Automated trading with statistical scalping algorithms

fullautotrading said:
Thank you very much for the compliment traider :)

I do not wish to abuse the hospitality of this great forum to advertise.

Let's stick to actual contents here :)
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I do automated trading as well on the side for some trading ideas I want to test. And I discretionary trade as well.

With automated trading

My testing plan is simple for me:

1. Program a trading idea
2. Back test , play, test and optimize from 2011-2016 for 45 degree curve
3. If pass step 2 forward test 2016-2020 for good results
4. If pass step 3 market replay 2021
5. If pass step 4, trade live money.

lol, I am still on step 2. Oh well, just doing the best I can with what I can.

I only one that made it to step 4 and it failed. oh well.
 
SimpleMeLike said:
I do automated trading as well on the side for some trading ideas I want to test. And I discretionary trade as well.

With automated trading

My testing plan is simple for me:

1. Program a trading idea
2. Back test , play, test and optimize from 2011-2016 for 45 degree curve
3. If pass step 2 forward test 2016-2020 for good results
[...]

lol, I am still on step 2. Oh well, just doing the best I can with what I can.

I only one that made it to step 4 and it failed. oh well.
More...

That means it was a good idea to include the "forward test" :-)

"45 degrees curves" for pnl do not actually exist :-) those are merely backtesting artifacts :-)

"just doing the best I can with what I ... " :-) this seems taken from a video of mine struggling with backflips, lol :-)
 
For now, I have "loaded" under watch only 4 instruments:

CL FUT 202202 NYMEX 1000 Light Sweet Crude Oil [ CLG2, 256019290, mult: 1000]
ES FUT 202203 GLOBEX 50 E-mini S&P 500 [ ESH2, 461318816, mult: 50]
BRR FUT 202203 CMECRYPTO 5 CME CF Bitcoin Reference Rate [ BTCH2, 517004249, mult: 5]
SI FUT 20220127 NYMEX 5000 NYMEX Silver Index [ SIF2, 405978963, mult: 5000]

I have activated auto-trading only on the CL "layer" so far. A bit more than one day has elapsed.

The orders so far on the CL layers are represented in the following picture (bue=buy, red=sell):

upload_2021-12-7_23-34-20.png


We are currently almost 5K under:

upload_2021-12-7_23-34-57.png


As to the other layers so far we just collected ticks:

BRR FUT 202203 CMECRYPTO 5 CME CF Bitcoin Reference Rate [ BTCH2, 517004249, mult: 5]
upload_2021-12-7_23-35-34.png


ES FUT 202203 GLOBEX 50 E-mini S&P 500 [ ESH2, 461318816, mult: 50]
upload_2021-12-7_23-35-54.png


SI FUT 20220127 NYMEX 5000 NYMEX Silver Index [ SIF2, 405978963, mult: 5000]
upload_2021-12-7_23-36-14.png


IB reports the following info:

AccruedCash 0.00 USD [Min: 0.00, Max: 0.00]
AccruedDividend 0.00 USD [Min: 0.00, Max: 0.00]
BuyingPower 6,537,085.09 USD [Min: 6,515,057.88, Max: 6,666,635.07] (6.67 x 980,562.76)
FullAvailableFunds 980,562.76 USD [Min: 977,258.68, Max: 999,995.26]
FullExcessLiquidity 983,462.76 USD [Min: 981,608.68, Max: 999,995.26]
FullInitMarginReq 14,500.00 USD [Min: 0.00, Max: 21,750.00]
FullMaintMarginReq 11,600.00 USD [Min: 0.00, Max: 17,400.00]
NetLiquidation 995,062.76 USD [Min: 993,293.65, Max: 999,995.26]
 
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