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
Millionaire said:
The hope is there are some good intra day edges out there that scale to making just a few million a year at most. That the multi billion dollar hedge funds who employ those super smart people wont even bother looking for.
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Exactly. It's not clear the threshold is "a few million a year", but there is a line and if you cross it you will have your lunch eaten.
 
FreeGoldRush said:
Exactly. It's not clear the threshold is "a few million a year", but there is a line and if you cross it you will have your lunch eaten.
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The way i see it, the more scalable a system is, the lower it is quality wise (eg lower Sharpe ratio, MAR ratio, Profit Factor or whatever metric you like to use) .

eg. If you want a something with a Sharpe ratio above 2.0 it wont be nearly as scalable as a method with a Sharpe ratio below 1.0.

The exception being Rentec Medallion, who have found a way of trading with a Sharpe ratio above 2.0 and can still make Billions a year with it :wtf:
 
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hilmy83 said:
I didn't run the program through the typical extensive backtests. I basically just took all the ideas that didn't work over the last 2 years and tried to find common denominators. Once i got the idea down, started programming it and ran few weeks of historical testing and forward testing , just to make sure it works per the specs.

So the only assurance I have that this can be "profitable" are segmented historical manual trading results. But basically, the results were:
  1. daily trading (1-2 trades per session)
  2. around 80% success
  3. profit factor of about 1.5-2
  4. holding period of 1 hour or less
Main thing about my past failing strategies is the position size. I would start small and just seem to want to increase faster once i see few weeks of success. But I always end up burning the account.
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2 trades per day, 80% of success with a holding period of 1 hour. I am going to call bullshit on this one.
Do you know how much profit would you turn into if you compound that return? Something insane.
 
angrytrader said:
2 trades per day, 80% of success with a holding period of 1 hour. I am going to call bullshit on this one.
Do you know how much profit would you turn into if you compound that return? Something insane.
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Measuring the percentage of trades that are profitable is useless. It's very easy to get this number over 80%. Just set a very low stop-loss and take profits when you are a tiny fraction of a percent green on the trade. Presto. You don't need a trading strategy at all to do this. But doing so is useless and will drain your account with spreads and commissions.
 
FreeGoldRush said:
Measuring the percentage of trades that are profitable is useless. It's very easy to get this number over 80%. Just set a very low stop-loss and take profits when you are a tiny fraction of a percent green on the trade. Presto. You don't need a trading strategy at all to do this. But doing so is useless and will drain your account with spreads and commissions.
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You are the one that let us know that 80% in the first place. You don't sound like a quant my guy.
 
angrytrader said:
You are the one that let us know that 80% in the first place. You don't sound like a quant my guy.
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Incorrect. Someone else is making that claim. I earn a full time income trading quantitatively but I'm certainly not here to convince you of that. You are free to disregard my advice if you feel the math is wrong.
 
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