Index futures automation

[hilmy83]

Spoke with Pax about my strategy. He likes that I use OR and capturing volatilty. But there are things he didn't like:

1. not letting profits ride
2. increasing size after few reverses

Video of him during his pit days. Minute 6:42 is interesting. He was talking to Jordan Melamed about his positions getting crushed. I guess he was adding to losing trades lol.

Jordan made a documentary on pit trading. But to this day, never released it publicly..

 

[NoahA]

Spoke with Pax about my strategy. He likes that I use OR and capturing volatilty. But there are things he didn't like:

1. not letting profits ride
2. increasing size after few reverses

I'm sure though that if you tinker with either one of these variables, the whole strategy falls apart.

I know that if I don't take a 10pt profit in the MNQ, easily 30-40% of the time, it comes back to my entry. So either I stop out at BE, and then it goes up again, so I miss the profit, or I even let it stop out for a 10 point loss, and then I turn a winner into a loser. Granted, some of the time it goes on to hit +20 or +30, but its goodbye to that nice equity curve. At least an algo won't suffer from the emotional damage of watching this happen, but I'm not sure if it would lead to a better PnL overall or not.

And of course if you don't scale up after reversing, then you will have some losing days, which you don't have now at all.

Now I'm sure that our brains can perhaps make sense of when its proper to scale up or go for bigger profits, but I bet that these rules would be difficult to program into an algo. Elon can't even get his Tesla FSD software to properly identify a red light or stop sign 100% of the time, so programming all the nuances of price action into an algo would be very difficult.

I bet your instinct is just to leave it alone. I'm very curious about what happens once you get to get the stage of trading 1 NQ vs. multiple MNQ as you are doing now.

 

[hilmy83]

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[hilmy83]

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[hilmy83]

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[hilmy83]

 

[Mo06]

Spoke with Pax about my strategy. He likes that I use OR and capturing volatilty. But there are things he didn't like:

I note that Pax uses a 30 second OR.
Does your algo do the same by any chance ?

 

[Laissez Faire]

Spoke with Pax about my strategy. He likes that I use OR and capturing volatilty. But there are things he didn't like:

1. not letting profits ride
2. increasing size after few reverses

I expressed the same concerns back in August as you seem to cap the upside, but are willing to go deeply red intraday in order to recover and end the day green (for a small profit).

So far, it seems to work out great, but there's the concern that one day you'll face that outlier day where you're not able to recover and have to book a large daily loss setting you back weeks.

A few blunt questions one could ask:

Why is it so important to have a daily consistent profit? I.e, so important that you're willing to take on intraday drawdowns as deep as 10 x your average daily net profit to get back in the green?

Since you must have had daily profits exceeding $1000 in order to recover from deep daily drawdowns your system or algorithm clearly have the potential for those type of gains.

Why wouldn't you then see if you could net a few of those $1000 days as well instead of always cutting your profits short for a small, green day?

 

[hilmy83]

I note that Pax uses a 30 second OR.
Does your algo do the same by any chance ?

Let's just say it's fast that a human can't manually trade it effectively.

I expressed the same concerns back in August as you seem to cap the upside, but are willing to go deeply red intraday in order to recover and end the day green (for a small profit).

So far, it seems to work out great, but there's the concern that one day you'll face that outlier day where you're not able to recover and have to book a large daily loss setting you back weeks.

A few blunt questions one could ask:

Why is it so important to have a daily consistent profit? I.e, so important that you're willing to take on intraday drawdowns as deep as 10 x your average daily net profit to get back in the green?

Since you must have had daily profits exceeding $1000 in order to recover from deep daily drawdowns your system or algorithm clearly have the potential for those type of gains.

Why wouldn't you then see if you could net a few of those $1000 days as well instead of always cutting your profits short for a small, green day?

I think this is one of those age old discussions. I got into the same convo with @Sprout on the Al brooks thread. I rather let real numbers do the talking.

My invitation still stands to ANYONE who trades high r:r system and claims it makes more money than low r:r system:

1. open a journal, post a beginning broker NAV statement with at least $25k (I've bumbed up to the PDT so I don't have to deal with one hit wonders)
2. post a daily,weekly or monthly NAV change with % growth chart for visual
3. Compare to my reverse r:r strategy from the same start time to 1 year later, which system makes more.

My conclusion is, high r:r or low r:r will converge return wise. EV and managing risk of ruin are the only thing that matter to me. I prefer consistency because I'm a yields guy. I chase cash flow.

This journal literally takes me 2 mins to post DAILY updates. No one should complain about weekly or monthly updates....

 

[Laissez Faire]

No need to get defensive. I was afraid you would, so I was hesitant if I should make that post. I didn't make any claims on my own part, either. Just pointing out the potential vulnerability of your system (as Pax did).

Good luck.