Index futures automation

[Overnight]

View attachment 298786...

So you are trading what has essentially been called a possible spaceship from another galaxy...

Oumuamua.

 

[syswizard]

Why are you trading the same instrument/contract in 2 different expiration dates ?
For diversification purposes, why not look at MBT, MZN, MZB, M6E ?

 

[Overnight]

Why are you trading the same instrument/contract in 2 different expiration dates ?
For diversification purposes, why not look at MBT, MZN, MZB, M6E ?

Maybe he is working a calendar spread? Those things exist. And they exist very severely.

 

[Laissez Faire]

It's really interesting how the same strategy can work across other indeces but MES just coudn't have enough volatility for it to close in profit.

If Monday performs normally, it will be a decent month, otherwise I see a b/e or even slight loss. I don't know if MES is going throug something or if this is just a trait of ths market. It is the biggest of the 5, so maybe it's just more mean reverting.

That’s indeed interesting. I talked to a guy a few years ago who also was running either a semi-automated or fully automated strategy and he also said that he was able to exploit NQ, but broke even on ES with the same strategy.

ES is on average more noisy and mean-reverting than NQ which exhibit more momentum moves on average.

Anyway, nice journal and progress.

 

[syswizard]

ES is on average more noisy and mean-reverting than NQ which exhibit more momentum moves on average.

So the same strategy applied to NQ and ES must have different parameters for each to control losses and take profits. The entry logic for the most part stays the same.
So here are the results of my Algos in SIM trading mode for 11/4:
MES-Renky +254 72% win 29 trades
MNQ-OBV +20 38% win 32 trades
M2K-OBV +130 58% win 12 trades
MYM-Renky +397 87% win 31 trades
MCL-Renky +139 71% win 14 trades
MBT-Renky +455 81% win 21 trades
MYM-Abby +276 83% win 48 trades
----------------------------------------------------
Totals +1671 gross 187 trades
Commish 281; 17% of gross profit
+1390 net profit

 

[hilmy83]

Why are you trading the same instrument/contract in 2 different expiration dates ?
For diversification purposes, why not look at MBT, MZN, MZB, M6E ?

I'm not trading different calendar contracts. Quant analyzer just summarize the performance across previous traded contracts.

The strategy I trade can't be traded on slow moving markets you posted. The only other markets that I can trade this is on individual stocks. Has to be volatile with decent liquidity to avoid too much slippage.

 

[hilmy83]

interesting pop tonite

 

[syswizard]

The strategy I trade can't be traded on slow moving markets you posted.

There is definitely a need for the ranking of volatility for the EMini's and EMicro's.
BTC and MBT are likely the most volatile.

 

[hilmy83]

Finally broke out of the 21 days DD

November starting out smooth so far. CL has been a good addition. MES still flatlining

Stats reverting back to 60% win rate, avg win/avg loss is 0.78. With +300 trades, this seems like a baseline.

 

[syswizard]

Equity curves still show sharp retracements.
Have you considered employing daily stop loss rules ?
Also, you need to show/track win rate %.