Adventures in Automation

Results so far this year. Nothing new to report strategy wise...just working on commercializing my strategy builder.

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traider said:
Are you running just 1 strategy now?
Why is it always going long in your trade log? Did you fit to the bull market only?
More...
It is actually three strategies, two of which are very similar. One uses EOD data and has been backtested since 1999. The other two have been backtested since 2006 which is all the minute data I have. I backtest using ES but trade using MES because I can dial in the position size. These are very simple strategies that take advantage of the mean reverting/upward bias of the S&P 500. Only one of the strategies uses a stop loss order. That being said, note the small position sizes relative to my account.
 
End of Q2 performance. I have recently started making some discretionary stock trades with an average hold time of a few weeks. About 5% of the YTD return shown below are from those trades with the winners being XOM and CLR. Sold XOM recently and am still holding CLR and a recent purchase of CRWD.

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Relaunching the NQ day trading strategy tomorrow. Similar to NQ puke mentioned a few pages back except long only with some added trend filters and only 1 NQ contract per position. I will post trades at the end of the week.
 
First weeks performance (Tuesday - Friday) of BTFD Day Trader. Had I started trading on Monday the week would have been flat. That loss represents a worst case loss. Most losses happen when the trend changes and there is a pull back towards the original entry.

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