Index futures automation

[ironchef]

Back in the day, what I would used to do was fade the NQs (average in) until it broke the ranges, and just flipped the whole position for the breakout. It was consistent and scary at the same time. But it crapped out when the flip doesn't work and it just mean revert again.

This time, I am thinking to basically play the ORB/reverse until failure to a certain point then averaging in.

Studying my losses in the backtests/live, I notice that when price breakout out nicely from OR, it does it in 1-2 setups. When price zig zags around OR, there's likelihood it would just range going forward until end of session.

So I'm going back to the drawing board to reprogram the bot to do that. Run some tests and let it run live.

Maybe you don't care, I am used to many > 30% drawdown over the years but always recovered.

 

[hilmy83]

Maybe you don't care, I am used to many > 30% drawdown over the years but always recovered.

Do you live off trading? or you just growing your account? How long did it take to recover those +30% DD?

 

[Laissez Faire]

Honestly, this was to be expected at some point as your equity curve including all trade history tells a very different story than the daily equity curve - where your system on multiple occasions goes deeply in the red intraday in order to end the day with a relatively small gain. Equally, you will cap the day at a small daily gain.

It can work great for extended periods of time as it's done until now, but once in a blue moon that one large loss is inevitable.

 

[ironchef]

Do you live off trading? or you just growing your account? How long did it take to recover those +30% DD?

Last DD was 2022 @ -31%, recovered in about a year. Before that, significant DD in 2019 also about a year. Both times due to general market condition and wrong bets on options.

Big enough size, DD did not have financial impacts.

 

[ironchef]

Honestly, this was to be expected at some point as your equity curve including all trade history tells a very different story than the daily equity curve - where your system on multiple occasions goes deeply in the red intraday in order to end the day with a relatively small gain. Equally, you will cap the day at a small daily gain.

It can work great for extended periods of time as it's done until now, but once in a blue moon that one large loss is inevitable.

Very good points. What I found in my limited day trading experience, is if I tighten my stop losses, I also reduced my profits. There is no free lunch.

Kelly will help if you know your expectancy. Many great traders used fractional Kelly but that also reduced their gains.

Depends on how confident you are about your model and your risk tolerance, and risk management, a 25% DD, if recoverable, should not be a show stopper.

I shouldn't pontificate. I am still a student trader, still learning and when I day trade, still can't stand losing trades.

 

[Overnight]

Do you live off trading? or you just growing your account? How long did it take to recover those +30% DD?

4.5 years later and you are profiting, and you still doubt. Time to put your grind to the wheel.

Want a song for that?

Of course you do. We will try to find the informative singing for ye., because we have no imagination. :-(

 

[ironchef]

4.5 years later and you are profiting, and you still doubt.

OP has done extremely well in 4.5 years.

You may be different but I am never sure if I will survive or my method will continue to work. That is why I continue to look for new ways to trade.

I have been at this full time since 2010 and fortunate to start with some size.

As the founder of Intel, Andy Grove said: Only the paranoid survive.

 

[rb7]

Well, the strategy finally crapped out. Everything was working as per the trading plan. This strategy will have a big loss and will take months to recover. In the backtests, I've had max +900 days of recovery time. Even though it looked like a steady strategy, mentally that would probably drive me crazy to sit through that. So I'm going to tweak the risk a little bit to figure out how to balance income with the risk:


Loss happened the week of 3/18. So the year down about -25%. Good thing for that max stop loss though..sheesh

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I'm very sorry to hear that.
But based on your strategy, that was expected.
It wasn't if it would happen, it was when it would happen.

IMO, You are doing the exact opposite of what you should be doing: Letting your winners run and cutting your losses early (easier said than done!).

But I'm sure that your determination with bring you where you want to go. Keep going...

 

[hilmy83]

I'm very sorry to hear that.
But based on your strategy, that was expected.
It wasn't if it would happen, it was when it would happen.

IMO, You are doing the exact opposite of what you should be doing: Letting your winners run and cutting your losses early (easier said than done!).

But I'm sure that your determination with bring you where you want to go. Keep going...

I've tested the "let winners run". It doesn't work in daytrading. Swing trading, maybe.

You're screwed on two fronts: having the right entry, and having a runner which happens like 30% or less of the time; all within a limited timeframe.

BY the time you actually catch a runner, you're already suffering steep drawdowns by a thousand cuts.

 

[rb7]

I've tested the "let winners run". It doesn't work in daytrading. Swing trading, maybe.

You're screwed on two fronts: having the right entry, and having a runner which happens like 30% or less of the time; all within a limited timeframe.

BY the time you actually catch a runner, you're already suffering steep drawdowns by a thousand cuts.

I started to be profitable when I started to let my winners run. And I'm day trading.
I'm not here to convince you. Just adding my 2 cents if it can help.