Adventures in Automation

fan27 said:
Long 1 YM Contract at 24751 for 30 minute bar strategy

Trailing Stop order at 24526
Limit order at 25356
Exit after 5 bars

Long 1 YM Contract at 24752 for 30 minute bar strategy

Stop order at 24517
Limit order at 25357
Exit after 5 bars
More...
Exit 1 YM contract at 24761
+$45.9

Exit 1 YM contract at 24761
+$40.09
 
May was rough but am still up for the year.

May: -13.33%
YTD: +21.10%

Going back into R&D mode to find some higher frequency strategies to add to the mix and will be adding support for Tick data to FasterQuant.

IbStatement052019.JPG
IbStatement06032019YTD.JPG
 
Great journal. I believe we have similar backgrounds and I also wrote a 100% automated system from the ground up (for equity options).

I would say curb your enthusiasm... markets will always be open. Focus on the sustainability of the system over the long run.

I was in the same boat last year at this time when a $20k net gain turned into a -$40k loss. Fortunately I still have a paycheck to fallback on. Ultimately took me another 10 months of paper trading (and data collection) to arrive at a strategy that does not have huge drawdowns.
 
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ensemble said:
Great journal. I believe we have similar backgrounds and I also wrote a 100% automated system from the ground up (for equity options).

I would say curb your enthusiasm... markets will always be open. Focus on the sustainability of the system over the long run.

I was in the same boat last year at this time when a $20k net gain turned into a -$40k loss. Fortunately I still have a paycheck to fallback on. Ultimately took me another 10 months of paper trading (and data collection) to arrive at a strategy that does not have huge drawdowns.
More...
I have been plugging away at this puzzle off and on since 2003, so don't confuse enthusiasm with impatience or carelessness. Man...that is a rough hit you took...glad you persevered and are on the right track. Thanks for stopping by!!
 
Long 2 YM Contracts at 25489 for 15 minute bar strategy

Stop order at 25357
Limit order at 25826
Exit after 100 bars
 
fan27 said:
haha....so far so good!!
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Just my attempt at humor regarding adding the tick data.

From my understanding of what your FasterQuant is capable of you are going to love the potential tick data brings and I think other customers will as well. WTG!
 
They said:
Just my attempt at humor regarding adding the tick data.

From my understanding of what your FasterQuant is capable of you are going to love the potential tick data brings and I think other customers will as well. WTG!
More...
I appreciate the humor! Yeah....I have a lot of ideas I want to test....tick data should be fun.
 
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