Adventures in Automation
- Thread starter fan27
- Start date
What is your typical leverage?
Each trade was 1 contract and the holding periods ranged from 1 to 6 days.
Wow. That is pretty good result for one contract. How many contract you hold concurrently? From your previous posts, you just trade ES, NQ, YM rt. or did you add other markets also?
Anyway congrats on your first month. It was always nice to start new system with the gain. Sequence of risk is always the main risk for any new capital.
Still just trading ES, NQ and YM. My risk component will allow a maximum of 4 concurrent positions (so that would be 4 contracts with my current account size).
While I am very pleased with the result, the true test will be when we have some different market conditions as stock indexes shot straight up in January.
Interesting ... you have a time stop. I assume that it is something your backtests/optimizations revealed.
The biggest Newb Error I observe [and have to warn myself of, constantly] is that Entry & Exit and Long & Short fill in a 2x2 square. So,
Enter-Long____Exit-Long
Enter-Short____Exit-Short
As well, any counter-trade you might wish to work has its *own* 2x2 square interposed. So, trading a SPY trend on EOD basis, countered with an 1hr-cycled SPXS 3x bear, implies another, opposite, Long/Short;Enter/Exit condition for each of the original 2x2.... Yipes!
It is, of course, very frustrating to see so many default backtesting set-ups that assume that an Exit-Long == Enter-Short -- merely because the order ticket might look the same, sometimes.
With that said, one of the first things that would kill an Enter position for me (lots of looking, pondering, backtesting) is time-in-trade. One of the first things I look at is, how long were profitable signals (trades) running, whether long or short, or both. And similarly, how long were UNprofitable trades running? (We'd hope there to be a fine, regular, exploitable difference, of course....!)
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