Index futures automation

[hilmy83]

View attachment 330318

View attachment 330319

 

[hilmy83]

I'm going to start doing only monthly updates next year.

With the monthly, I will only do the performance comparison with the benchmark NDX since I only trade the nasdaq futures.

I will also add the standard stats using my monthly performance vs NDX.

Here are the raw monthy performance:

These monthly numbers should be correct, if not let me know and I can show the formulas that I used.

To be honest, this year was about testing and fixing errors. I started out this year backtesting the right settings and traded pretty much everything in the micros (dax, mnq,mes,mym,m2k, mgc,mcl). That didnt go well until I settled on the nasdaq when i did more tests and saw that it gave the most consistent results. I jumped back and forth betwen MT5 and QT, before settling on MT5.

But I think the overall down days due to errors and bad trading balance out the positive outliers due to errors. The average works out to over 5%. My backtests showed about 4-5% monthy.

 

[shuraver]

How can you have down months when you showed only positive (or zero) days?

Edit: nvm, those were likely due to the error trades.

 

[hilmy83]

How can you have down months when you showed only positive (or zero) days?

Edit: nvm, those were likely due to the error trades.

The graph shows when I decided to trade nasdaq exlusively, which i would consider my "final version".

If you go back to January, you'll see a bunch of backtests and different markets I traded to get a feel for the bot.

The down months (jan and november) and the + outliers pretty much balance themselves out.

 

[surfista]

hilmy83,
You suggested that your backtesting was helpful.
Can you identify the backtesting platform that you used and other platforms that you think could also be useful in defining & refining an intraday trading strategy in the eminis?
thanks

I'm going to start doing only monthly updates next year.

With the monthly, I will only do the performance comparison with the benchmark NDX since I only trade the nasdaq futures.

I will also add the standard stats using my monthly performance vs NDX.

Here are the raw monthy performance:

View attachment 330484

These monthly numbers should be correct, if not let me know and I can show the formulas that I used.

View attachment 330488

To be honest, this year was about testing and fixing errors. I started out this year backtesting the right settings and traded pretty much everything in the micros (dax, mnq,mes,mym,m2k, mgc,mcl). That didnt go well until I settled on the nasdaq when i did more tests and saw that it gave the most consistent results. I jumped back and forth betwen MT5 and QT, before settling on MT5.

But I think the overall down days due to errors and bad trading balance out the positive outliers due to errors. The average works out to over 5%. My backtests showed about 4-5% monthy.

 

[hilmy83]

View attachment 330480

View attachment 330481

 

[hilmy83]

View attachment 330562

View attachment 330563

 

[hilmy83]

hilmy83,
You suggested that your backtesting was helpful.
Can you identify the backtesting platform that you used and other platforms that you think could also be useful in defining & refining an intraday trading strategy in the eminis?
thanks

I used MT5 to backtest and to run the bot right now.

 

[hilmy83]

I'm going to start doing only monthly updates next year.

With the monthly, I will only do the performance comparison with the benchmark NDX since I only trade the nasdaq futures.

I will also add the standard stats using my monthly performance vs NDX.

Here are the raw monthy performance:

View attachment 330484

These monthly numbers should be correct, if not let me know and I can show the formulas that I used.

View attachment 330488

To be honest, this year was about testing and fixing errors. I started out this year backtesting the right settings and traded pretty much everything in the micros (dax, mnq,mes,mym,m2k, mgc,mcl). That didnt go well until I settled on the nasdaq when i did more tests and saw that it gave the most consistent results. I jumped back and forth betwen MT5 and QT, before settling on MT5.

But I think the overall down days due to errors and bad trading balance out the positive outliers due to errors. The average works out to over 5%. My backtests showed about 4-5% monthy.

corrected some calculations and made it simpler (as of 11/30/23):

 

[Mo06]

How does the $ 36,631.73 figure in post 827 correspond to $ 59.903.54 profits and $ 44,788.35 losses (net $ v15,115.19) in post 829 ?

Apologies if you've already covered this.