Index futures automation

[Overnight]

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.

Here we go again. Prove it, or you are just full of hot air.

 

[wmwmw]

Most high win rate strategies are losing strategies.

Because they tend not to cut losses.
For the same reason, a typical gambler at a casino has much more winning days than losing days.Because when he loses he just keeps betting until he wins back or loses all his capital for the day.

So he has many small winning days and a few big losing days. At the end he is still a loser.

 

[Millionaire]

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.

Most high win rate strategies are losing strategies.

Because they tend not to cut losses.
For the same reason, a typical gambler at a casino has much more winning days than losing days.Because when he loses he just keeps betting until he wins back or loses all his capital for the day.

So he has many small winning days and a few big losing days. At the end he is still a loser.

To both of you, the OP is saying 80% win rate with profit factor 1.5 to 2.0. Read post #5.
So your ideas about him going for bigger losers than winners is INCORRECT

Now if he can pull this off in live trading is another matter, Good luck to the OP.

 

[wmwmw]

To both of you, the OP is saying 80% win rate with profit factor 1.5 to 2.0. Read post #5.
So your ideas about him going for bigger losers than winners is INCORRECT

Now if he can pull this off in live trading is another matter, Good luck to the OP.

You misunderstood my post.
I never made a judgement about OP' strategy.
I just pointed out why a high win rate strategy is not necessarily a winning strategy. I did not say all high win rate strategies are losing strategies.

 

[Millionaire]

You misunderstood my post.
I never made a judgement about OP' strategy.
I just pointed out why a high win rate strategy is not necessarily a winning strategy. I did not say all high win rate strategies are losing strategies.

Yes we know this which is why i asked the OP for his win% and his profit loss ratio (see post 3 on this thread). Win % on its own is worthless.

 

[heispark]

Not sure why you suddenly fell into automation after 10+ years of manual trading....... So, virtually you are a newbie to automatic trading. Must need another 10+ years to reach mastery level...

 

[hilmy83]

Not sure why you suddenly fell into automation after 10+ years of manual trading....... So, virtually you are a newbie to automatic trading. Must need another 10+ years to reach mastery level...

never too late to learn! But in all honesty, i need automation because my job requires me to travel from time to time. And it's getting to a point where manual trading is just impossible to manage.

technically i started futures back in 2017, prior to that forex. Forex and futures are just completely different. Forex tends to mean revert, and index futures seem to have longer momentum imo.

 

[heispark]

never too late to learn! But in all honesty, i need automation because my job requires me to travel from time to time. And it's getting to a point where manual trading is just impossible to manage.

technically i started futures back in 2017, prior to that forex. Forex and futures are just completely different. Forex tends to mean revert, and index futures seem to have longer momentum imo.

I recommend Youtube videos from Kevin Davey: https://www.youtube.com/c/AlgoTradingWithKevinDavey
I think he's honest and realistic about algo trading.

 

[hilmy83]

Starting this journal to answer the question: Can a 100% automated mechanical strategy work in the long term?

I have finally converted my strategy to a fully automated trading bot. I'm using metatrader 5 as the platform for now and running my expert advisor on a vps. The development process was a PAIN IN THE ASS. Took 2 months to finally get a finished program that works per the specs.

I'm running the program on mes, mnq, mym and m2k. Started at around 12k, but once account grows, I will make the transition to the emini contracts.

Started the program on 6/30. Will update every week.
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Dow had to be the bastard child this week. Everything has been hitting targets and Dow has been struggling few times this week. Maybe adjusting the timed exit can help give trade more room to work. RIght now bot exits all trades 2 hours into the trade, maybe extend that to 3 hours.

 

[Overnight]

Dow had to be the bastard child this week. Everything has been hitting targets and Dow has been struggling few times this week. Maybe adjusting the timed exit can help give trade more room to work. RIght now bot exits all trades 2 hours into the trade, maybe extend that to 3 hours.



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That seems VERY unusual, since the Dow is usually the most benign of the 4 majors you traded. (Although I cannot speak about the Russel, because I do not trade that.)

Chalk it up to it being bank-heavy and heading into earnings week after a Minutes release I guess