Index futures automation

[hilmy83]

Backtest MES from 3/14/22-11/4/22 (spring DST)
entry - random
single position
stop -$50
exit- time based end of day

This is to simulate "trend trading". The truest adherence to cutting your losses short and let your winners run (in context of daytrading). Has +EV, but having to endure weeks or months of losing would be almost unbearable mentally (20% win rate!)

 

[Overnight]

Backtest MES from 3/14/22-11/4/22 (spring DST)
entry - random
single position
stop -$50
exit- time based end of day

This is to simulate "trend trading". The truest adherence to cutting your losses short and let your winners run (in context of daytrading). Has +EV, but having to endure weeks or months of losing would be almost unbearable mentally (20% win rate!)

View attachment 303739

View attachment 303740

Believe it or not, those stats, and especially that final chart of balance vs open equity, is very encouraging. Good work.

 

[hilmy83]

Backtest MES from 3/14/22-11/4/22 (spring DST)
entry - random
single position
stop -$50
exit- time based end of day

This is to simulate "trend trading". The truest adherence to cutting your losses short and let your winners run (in context of daytrading). Has +EV, but having to endure weeks or months of losing would be almost unbearable mentally (20% win rate!)

View attachment 303739

View attachment 303740

Same test but adding scaling into position

entry - random
5 positions scale in max
stop -$300
exit- time based end of day

Doubled the win rate to about 40%

 

[Overnight]

Same test but adding scaling into position

entry - random
5 positions scale in max
stop -$300
exit- time based end of day

Doubled the win rate to about 40%
View attachment 303742

View attachment 303743

Again, equally encouraging with the scale-up in size. It's working, man.

 

[hilmy83]

Backtest MES from 3/14/22-11/4/22 (spring DST)
entry - random
single position
stop -$50
exit- time based end of day

This is to simulate "trend trading". The truest adherence to cutting your losses short and let your winners run (in context of daytrading). Has +EV, but having to endure weeks or months of losing would be almost unbearable mentally (20% win rate!)

View attachment 303739

View attachment 303740

This is the same test:
except the exits are all end of day. Basically a "no stop", "no target" intraday

So in a true 50/50 price movement, I should theoretically would be b/e since there would be equal distribution of wins and losses even on a time based exit.

But it's the way I enter that initial position is what's significant.

ES/MES is naturally a mean reverting market, but it will usually make it's daily high or low within short time of the Open.

 

[NoahA]

entry - random

This is to simulate "trend trading".

Out of curiosity, what do you mean when you say the entry is random but you're trading with the trend? You mean you first identify a bull market and then enter randomly long? Conversely, if your algo identifies a bear market, it will only short but at random times?

Or is it simply a random entry, long or short, and then it either stops out or the trade keeps going if it keeps increasing in profit?

 

[hilmy83]

Out of curiosity, what do you mean when you say the entry is random but you're trading with the trend? You mean you first identify a bull market and then enter randomly long? Conversely, if your algo identifies a bear market, it will only short but at random times?

Or is it simply a random entry, long or short, and then it either stops out or the trade keeps going if it keeps increasing in profit?

Random entry just basically using a breakout (whichever side is hit first), then leaving the trade open until close.

 

[hilmy83]

This is the same test:
except the exits are all end of day. Basically a "no stop", "no target" intraday

View attachment 303747

View attachment 303748

So in a true 50/50 price movement, I should theoretically would be b/e since there would be equal distribution of wins and losses even on a time based exit.

But it's the way I enter that initial position is what's significant.

ES/MES is naturally a mean reverting market, but it will usually make it's daily high or low within short time of the Open.

same test but on the MNQ

50% win rate like MES, but still has +EV...

Next tests to do what happens when you scale in

 

[hilmy83]

This is the same test:
except the exits are all end of day. Basically a "no stop", "no target" intraday

View attachment 303747

View attachment 303748

So in a true 50/50 price movement, I should theoretically would be b/e since there would be equal distribution of wins and losses even on a time based exit.

But it's the way I enter that initial position is what's significant.

ES/MES is naturally a mean reverting market, but it will usually make it's daily high or low within short time of the Open.

Same test but with b/e stop added in. 90% win rate, but because no stop, big losses overcome the many mini +1s

Those large impulses are basically trend days.

You could get frequent wins and get screwed on those days...or you try to capture the big days and try to minimze the many small losses.

 

[hilmy83]

Same test but with b/e stop added in. 90% win rate, but because no stop, big losses overcome the many mini +1s

View attachment 303767

View attachment 303768

Those large impulses are basically trend days.

You could get frequent wins and get screwed on those days...or you try to capture the big days and try to minimze the many small losses.

I'm going into a backtest rabbit hole lol

Same test but setting max loss


PF improved. Same high % wins, but of course you sacrifice your R:R. But still +EV