Index futures automation

[hilmy83]

testing and more testing. running the algo on pre market and regular market to see how it behaves.

 

[hilmy83]

so i have edited the algo just a bit to have a quicker recovery factor. i'm experimenting with a fixed martingale cycle implemented on high hit rate strategy.

so I'm running this on a very small account to see how long it runs. Right now I'm going back to trading 5 markets (mes,mnq,m2k,mym,fdxs). If it works out for few months, i'll add more markets (ftse, nikkei, han seng) to the mix.

high volume breakout is the name of the game for this algo. So we'll see how far this goes

funny enough it experienced the first loss as soon as i started, so then the recovery setting kicked in and managed to get out of that.

 

[hilmy83]

so i have edited the algo just a bit to have a quicker recovery factor. i'm experimenting with a fixed martingale cycle implemented on high hit rate strategy.

so I'm running this on a very small account to see how long it runs. Right now I'm going back to trading 5 markets (mes,mnq,m2k,mym,fdxs). If it works out for few months, i'll add more markets (ftse, nikkei, han seng) to the mix.

high volume breakout is the name of the game for this algo. So we'll see how far this goes

funny enough it experienced the first loss as soon as i started, so then the recovery setting kicked in and managed to get out of that.

View attachment 294989

2 more weeks in, no errors with the algo.

Even though it has a session stop, fixed martingale on recovery can get hairy. not sure how long this will survive. I think trading multiple markets actually helps.

 

[hilmy83]

First full month of auto trading. sure beats sitting at the screen all night

still too early to know if this strategy has legs.

 

[Overnight]

First full month of auto trading. sure beats sitting at the screen all night

still too early to know if this strategy has legs.
...

To me it looks like it does have legs. You started these final versions of the algo about a month ago, during some of the most stressful trading ranges of the year? The metrics look great! Your profit trades are greater than loss trades percentage wise.

Just the net profit numbers alone should give you pause to ponder implementing it (In that I mean, really think on it hard. Give it some thought, not to doubt it, but to realize that it is actually working). Great work!

 

[hilmy83]

To me it looks like it does have legs. You started these final versions of the algo about a month ago, during some of the most stressful trading ranges of the year? The metrics look great! Your profit trades are greater than loss trades percentage wise.

Just the net profit numbers alone should give you pause to ponder implementing it (In that I mean, really think on it hard. Give it some thought, not to doubt it, but to realize that it is actually working). Great work!

thanks, but i've had strategies that work 4-6 months only to fail later. i'll get excited after 1 year maybe

 

[hilmy83]

need to look at other tradjing journals online where i can load up the mt5 data to see more stats.

 

[hilmy83]

this has to be one the best free journals out there for metatrader platforms. i think it beats tradervue/journalytix/edgewonk.

https://strategyquant.com/quantanalyzer/

Results sinc 9/1

 

[destriero]

It's a high vol-regime strategy. If vols dry up it's going to get killed but work it while it lasts.

 

[hilmy83]

So far so good, but finding issues like price discrepancy and lagging makes it hard to trade the algo. Found issues with mt5 and cqg since i started this whole thing.

https://www.elitetrader.com/et/threads/cqg-mispricing-mym.369957/
https://www.elitetrader.com/et/threads/cqg-vs-amp-vs-mt5.370303/
https://www.elitetrader.com/et/threads/index-futures-automation.368144/page-5#post-5649385


If the problems continue, there is a strong possiblity that i switch over to ironbeam mt5 wtih direct market access
https://www.elitetrader.com/et/threads/cqg-vs-amp-vs-mt5.370303/page-2#post-5695586

It would be better once i can transition to eminis because micros commissions are just overall crappy. That will require at least 50k though just based on how this strategy works.