Adventures in Automation

They said:
fan27,

I was wondering if in your testing you factor in profitability during RTH and ETH. Were the closing of your trades evenly dispersed across both time frames and was there any disparity of the win/loss ratio in those two time frames?
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I am only trading RTH and all trades/orders are executed during that time. I could easily have my orders (stop or limit) execute outside of RTH but then my backtest would deviate from my live trading which I am want to avoid.
 
Slow month in April with only three trades.

Down .81% for month.
Up 39.72% YTD.
 

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Long 2 ES contracts at 2910.75 for 1 hour bar strategy

Limit order at 2959
Trailing Stop order at 2890.25
Exit after 30 bars

Long 2 YM contracts at 26229 for 1 hour bar strategy

Limit order at 26631
Trailing Stop order at 26057
Exit after 30 bars
 
fan27 said:
Long 2 ES contracts at 2910.75 for 1 hour bar strategy

Limit order at 2959
Trailing Stop order at 2890.25
Exit after 30 bars

Long 2 YM contracts at 26229 for 1 hour bar strategy

Limit order at 26631
Trailing Stop order at 26057
Exit after 30 bars
More...
ES stop order now at 2929
YM stop order now at 26295
 
fan27 said:
Long 2 ES contracts at 2910.75 for 1 hour bar strategy

Limit order at 2959
Trailing Stop order at 2890.25
Exit after 30 bars

Long 2 YM contracts at 26229 for 1 hour bar strategy

Limit order at 26631
Trailing Stop order at 26057
Exit after 30 bars
More...
Exit 2 YM contracts at 26016
-$2138.2

Exit 2 ES contracts at 2898.25
-$1258.2

Damn you Trump!!! haha
 
Long 1 NQ Contract at 7742.50 for 15 minute bar strategy

Stop order at 7657.75
Limit order at 7809.25
Exit after 130 bars
 
What's the impact of this not so fortunate weekend? I assume the open positions closed immediately when trading resumed?
fan27 said:
Exit 2 YM contracts at 26016
-$2138.2

Exit 2 ES contracts at 2898.25
-$1258.2

Damn you Trump!!! haha
More...

Yeah was kind of worried, glad you have risk in check. Weekends are nasty (especially with Trump tweeting).
 
Snuskpelle said:
What's the impact of this not so fortunate weekend? I assume the open positions closed immediately when trading resumed?


Yeah was kind of worried, glad you have risk in check. Weekends are nasty (especially with Trump tweeting).
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Positions were exited at the market open. Account was down $10k from Friday's close but only lost about $3.3k on the two positions. Not my preferred turn of events but current draw down only at 4.5%.
 
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