Adventures in Automation

fan27 said:
Long 1 ES at 2887.25 for 30 min bar strategy.
Trailing Stop at 2865.75
Exit after 250 bars

Long 1 NQ at 7588.25 for 30 min bar strategy.
Trailing Stop at 7524.50
Exit after 250 bars
More...
And this folks is why I do not attempt to survive on trading profits.

Exit 1 ES contract at 2887.25
-$229.10

Exit 1 NQ contract 7606.25
+$355.9

At the close of yesterday these two positions were up $6k. You need ice flowing through your veins to play this game.
 
fan27 said:
And this folks is why I do not attempt to survive on trading profits.

Exit 1 ES contract at 2887.25
-$229.10

Exit 1 NQ contract 7606.25
+$355.9

At the close of yesterday these two positions were up $6k. You need ice flowing through your veins to play this game.
More...

Thought experiment: What if you had 10 (somewhat) uncorrelated assets equaling the returns of NQs and ESs yesterday? That's a $1K profit.

To play the game like the house at a casino, you need to have the numbers. I think what you've built, you _can_ survive on trading profits but you need to find things other than just ES/NQ to trade. The technology is fine but the strategy needs a lot of work.
 
fan27 said:
And this folks is why I do not attempt to survive on trading profits.

At the close of yesterday these two positions were up $6k. You need ice flowing through your veins to play this game.
More...

Work on your exit timing. If I'm not regularly keeping at least 60% of the max favorable excursion then I tend to start looking into improving the exit. Losing 90% or more is a cause for concern if it happens more than a few times.
 
fan27 said:
And this folks is why I do not attempt to survive on trading profits.

Exit 1 ES contract at 2887.25
-$229.10

Exit 1 NQ contract 7606.25
+$355.9

At the close of yesterday these two positions were up $6k. You need ice flowing through your veins to play this game.
More...
Although this is only one trade (or two) and its outcome is not really statistically significant. However, it has been advised before to (a) think of a better exit strategy and (b) to think of more diversification as ES and NQ are so strongly correlated.
 
Currently my stop and limit orders are not set for ETH by design so my backtests in FasterQuant/AlgoTerminal can match live trading results. The issue in this case is that I had profits locked in via stops but price gaped way past my stop.
 
nooby_mcnoob said:
Thought experiment: What if you had 10 (somewhat) uncorrelated assets equaling the returns of NQs and ESs yesterday? That's a $1K profit.

To play the game like the house at a casino, you need to have the numbers. I think what you've built, you _can_ survive on trading profits but you need to find things other than just ES/NQ to trade. The technology is fine but the strategy needs a lot of work.
More...
Trying to survive on profits from a $107k account is a losers game based on my life situation. I agree though...working on strategies and other markets.
 
I think the idea of exiting at MFE and moving on is a good strategy. I only look for 50% on some trades even though it often ends up giving 100%. Haven't been "stopped out" on winning trades for a while now.
 
fan27 said:
Currently my stop and limit orders are not set for ETH by design so my backtests in FasterQuant/AlgoTerminal can match live trading results.
More...

Does FasterQuant/AlgoTerminal not have the capacity to use 24 hour data or was this a choice you made regarding data collection when you started the project and are now stuck with it?

The last two trades with 250 RTH 30 min bar targets (19 days) and stops approximately 1/3 of the current daily ranges seems to be fit on a larger data set not in touch with current volatility.

19 days in the current environment of erratic trade policies and twittersphere economics are definitely different then most of the last 10 years docile upward grind.

Protecting unrealized profits is a different issue.
 
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