Adventures in Automation

[fan27]

Haven't followed thread super closely so apologies if it has been asked, but what's your approach to risk management in these cases when you carry lots of correlated instruments with the same bias? Is the fact that your strategy portfolio contains very diverse signals/stop levels sufficient to rely on?

I assume that all of the strategies are correlated and have the concept of max positions for a strategy and max positions for a strategy group. Currently no strategy can have more than two positions and there is a max positions of four across all strategies. I am currently in four positions so any additional signals will be ignored.

 

[fan27]

Two positions will exit tomorrow. The run since last Thursday had been epic!!

 

[fan27]

Long 2 ES contracts at 2796.25 for 30 minute bar strategy

Stop order at 2777.5
Exit after 30 bars

Exit 2 contracts at 2814
+ $1766.80

 

[fan27]

Two more signals fired! I am in an interesting state because I had a hold over position from the previous portfolio that my current portfolio in AlgoTerminal does not "know about" and is not counted toward my risk limits. The two new positions put me at 5 positions so I sold one. Here is the new position I kept.

Long 2 NQ contracts at 7204.50 for 15 minute bar strategy

Stop order at 7158.75
Limit order at 7335.75
Exit after 60 bars

Currently Long 2 ES and 6 NQ.

Exit 2 NQ contracts at 7288.25
+ $3341.8

Still long 3 ES contracts and 3 NQ contracts from remaining two positions.

 

[fan27]

Long 3 NQ contract at 7199.5 for 15 minute bar strategy

Stop order at 7161
Exit after 130 bars

Exit 3 contracts at 7387.75
+ $11,282.70

 

[fan27]

Long 3 ES contracts at 2798.75 for 15 minute bar strategy

Stop order at 2783.00
Exit after 130 bars

Currently Long 5 ES and 6 NQ

Exit 3 contracts at 2848.75
+ $7487.7

 

[digitalnomad]

Short 50 NQ at 7385. There, now reverse engineer my strategy. Risk is 15k

 

[fan27]

Currently flat. This has been an epic run!

Up about 28% since March 12!!

 

[fan27]

Short 50 NQ at 7385. There, now reverse engineer my strategy. Risk is 15k

Haha...I don't have that skill

 

[digitalnomad]

Currently flat. This has been an epic run!

It just shows what a vacuum the market can be. Money rapidly getting sucked out of pockets. I hear a faint sound right now actually, buyers possibly regaining control of NQ heading for my pocket.