Auto trading 1 contract 62K 5 years...

Assuming I get the code written on time tonight, I plan to starting tommrow to run this method on IB's live paper trading account. Since to me ib's paper trading account is as close to live as you can get.

To make things even more challenging I am going to run the method on the YM.

I will HOPEFULLY be updating this thread tomorrow with the P/L.
 
System is live on a paper IB account this morning. Baring any technical glitches should get a few trades out of it today....

Since the method is based on my current style of trading, its pretty fun watching my chart and looking at the decisions being made by the bot at the same time and seeing where i'm making decisions that the bot is not making... should help with getting the system to better match the way it was intended to trade.
 
Quote from frostengine:


OH another note... most of the larger draw down periods happen back before 04.... after 04 the drawdowns and max loss is significantly lower....
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Quote from traderguy02:

all the more reason to expect them to pop up again here at any time....
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I'm with traderguy02 100% on this one frost

Red Light! the VIX / VXO is entering a period of increased volatility now, while we may or may not make it back to '00 - '03 levels, we've definitely got choppy water ahead ...

Best,

Jimmy
 

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Yes I believe your right.... which means the system will probalbly experience some of its bigger draw downs again in the comming years... however the profits were a little higher in those years as well...

So I think overall if I can stomach the slightly higher draw downs I'll be ok...
 
Had a couple problems with the order entry code this morning.... so missed some trades... the system loss $250 today.... One thing I did notice is its pretty good at finding the setups I like to trade... Only thing is it enters not always at the best time and its exits are horrible....

So towards the end of the day I was using the system to play a sound with an entry setup was there... and then with my real money account I was trading the setup... worked pretty well, made it easier to not stare at the screen as much until a setup was ready.
 
Quote from lrm:

frostengine,

Sounds like you're making progress, congratulations! What money management method are you using? Since you are around a 50% w/l ratio, you might want to look into using a variable method. As your string of losses increases, you risk less and less until you start winning again.

A very seasoned strategy trader has outlined this topic here: http://users.bigpond.com/morleym/Thoughts.htm#Trade Size

Please keep us informed as to how you make out.

Thanks!

lrm
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that though isn't exactly a very good way about it though - it's very hard to find dependency of returns, and taking a smaller and smaller position you could miss out on really big moves *shrug*
 
method made $60 today.

Tomorrow I am thinking of possibly running the method on ym, nq, and es and see how it does... only issue is this bogs down my primary computer too much......

Does anyone know if IB has any rules about running the demo account and real money account simultaneously from 2 very different ips?

Might set up the demo account running on a hosted server, while trading real money account here.... Just not sure if they have a rule against that.....
 
Today the system was ran on ES, NQ, and YM. I just recently turned the system off:
Here are the P/L after commisions.

ES +74
NQ -423
YM -110

Deffinetly not the numbers I am looking for.... On another note, I have been working on improving the system and I have substantially improved its performacne although drawdowns are now much higher...

I have been able to get the daily win% up to nearly 60%.

backtested results per contract for about 5 years of data shows:

1 ES +$105,000 max draw $4,000 over a period of 8 straight loosing days

1 NQ +120,230 max draw $5,132 over 7 straight loosing days...

This is substantially higher than previous method. Next week I will run the bot the whole week using this new method on the ES and NQ only.
 
Today I ran the slightly improved system on the NQ, ES, YM, and ER2

NQ: +$95 per contract
YM: -$232 per contract
ER2: -$234 per contract
ES: +$355 per contract


Again not a great day for the system... hwoever the ES, which is the market the system was developed for still continues to look pretty well after making money both friday and today.

The system was up nearly 1k per contract at parts of the day only to give back all the gains..... still need some work on the exits...the system gives back gains too easily... does not lock in profits fast enough.....
 
Quote from frostengine:

Today I ran the slightly improved system on the NQ, ES, YM, and ER2

NQ: +$95 per contract
YM: -$232 per contract
ER2: -$234 per contract
ES: +$355 per contract


Again not a great day for the system... hwoever the ES, which is the market the system was developed for still continues to look pretty well after making money both friday and today.

The system was up nearly 1k per contract at parts of the day only to give back all the gains..... still need some work on the exits...the system gives back gains too easily... does not lock in profits fast enough.....
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Hey Frost,

Just wanted to get this off, before I get some dinner.

Try scaling out of positions when you have a fixed $amount ($100, $150, $200, whatever number sounds right to you based on the average price that your system moves in a certain direction before reversing) and then moving your protective stop to breakeven + "x" number of ticks, calculated to include transaction costs and slippage.

Let the 2nd half of your position ride, or continue scaling out by breaking it into 3rds, etc.

See how your system performs then.

Best,

Jimmy
 
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