AutoTrading Micro NQ and ES

[rolan]

2008 period peak to valley for both MNQ and MES would be (51,430) total. I suppose the smaller contract size was helping reduce the drawdown in 2008.

 

[traider]

Thanks very informative.
Does your TS backtest show the sharpe ratio as well? or at least profit factor for those periods

 

[toon]

Would you mind showing the trades from 11/26 to 12/1/21?

 

[rolan]

Hi toon, I was trading MYM, M2K, MES, and MNQ. If you are curious about the excessively volatility on my %profit vs SP500 chart during that time frame, it was chiefly due to excess risk taking in M2K which I dropped from trading. Also likely prompted me to start this journal to have some “virtual” accountability, lol. I’d rather not break down my trades in too much detail, though.

 

[traider]

Do a PNL/equity curve correlation to buy and hold SPY. It should be interesting too

 

[toon]

Hi toon, I was trading MYM, M2K, MES, and MNQ. If you are curious about the excessively volatility on my %profit vs SP500 chart during that time frame, it was chiefly due to excess risk taking in M2K which I dropped from trading. Also likely prompted me to start this journal to have some “virtual” accountability, lol. I’d rather not break down my trades in too much detail, though.

I was more curious to know how you traded MES and MNQ during that a few days. But if you are not willing to show them, that will be completely fine.

 

[rolan]

Thanks very informative.
Does your TS backtest show the sharpe ratio as well? or at least profit factor for those periods

I'll just say they didn't look good. But fortunately, those periods were the exception. I just have to avoid a blow up and trade through them.

I mostly care how I compare to straight buy and hold on the SP500 which is why I keep that chart updated daily. All that matters to me is real life results.

 

[traider]

I'll just say they didn't look good. But fortunately, those periods were the exception. I just have to avoid a blow up and trade through them.

I mostly care how I compare to straight buy and hold on the SP500 which is why I keep that chart updated daily. All that matters to me is real life results.

Your chart comparison doesn't seem to take into account risk adjusted returns. You can't tell if you are better off just doing a leveraged buy and hold of SPY

 

[rolan]

Do a PNL/equity curve correlation to buy and hold SPY. It should be interesting too

Do you mean calculate a correlation coefficient? That would be a good idea. I have a PNL vs SP500 posted on the first page. I know I have benefitted from using leverage from futures and being able to trade outside US session, but that could wipe me out too.

 

[rolan]

I was more curious to know how you traded MES and MNQ during that a few days. But if you are not willing to show them, that will be completely fine.

Well, I did take some losses, but was doing well before and after that time frame. Currently at new equity highs. Hurray.