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
Laissez Faire said:
Interesting. Thanks for sharing those. I'll read it over the holiday which starts tomorrow.

Some questions that doesn't relate to strategy per se if you don't mind talking:

1) Approximately, how much time did you spend learning automation and coding to create this system?

2) Did you code everything yourself or have you had external help, i.e., hiring a programmer?

3) At this point - how much time do you spend maintaining the system? Are you still doing any developments for this particular system or do you consider it completed?

4) Are you looking into new strategies/systems outside this current ORB system? Will you ever consider manual trading again?

Thanks.
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1. I generally know how the algo flows and can debug some things cause I did take C++ back in college. But I can't create a whole algo from scratch. But now I use exclusively QT and they use C#. I probably should learn and do this myself down the road, but it's so cheap right now if you find the right person. Believe it or not, I paid $250 to get this QT algo completed.

2. I created the strategy myself, but I used metatrader 5 freelance service to code it. I got the QT dev recommended from someone on ET who used him in the past. Solid work. And also the platform is like 10x better than MT5 imo.

3. Besides restarting my vps, no other maintenance needed. I added some fail safe alerts in my algo to let me know if shit hits the fan, but other than that, it's set it and forget it deal. I think it's fully functional..but again, I've seen things 1-2 months down the road that I don't like in live trading you can't possibly detect in demo test, so you never know.

4. Not really. ORB is intutitive for me and it's profitable so far. I will continue to learn more about different variations of ORB, but for now, I'm good with the current strategy. And as far as manual trading- hell to the no. I'm 100% committed to algo trading.
 
hilmy83 said:
1. I generally know how the algo flows and can debug some things cause I did take C++ back in college. But I can't create a whole algo from scratch. But now I use exclusively QT and they use C#. I probably should learn and do this myself down the road, but it's so cheap right now if you find the right person. Believe it or not, I paid $250 to get this QT algo completed.

2. I created the strategy myself, but I used metatrader 5 freelance service to code it. I got the QT dev recommended from someone on ET who used him in the past. Solid work. And also the platform is like 10x better than MT5 imo.

3. Besides restarting my vps, no other maintenance needed. I added some fail safe alerts in my algo to let me know if shit hits the fan, but other than that, it's set it and forget it deal. I think it's fully functional..but again, I've seen things 1-2 months down the road that I don't like in live trading you can't possibly detect in demo test, so you never know.

4. Not really. ORB is intutitive for me and it's profitable so far. I will continue to learn more about different variations of ORB, but for now, I'm good with the current strategy. And as far as manual trading- hell to the no. I'm 100% committed to algo trading.
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That's great. Good answers. Thanks.

Regarding manual trading, the main reason I was asking is because in the past you'd take $5K to $100K in a month or so. No doubt taking massive risk. And now you're trading completely differently more or less tracking NDX so far.

Of course, while this is a different risk/return profile it should be very scaleable due to the consistency you're delivering. I did not mention the inevitable drawdown during manual trading which I imagine is why you moved on towards algorithmic trading.

Regardless, keep up the good work. Nice to see the consistency.
 
hilmy83 said:
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0008 said:
New to this thread.

Can your system beat the indices in the long run?
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If you go by my gross profit, then sure I'm beating it by few percent, even during crazy rise of the nasdaq.

But my commissions is putting a damper on my performance. But cost is relative. You can trade the eminis or become a cme member to reduce your trading costs significantly. For now, I got to make use of what I have available based on my account size.

I expect the algo to yield 40-60% annually. I think it can beat the index in the long run.
 
hilmy83 said:
...For now, I got to make use of what I have available based on my account size.
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Since you've started how large has the drawdown been? If it has not been more than $4,000 intraday, then you can skip to the 1 lot mini right now.
 
Overnight said:
Since you've started how large has the drawdown been? If it has not been more than $4,000 intraday, then you can skip to the 1 lot mini right now.
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I currently use Quantanalyzer to get daily summary of my gains.

max DD is about 9%, so my Calmar ratio is about 2.3

But like I said, the risk I'm taking is based on having significant margin of safety in mind. 5k for every 1 micro, no excuses.

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hilmy83 said:
I currently use Quantanalyzer to get daily summary of my gains.

max DD is about 9%, so my Calmar ratio is about 2.3

But like I said, the risk I'm taking is based on having significant margin of safety in mind. 5k for every 1 micro, no excuses.

View attachment 319419
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You're averaging 1 trade per day. Your system has been proven through both uptrend and down. As long as you are not holding overnight positions, it's time to kick it to a mini, man, and start capitalizing on the commission efficiency of the mini vs. micro.
 
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