Index futures automation

[hilmy83]

Why is the sharpe ratio so low?

I have high risk to reward. I try to get out of trades ASAP, but when i get stuck in a very ranging market, it's a lot of reverses play, so those losses add up. So I have to raise my target to make it up.

Pretty much against what most trading educators consider normal. But it really just boils down to expectancy outcome.

 

[hilmy83]

This is from MT5 report. The numbers are bit different, so to be honest i'm perplexed at how quantanalyzer and mt5 do their calculations

 

[NoahA]

The surprising difference to me is the number of trades. 258 vs. 108. Maybe it counts a scaled in trade as still one trade?

I was going to ask why you need 5k margin for just 1 micro, but then I see the largest loss is $1.3k. Since you had no negative days, does this mean on this day you also had a $1.3k gain? EOD data makes your strategy appear that its takes small little bites out of the market, but intraday, it seems like there might be wild swings... is this so?

Similarly, your largest win is $2k, but your daily PnL is only ever about $50 or less. So does this mean that on the day you had your largest win, you had equally large losses? Perhaps the 1.3k loss is on the same day as your 2k win? But this still leaves another 700 in losses since no day is ever more than maybe $50 profit.

It seems to me that trading this manually would be difficult emotionally, since it appears there are huge swings, but the algo of course just follows rules, so it doesn't suffer from this. But is it safe to say that on a day where you are down 1k, there might come a time where there is no recovery on this day? What is the algo doing that it can climb back from a heavy drawdown like this? Is this incredibly rare?

(I just noticed a discrepancy between largest loss figure of $867 and $1358 between the two different reports.. either way, its still a huge loss and yet interesting that the algo can recover)

 

[hilmy83]

The surprising difference to me is the number of trades. 258 vs. 108. Maybe it counts a scaled in trade as still one trade?

I was going to ask why you need 5k margin for just 1 micro, but then I see the largest loss is $1.3k. Since you had no negative days, does this mean on this day you also had a $1.3k gain? EOD data makes your strategy appear that its takes small little bites out of the market, but intraday, it seems like there might be wild swings... is this so?

Similarly, your largest win is $2k, but your daily PnL is only ever about $50 or less. So does this mean that on the day you had your largest win, you had equally large losses? Perhaps the 1.3k loss is on the same day as your 2k win? But this still leaves another 700 in losses since no day is ever more than maybe $50 profit.

It seems to me that trading this manually would be difficult emotionally, since it appears there are huge swings, but the algo of course just follows rules, so it doesn't suffer from this. But is it safe to say that on a day where you are down 1k, there might come a time where there is no recovery on this day? What is the algo doing that it can climb back from a heavy drawdown like this? Is this incredibly rare?

(I just noticed a discrepancy between largest loss figure of $867 and $1358 between the two different reports.. either way, its still a huge loss and yet interesting that the algo can recover)

I think MT5 counts each side as a trade, buy-sell= 2 trades. Sometimes you can have like

buy 4 lots
sell 3, 1 lots

so that is like 3 trades in their interpretation.

MT5 still hasn't updated the new commission rate. They're still stuck on 0.94 rt/contract rate. So they make "adjustments" on the results which may or may not affect my stats.

This is why i just use my spreadsheet. I used the gross% off the real account and using AMP's current commission rate for net gains.

The way i recover is adjusting the TP accordingly to get to profit or at least cover costs if i can't make up the loss because the session is "expiring". Within the first couple of hours is when ORB is ripe. Afte that the algo switches from profit to recovery mode.

 

[NoahA]

The way i recover is adjusting the TP accordingly to get to profit or at least cover costs if i can't make up the loss because the session is "expiring". Within the first couple of hours is when ORB is ripe. Afte that the algo switches from profit to recovery mode.

This is interesting. I do this myself, but with horrible results. If my first trade is a loss, and I even didn't like the setup, my only goal is to cover the losses on the next trade. Of course the next trade ends up working much better, but since my only goal is to cover losses, I miss out on bigger gains.

I see in my stats that if I didn't go into recovery mode, some days would end up being a loss, but the wins would be bigger too, and overall, better.

Now I'm not going to suggest that I know anything better than you do, since your results are stellar, but I just find it odd that your algo can always recover from a big loss, hence it knows how to make $1k, but only ever after having a big loss. Why can it not have a $1k win out of the gate and book this? The smooth consistency of your PnL is simply incredible, but seeing these 1k losses makes me think that one day it won't recover, and that 1k loss will be 3 months of profits gone.

So I guess the best question is, what is the aglo doing to make $1k vs. just 50 bucks, and can it not do this more often vs. just only ever after a big loss?

 

[hilmy83]

This is interesting. I do this myself, but with horrible results. If my first trade is a loss, and I even didn't like the setup, my only goal is to cover the losses on the next trade. Of course the next trade ends up working much better, but since my only goal is to cover losses, I miss out on bigger gains.

I see in my stats that if I didn't go into recovery mode, some days would end up being a loss, but the wins would be bigger too, and overall, better.

Now I'm not going to suggest that I know anything better than you do, since your results are stellar, but I just find it odd that your algo can always recover from a big loss, hence it knows how to make $1k, but only ever after having a big loss. Why can it not have a $1k win out of the gate and book this? The smooth consistency of your PnL is simply incredible, but seeing these 1k losses makes me think that one day it won't recover, and that 1k loss will be 3 months of profits gone.

So I guess the best question is, what is the aglo doing to make $1k vs. just 50 bucks, and can it not do this more often vs. just only ever after a big loss?

Yup that's basically all it is in a nut shell. What is my risk of ruin in not being able to recover? I have NO IDEA. In my tests (just 2020-2022), I saw few days of the year where dd was going into double digits. That's like 4-5 reverses Imagine me trading 1 emini like Overnight keep asking me to do: with NQ intraday range like +100 ticks on average, that's like $2500 (at least 10% DD) for an account of 20k on a single day.

With the current TP/risk setup, I know i'll get only 3-5% a month depending on volatility (40-60% annually). It will be compounded every 5k, so it wil grow with time.

As long as I can beat the passive index investing of 8-10% annually net of commissions, that's all I care about at this point. It's passive and I don't have to do anything but let this thing trade or fail.

 

[Overnight]

...That's like 4-5 reverses Imagine me trading 1 emini like Overnight keep asking me to do: with NQ intraday range like +100 ticks on average, that's like $2500 (at least 10% DD) for an account of 20k on a single day...

I wouldn't be suggesting it if your algo was showing an end of day in the red. Besides, on a 20K account with AMP, you'd have to have 7 $2500 losses in a row before you couldn't enter a position.

Have you ever had 7 $2500 losses in a row?

You're sitting on your own gold mine and you don't even know it.

 

[FTDK]

This is from MT5 report. The numbers are bit different, so to be honest i'm perplexed at how quantanalyzer and mt5 do their calculations

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I have just tried it to compare it to the Ninjatrader 8 account performance analyzer and i also got different results there for certain numbers like sharpe ratio etc.

 

[hilmy83]

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[hilmy83]

Made you look..


Now go back to trading