Index futures automation

[hilmy83]

Algo just got updated, but didn't get a chance to test it out yet.

So ran the prev version. MNQ, M2K made it through ok. But news came out and basically took out MYM early cause of the crazy spred. And of course MES got chopped like a bitch that it is. And MCL, what the hell bro, you were so good to me, and now you turnin on me.

Once the algo is good and tested..i wonder if i should just go all in MNQ. It's been consistent all this time. But I just have a feeling that once I do that, this shit will revert. Market's way of saying "gotcha bitch!" lol

But if MNQ is THE market for this, then kind want to see how good the algo can do with higher risk. Might blow, or might not. It would be a cool experiment though. Maybe I start next week with it.

 

[hilmy83]

Algo just got updated, but didn't get a chance to test it out yet.

So ran the prev version. MNQ, M2K made it through ok. But news came out and basically took out MYM early cause of the crazy spred. And of course MES got chopped like a bitch that it is. And MCL, what the hell bro, you were so good to me, and now you turnin on me.

View attachment 301764

Once the algo is good and tested..i wonder if i should just go all in MNQ. It's been consistent all this time. But I just have a feeling that once I do that, this shit will revert. Market's way of saying "gotcha bitch!" lol

But if MNQ is THE market for this, then kind want to see how good the algo can do with higher risk. Might blow, or might not. It would be a cool experiment though. Maybe I start next week with it.

After testing the updated version of the algo on MNQ going back to 2020, it's actually better not to over commit to MNQ. Cause like every market, it had its reversion days. Applying more risk would've created a sticky margin issue even before it breaks out to profit eventually. So just going to stick to the 5 markets for now.

Right now I have a fixed cycle where the algo will stop before taking too big of a loss, but it's just arbitrary number. I pick 6 cycles, but honestly, i don't know if that is the right risk management for this type of breakout strategy. What if i pick 2 (High and Low hit trigger once)? or 4 (High and Low trigger 2x)

Or what if i just don't limit the EA at all and see if there is a such a thing a straight sideway market. My default MT5 downloaded data only goes back to only early 2020. But even since 2017 when I switched to futures, I havent' really seen a true sideway market for index futures, at least during the US session (excluding holidays which i don't trade). At some point it breaks out, if it's not early session, it will during later in the day.

When I came up with the algo, I'm basing it on the belief that price will always break out of its range (at some point). That's a fact. But how long can the strategy survive before it does that. What if I just let it do its thing without fixed stop cycle? This would be a high risk experiment.

Because it is high risk, I'll start with 1 contract for each market. Good thing we have the micros, cause doing this on the emini would've be IMPOSSIBLE, unless I have like 50-100k figure account I'm willing to just risk it all.

 

[hilmy83]

First day "no stop" EA trading. MES had bit of chop. But even at 1 contract, it's decent range for end of December.

 

[hilmy83]

Today was pretty a close one. I used 5k as starting to test thinking it was enough. But i was hanging on a thread with the margin on the chop.

And it always break away like it usually does after chop. The trick is to just hang on during the wave storm.

I think i need to set aside 10k to be comfortable for this approach. Kind of makes sense since it's 5 markets at 2k each (maybe more)

Micros is no joke sometimes

 

[hilmy83]

Apparently the concept of "partial filled limit TP" escapes the dev i'm working with.

Current EA cancels everything as soon as TP is hit. This is a problem when I have partial lots executed and leaving me with open trades.

This example of MCL where it executed 3 of 4 lots and left me holding 1 lot open. Good thing i caught it. In their world everything is filled at whatever price they set their orders at. These fucking forex people annoy me so much.

Trying to look for another dev who's not a moron.

 

[lucysparabola]

Apparently the concept of "partial filled limit TP" escapes the dev i'm working with.

Current EA cancels everything as soon as TP is hit. This is a problem when I have partial lots executed and leaving me with open trades.

This example of MCL where it executed 3 of 4 lots and left me holding 1 lot open. Good thing i caught it. In their world everything is filled at whatever price they set their orders at. These fucking forex people annoy me so much.

View attachment 302202

Trying to look for another dev who's not a moron.

I'll PM you my dev. I use him for my QT stuff but he's an MT5 master.

 

[hilmy83]

Today was pretty a close one. I used 5k as starting to test thinking it was enough. But i was hanging on a thread with the margin on the chop.

And it always break away like it usually does after chop. The trick is to just hang on during the wave storm.

I think i need to set aside 10k to be comfortable for this approach. Kind of makes sense since it's 5 markets at 2k each (maybe more)

Micros is no joke sometimes

View attachment 302034

I'm thinking probability distribution incorrectly. I think it's better to stick to one market instead of trading multiple markets. The chance of consecutive losses will be pretty much equally distributed. Basically with multiple markets, I'm "hoping" i don't get hit on across all of them at the same, which is not the way to trade this.

If i'm going all out, might as well be on MNQ. Might be a slower equity growth rate, i think i would rather improve my "risk of ruin" then trying to make money as fast as possible.

 

[hilmy83]

I'm thinking probability distribution incorrectly. I think it's better to stick to one market instead of trading multiple markets. The chance of consecutive losses will be pretty much equally distributed. Basically with multiple markets, I'm "hoping" i don't get hit on across all of them at the same, which is not the way to trade this.

If i'm going all out, might as well be on MNQ. Might be a slower equity growth rate, i think i would rather improve my "risk of ruin" then trying to make money as fast as possible.

MNQ would fail when volatility is high and price just keep taking a stab on both sides of the breakout range.

MES would give far higher survivability due to lower margin requirements.

They make more or less make the same amount if you take into account contract spec/commissions.

I should bet on lower risk of ruin

 

[hilmy83]

I suppose this is like managing risk through position sizing. Even though there is s a stop/reverse, there's technically no end to the cycle.

I'm basically going all out on a long straddle play every single day. Or is it a short butterfly play? lol

It's neutral I know that at least

 

[hilmy83]

Actually since my profit is set, it's similar in structure to a long condor or short butterfly play.