Adventures in Automation

fan27 · Jun 24, 2019

Long 2 ES Contracts at 2959.25 for 15 min bar strategy.

Stop order at 2941.75
Limit order at 2985.50
Exit after 130 bars

fan27 · Jun 25, 2019

fan27 said:
Long 2 ES Contracts at 2959.25 for 15 min bar strategy.

Stop order at 2941.75
Limit order at 2985.50
Exit after 130 bars

Exited two ES contracts at 2941.75
-$1758.2

fan27 · Jun 26, 2019

Long 1 ES Contracts at 2923.75 for 30 min bar strategy.

Stop order at 2900.5
Limit order at 2947
Exit after 8 bars

fan27 · Jun 26, 2019

Long 1 ES Contracts at 2918.25 for 30 min bar strategy.

Stop order at 2945.25
Limit order at 2896.75
Exit after 100 bars

fan27 · Jun 27, 2019

fan27 said:
Long 1 ES Contracts at 2923.75 for 30 min bar strategy.

Stop order at 2900.5
Limit order at 2947
Exit after 8 bars

Exit 1 ES Contract at 2923.75
-$4.10

fan27 · Jun 28, 2019

fan27 said:
Long 1 ES Contracts at 2918.25 for 30 min bar strategy.

Stop order at 2945.25
Limit order at 2896.75
Exit after 100 bars

Exit 1 ES Contract at 2945.25
+$1345.9

fan27 · Jul 7, 2019

June results and YTD performance compared against SPX.

KevMo · Jul 7, 2019

Just noticed this thread today. Looks like a fantastic project. It'll be interesting to see how your addition of short strats & tick data works and plays well with others. As with any worthwhile algo-type project the deeper you get, the deeper you get.

G/L

fan27 · Jul 7, 2019

KevMo said:
Just noticed this thread today. Looks like a fantastic project. It'll be interesting to see how your addition of short strats & tick data works and plays well with others. As with any worthwhile algo-type project the deeper you get, the deeper you get.

G/L

Thanks for checking out the thread @KevMo ! I think I have slogged my way into a novel approach to strategy discovery and portfolio construction. I am trying to build a solid track record and will be looking for situations where I can be trading more capital. Stay tuned!

arturo100 · Jul 8, 2019

Congratulations! Nice project and thanks for making it so accountable. Now that IB will see that you are so profitable will start to charge you as a professional! Just kidding.
One thing that we should perhaps all learn from your approach is selectivity. Clearly, your approach doesn't mind to be inactive for several days, until a good chance to jump in comes out.
Keep up the good work!