92%. 3 trading errors this week, all occurred on Wednesday.
Error 1 – Misread a stop on KC trade by thinking an “3” was an “8”. This led the stop to one half cent higher than it should have been. The higher stop was taken out and out resulted in losing an additional -$187.50 on the trade. (1 cent = $375 on KC)
Errors 2 & 3. – Forgot to set the grouping identifier codes on the HE and LE exit trades. When set correctly, the trade grouping code will cancel all other orders if one trade in the group is executed. The HE stop loss trade and the LE limit up profit trades were executed that day as designed, but since there was no grouping code to cancel the associated close position at close trade, HE and LE executed new short sales at the close. This left me short overnight both instruments. I closed the unintended shorts at market open the next morning. The two extra trades totaled -$330 in losses.
The three mistakes resulted in a -$517.50 NAV loss, which accounts for the why the weekly actual NAV loss was greater than the expected “baseline results”. Since I began trading futures systematically in July 2017, I have recorded these order automation execution “slip ups”. 13 in total. 11 resulted in losing money.
Lesson 5: Not executing your system as designed will typically cause you to lose money.
Finally, I continued to trade HE and LE with an 8:35 AM opening trade times instead of using the strategy baseline’s 8:30 AM opening trade. The difference between 8:30 AM baseline and 8:35 AM actual trades this week was negligible. Still completing my final comparative analysis between the 8:30 AM and 8:35 AM opens to determine the best opening time to use.
Are you manually entering price values and group names?
These can all be software coded so these types of minor human errors don't happen, which is how i do it with the IB API.
Last edited:
Yes, aware that they can be coded through the IB API. But haven't made the effort to tie in my strategy decision making system with the API yet. A few more mistakes like this though might move that up the priority list.
ok, i thought you were totally automated!, but reading your first post you only say your exits are automated.
How are you doing your entry orders for 8 markets, are you using the IB excel DDE API?
Last edited: