Educational Advice, Please

wtfauoa said:
@Steve Alexander I asked you to reply to a statement you made in relation to using autotrading for the ES, but you choose not to reply. Can you tell me why?
Here is my reply to you again, in case you can not remember.

@Steve Alexander a few questions if you don't mind.
  1. What programming language is your automated program written in?
  2. Do you use a standard HFT or Hedge Fund strategy or strategies?
  3. What is your average contract trade size?
  4. What is your average commission per contract including exchange fees?
  5. What is the average win/loss ratio per day/week/month?
  6. What is your max drawdown per day/week/month?
  7. Are you profitable every day/week/month?
More...

I'm sorry I didn't see your post earlier. I don't monitor these threads very often. Here are the answers to your questions, as well as I can understand them:

1. TradeStation EasyLanguage. I have been writing strategies for about 15 years, and I have at least 100 of them. Some work sometimes in some markets, others work at other times in other markets. Nothing works forever in all markets, as far as I know.
2. I'm not sure what you mean by "standard HFT..." I didn't know there was a "standard" for strategies. I trade on 2-minute (or longer) bars, so this is definitely not HFT.
3. I have several strategies, and they work on different stocks, ETFs, and futures. The most current one trades one to three contracts of NQ, TF, ES, and SI.
4. TradeStation standard commission on ES is about $4.75 per contract, including all fees.
5. Over the past three months (July until now) the win/loss ratio was 67% for ES.
6. Max draw down during that period was $3,978 for ES. That happened between 9/8/16 and 9/9/16.
7. Not profitable every day, nor every week (profitable 10 weeks out of 14). For ES, profitable July, August, and September, but not October, which is currently at a loss of $164. Total profit for the three months is $15,208.

I hope this helps.
 
Steve Alexander said:
I'm sorry I didn't see your post earlier. I don't monitor these threads very often. Here are the answers to your questions, as well as I can understand them:

1. TradeStation EasyLanguage. I have been writing strategies for about 15 years, and I have at least 100 of them. Some work sometimes in some markets, others work at other times in other markets. Nothing works forever in all markets, as far as I know.
2. I'm not sure what you mean by "standard HFT..." I didn't know there was a "standard" for strategies. I trade on 2-minute (or longer) bars, so this is definitely not HFT.
3. I have several strategies, and they work on different stocks, ETFs, and futures. The most current one trades one to three contracts of NQ, TF, ES, and SI.
4. TradeStation standard commission on ES is about $4.75 per contract, including all fees.
5. Over the past three months (July until now) the win/loss ratio was 67% for ES.
6. Max draw down during that period was $3,978 for ES. That happened between 9/8/16 and 9/9/16.
7. Not profitable every day, nor every week (profitable 10 weeks out of 14). For ES, profitable July, August, and September, but not October, which is currently at a loss of $164. Total profit for the three months is $15,208.

I hope this helps.
More...
Yes, thank you. I will transfer your post back to my ES thread later and continue the discussion where it started.
 
You're welcome. FWIW, I have found that it's fairly easy to create a strategy that will work over 3-4 months. After that length of time, the market usually changes, and a different strategy is needed. If my strategy stops making money for 2-3 weeks, I make another one. For example, the one I am now using is now nearing it's life-cycle, I suspect. It hasn't made money this month (9 days), so I am monitoring it closely in case I need to modify it.
 
What you mention is how all markets work. No holding strategy can be consistent in the markets, as the markets change. Thus, it can be better to look at reducing your holding time to be in tune with the market changes. This is exactly what I am doing in my thread, with my up to 10 contract per trade in the ES during key times. This approach is of course only useful if you are available to trade the key times.
 
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