Index futures automation

Can a fully automated trading strategy work in the long run?

  • YES!

    Votes: 56 67.5%

  • Hell naw.

    Votes: 14 16.9%

  • I don't know, I got my own trading to worry about.

    Votes: 13 15.7%
  • Total voters
    83
Need to modify the algo slightly to execute TP as straight limit. This "market if touched" bracket TP order is just dumb. Getting scrwed on the slippage during fast moves. I probably lose >10% gains on slippage

https://support.ampglobal.com/hc/en...etaTrader-5-Order-Types-Order-Execution-Logic

Additional Explanation on MetaTrader 5 Advanced Order Execution Logic:

For Exchange Contracts, Stop Loss and Take Profit orders are triggered according to the rules of the exchange where trading is performed. Usually this will be by Last price (price of the last performed transaction). In other words, a TP/SL order triggers when the Last price touches the specified TP/SL price.

However buying or selling as a result of the activation of a stop-order is always performed by the Bid and Ask prices during the activation of the Stop order, which may differ from the Price specified by the trader.

What this means for a trader? If you are working a Bracket Order <stop loss & take profit> orders, the take profit order is a MIT (Market Order if Touched) just like the Stop Loss order. Depending on the market conditions, since it is triggering a market order, there will be a difference between the final fill price and the take profit order price. At least 1 tick “slippage” due to the market order fill price of the next available Bid/Offer price.

Key Clarification >> If you work a Straight Limit Order (not connected to a Bracket Order or if you are using an automated trading strategy that uses straight limit orders) the order will work as a standard limit order (filling at your price or better).
 
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Ok, so the algo is trading fine just running during US session. I did add another "risk control" parameter just to minimize the magnitude of those big losses when it does come. I think big gains is meaningless if i have to deal with losses that take 6-10 days to recover. I think combining that with the adaptive range, it should smooth out the equity curve.

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This is the performance 3 months prior when taking out overnight hours with the US indeces. Lets see if adaptive range and more risk control improves performance. I would like to see how pf and dd look lik. Should have a decent comparison by end of Feb

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hilmy83 said:
Need to modify the algo slightly to execute TP as straight limit. This "market if touched" bracket TP order is just dumb. Getting scrwed on the slippage during fast moves. I probably lose >10% gains on slippage

https://support.ampglobal.com/hc/en...etaTrader-5-Order-Types-Order-Execution-Logic

Additional Explanation on MetaTrader 5 Advanced Order Execution Logic:

For Exchange Contracts, Stop Loss and Take Profit orders are triggered according to the rules of the exchange where trading is performed. Usually this will be by Last price (price of the last performed transaction). In other words, a TP/SL order triggers when the Last price touches the specified TP/SL price.

However buying or selling as a result of the activation of a stop-order is always performed by the Bid and Ask prices during the activation of the Stop order, which may differ from the Price specified by the trader.

What this means for a trader? If you are working a Bracket Order <stop loss & take profit> orders, the take profit order is a MIT (Market Order if Touched) just like the Stop Loss order. Depending on the market conditions, since it is triggering a market order, there will be a difference between the final fill price and the take profit order price. At least 1 tick “slippage” due to the market order fill price of the next available Bid/Offer price.

Key Clarification >> If you work a Straight Limit Order (not connected to a Bracket Order or if you are using an automated trading strategy that uses straight limit orders) the order will work as a standard limit order (filling at your price or better).
More...

This is the shit i'm talking about. Those small losses on mym and mcl are actually b/e to small wins. That slippage would really add up until i switch over to limit execution and avoid the MT5 bracket . Currently working with dev to get this fixed

upload_2022-12-8_10-3-42.png
 
let's mix some iron in this journal. WHy not, besides trading/gaming...the thunk of the plate is my next favorite thing to do

This is a single barbell row, a dumbell row variant.

 
Win % is lower, but pf improved (for now)...

Of course, the real star has always been MNQ!

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There was one guy that always talks about $/hour back at FF. He said that metric means a lot when evaluating if trading is worth the effort compared to other things.

upload_2022-12-9_8-56-20.png


If I can maintain consistency with this, then the algo approach is well worth the effort

upload_2022-12-9_8-59-16.png
 
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