Index futures automation

[schizo]

Here's the thing, I'm willing to show the authenticity of the results

No, you misunderstood me. I believe those stats you post. I just don't see any real purpose for us readers. What would be more helpful IMO is to see how your algo behaves and that can only be seen on the chart. Hope that makes it more clear.

But one thing I would not do is just give out excecution records willy nilly. This is a 100% mechancial system. Easy to backengineer. I don't ever claim this to be the best strategy, in fact it probably sucks compared to some of the super trading results I've seen on here.

Well, I don't know how we could "backengineer" just looking at prices. You can remove any indicators and oscillators you might be using. But I leave that to your own discretion.

 

[hilmy83]

No, you misunderstood me. I believe those stats you post. I just don't see any real purpose for us readers. What would be more helpful IMO is to see how your algo behaves and that can only be seen on the chart. Hope that makes it more clear.


Well, I don't know how we could "backengineer" just looking at prices. You can remove any indicators and oscillators you might be using. But I leave that to your own discretion.

 

[greejan]

Congrats on your system which seems to be working pretty well so far. However, whenever I see a steadily growing P&L chart I can't help thinking of all those martingale systems that look very good as well until all of a sudden go bankrupt when the market goes a bit rough. A measure of your system's daily maximum drawdown would be very helpful in that respect.

 

[hilmy83]

Congrats on your system which seems to be working pretty well so far. However, whenever I see a steadily growing P&L chart I can't help thinking of all those martingale systems that look very good as well until all of a sudden go bankrupt when the market goes a bit rough. A measure of your system's daily maximum drawdown would be very helpful in that respect.

Funny you mentioned martingale because I did test them within the strategy. The trick is figuring out how to work it within the cycle so that you don't overcommit.

https://www.elitetrader.com/et/threads/index-futures-automation.368144/page-19#post-5748173

But from QA stats, return/max dd is shown here.

 

[hilmy83]

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[NoahA]

Funny you mentioned martingale because I did test them within the strategy. The trick is figuring out how to work it within the cycle so that you don't overcommit.

https://www.elitetrader.com/et/threads/index-futures-automation.368144/page-19#post-5748173

But from QA stats, return/max dd is shown here.

View attachment 314872

Since you are trading the micros, if your account was bigger and hence could trade the full ES or NQ contract, would your profits increase nicely because of the better fee structure of the full contract? For MNQ right now, you need even more than 2 ticks profit to cover the commissions, which is a killer for lots of scalping.

 

[rb7]

Funny you mentioned martingale because I did test them within the strategy. The trick is figuring out how to work it within the cycle so that you don't overcommit.

https://www.elitetrader.com/et/threads/index-futures-automation.368144/page-19#post-5748173

But from QA stats, return/max dd is shown here.

View attachment 314872

Interesting stats.
But since you have no losing day, your DD was intraday?
And does this show opened DD or only closed DD? (I'm guessing the former otherwise the stats don't make sense!!)

 

[hilmy83]

Since you are trading the micros, if your account was bigger and hence could trade the full ES or NQ contract, would your profits increase nicely because of the better fee structure of the full contract? For MNQ right now, you need even more than 2 ticks profit to cover the commissions, which is a killer for lots of scalping.

My returns would improved so much with emini. My brain is foggy, what % improvement in returns would I see based on micro $1.2/contract and emini $3.9/contract commission?
But I need $50k to trade the emini safely just based on tests and "margin of safety"

Interesting stats.
But since you have no losing day, your DD was intraday?
And does this show opened DD or only closed DD? (I'm guessing the former otherwise the stats don't make sense!!)

I'm flat everyday, so that would be max intraday DD.

 

[hilmy83]

Funny you mentioned martingale because I did test them within the strategy. The trick is figuring out how to work it within the cycle so that you don't overcommit.

https://www.elitetrader.com/et/threads/index-futures-automation.368144/page-19#post-5748173

But from QA stats, return/max dd is shown here.

View attachment 314872

vs MT5 stats. They're off slightly in their calculation. I'm not even sure how MT5 calculate win/loss % vs QA. I think MT5 does it per trade, and QA does per position.

And it doesn't help that MT5 still haven't been updated to reflect the new commissions. It's a fucktard of a platform to be honest.

 

[NoahA]

My returns would improved so much with emini. My brain is foggy, what % improvement in returns would I see based on micro $1.2/contract and emini $3.9/contract commission?
But I need $50k to trade the emini safely just based on tests and "margin of safety"

You will get there! Essentially, I think the PnL would be half way between the solid green line and the dashed green line since the fees on the full contract are essentially half of the equivalent number of micro contracts.

I'm thoroughly impressed with your stats. It is a shame you can't show any charts with some entries marked as schizo was asking, but I understand you don't want to give anything away. The 90% win rate, does this include trades that maybe close at breakeven? Do you even have trades that close at breakeven or is it always a win or loss?