ES Blackbox with Real Money

E

eternitysgarden

I usually write black boxes for other firms and usually in the equity options market. This is my first attempt at writing a fully automated trading system for futures S&P eminis. I will be using REAL MONEY, no simulation. (of course I’ve done background testing on it)

Here are the specs.

API = I am using Open E Cry’s API for Order execution
Money = Real Money ($5000)

Commission = I bargained with Open E Cry but they will only give me 2.35 per side, since it is only 5k, I’m not going to fret over it.
Slippage = All my orders are market so whatever the market will give me.

General Rules = only 1 trade per day using only 1 contract (for now). Must close out of position at close, may not trade before 7 am. The signal relies on Bloomberg data feed (yes I have my own private feed) for determining it’s entry and exit position.

Risk to Reward = set to 1.65
 
Quote from Siwash:

Are you trading your money or the firms?
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It's mine. Firms I work easily throw away 200k at some crazy idea, I am a poor chap, so 5k is what i'm willing to risk.
 
Quote from eternitysgarden:

Chart Picture to 8-25-2008 Trade: I'll learn how to combine them on the next trade.
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Wow that exit was tragic. Good entry though. keep up the good work.
 
Chart for 8-26-2008 trade.

Don't ask me why there's a buy and sell arrow, i think it's messed up coding from open e cry, don't get me wrong i would have loved to get those buy's and sells. But the real ones are in yellow.
 

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Day 3 – Trade 3

Gain of +6 handles = Total $332.80 including slippage and commission

Good news, after yesterday’s loss, the block box did me proud today. It’s not as amazing as some of the systems I’ve seen but it’s holding it’s own. I’ll Attach the chart of my black box later.


Someone asked me “Which software do you recommend for backtesting?”

What I can recommend is if you’re a programmer, always do it from scratch! I’ve always built them from scratch for my clients except for the between 1991 and 93 when I use to use supercharts (ha you’re as old as me if you remember that application!). However, if you’re short on time or don’t have programming ability, there’s lots out there including tradestation, wealth labs, and recently I’ve toyed around with multicharts.
 

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