Index futures automation

[hilmy83]

Live monthly performance with the algo:

June: +$1136
July: +$929

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Grind on...

Monthly performance:

Aug: +$1247

Took out the outlier day pnl.

 

[hilmy83]

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[Mo06]

Impressive green slope.
I wonder what percentage of hedge funds this algo in beating.

 

[hilmy83]

Impressive green slope.
I wonder what percentage of hedge funds this algo in beating.

It is consistent, but I'm not going to "celebrate" until I cross over the 1 year milestone without it imploding. I've had multiple journals over the years where I would see 4-6 months of success before it started to fall apart.
Example:
https://www.elitetrader.com/et/threads/joining-the-cme-gang.334231/page-62#post-5215594

So let's wait another 6 months, then I'll toot my own horn.

 

[hilmy83]

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[hilmy83]

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[hilmy83]

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[hilmy83]

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[traider]

Is this trend following or mean reversion

 

[hilmy83]

Is this trend following or mean reversion

Just a simple breakout strategy.