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
Excellent results. :thumbsup:

Best wishes for continued success in 2024.

I started to study day trading in early 2023, it is based on trend following. Went live in July 2023 and have six moths of combined paper and live trade results. The results are very positive but I could be fooled by randomness. Only time will tell.

A couple of general questions if you don't mind:

Are you a trend follower or do you use predictive algorithm?

Is your system pattern or formula based?
 
ironchef said:
Excellent results. :thumbsup:

Best wishes for continued success in 2024.

I started to study day trading in early 2023, it is based on trend following. Went live in July 2023 and have six moths of combined paper and live trade results. The results are very positive but I could be fooled by randomness. Only time will tell.

A couple of general questions if you don't mind:

Are you a trend follower or do you use predictive algorithm?

Is your system pattern or formula based?
More...

Thanks ironchef.

I use a simple breakout strategy. No predictive element other than following the price break. It's both pattern and formula based I guess, since entries and exits are pre calculated.

By the way, who's your favorite iron chef?
 
Wonder victory as English FFA nomad


God daammnnnnn

upload_2024-1-26_18-11-47.png
 
For whatever reason, I can pull up @ENQ contract on MT5 that goes back to 1999. So taking advantage of this this stroke of luck with data access, I ran some backtests

Backtests of current settings:
4/1-10/31. Can't do continous tests since MT5 time doesnt' adjust with DST.
Each test starts with 50k
Trading NQ

2023
upload_2024-1-27_15-35-50.png


2022
upload_2024-1-27_15-36-38.png


2021
upload_2024-1-27_15-38-21.png


2020
upload_2024-1-27_15-39-19.png


2019
upload_2024-1-27_15-40-38.png


2018
upload_2024-1-27_15-42-5.png


2017
upload_2024-1-27_15-54-14.png


2016
upload_2024-1-27_15-53-29.png


2015
upload_2024-1-27_15-55-5.png


2014
upload_2024-1-27_15-56-40.png



Will run the next tests on a more "aggressive" setting for b/e or profit.
Then I'll give my 2c on this.
 
hilmy83 said:
For whatever reason, I can pull up @ENQ contract on MT5 that goes back to 1999. So taking advantage of this this stroke of luck with data access, I ran some backtests

Backtests of current settings:
4/1-10/31. Can't do continous tests since MT5 time doesnt' adjust with DST.
Each test starts with 50k
Trading NQ

2023
View attachment 332654

2022
View attachment 332655

2021
View attachment 332656

2020
View attachment 332657

2019
View attachment 332658

2018
View attachment 332659

2017
View attachment 332663

2016
View attachment 332662

2015
View attachment 332664

2014
View attachment 332665


Will run the next tests on a more "aggressive" setting for b/e or profit.
Then I'll give my 2c on this.
More...

"Agressive" b/e or tp

2023
upload_2024-1-27_16-11-11.png


2022
upload_2024-1-27_16-12-10.png


2021
upload_2024-1-27_16-13-6.png


2020
upload_2024-1-27_16-13-57.png


2019
upload_2024-1-27_16-15-9.png


2018
upload_2024-1-27_16-16-9.png


2017
upload_2024-1-27_16-17-20.png


2016
upload_2024-1-27_16-18-5.png


2015
upload_2024-1-27_16-18-53.png


2014
upload_2024-1-27_16-21-21.png
 
hilmy83 said:
For whatever reason, I can pull up @ENQ contract on MT5 that goes back to 1999. So taking advantage of this this stroke of luck with data access, I ran some backtests

Backtests of current settings:
4/1-10/31. Can't do continous tests since MT5 time doesnt' adjust with DST.
Each test starts with 50k
Trading NQ

2023
View attachment 332654

2022
View attachment 332655

2021
View attachment 332656

2020
View attachment 332657

2019
View attachment 332658

2018
View attachment 332659

2017
View attachment 332663

2016
View attachment 332662

2015
View attachment 332664

2014
View attachment 332665


Will run the next tests on a more "aggressive" setting for b/e or profit.
Then I'll give my 2c on this.
More...

"Conservative TP" , aggressive sequence

2023
upload_2024-1-27_17-7-29.png


2022
upload_2024-1-27_17-8-9.png



2021
upload_2024-1-27_17-8-52.png


2020
upload_2024-1-27_17-9-39.png


2019
upload_2024-1-27_17-10-26.png


2018
upload_2024-1-27_17-12-16.png


2017
upload_2024-1-27_17-12-58.png


2016
upload_2024-1-27_17-13-44.png


2015
upload_2024-1-27_17-14-33.png


2014
upload_2024-1-27_17-15-13.png
 
Basically in and out ASAP, and keep going and hope to God volatility picks up as trading session goes on.

2014-2017 the OR were so tiny compared to 2021-2023. Best "worst case" scenario is to get caught in a range within low volatility.

Current settings don't do well in earlier years when NQ range was in comatose 2014-2016.
 
Default settings
2016

upload_2024-1-27_17-57-7.png


Updated conservative settings
2016

upload_2024-1-27_17-58-13.png


I have to take a loss. I mean can't trade and think that I won't experience the black swan. The question is, how do I soften the blow while maintaining acceptable returns for the risk.

I think I like the conservative approach.
 
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