Index futures automation

[hilmy83]

Screw it, I'm going back to manual trading. Need to brush up on the skills.

Starting @ 2am CST, trading NQ

Using my classic moving averages + vwap bands setup.
Scale out when wrong or hold whole position till profit target.

 

[hilmy83]

 

[Laissez Faire]

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.

Well, you don’t seem to have that problem during your intraday drawdowns which often come at huge multiples of your average daily gain.

In summary, when you’re in drawdown you just keep going and going, but quit as soon as you’re in profit. Equally, you will book the day as soon as you have a green day.

Why not keep going on a green day as well?

Surely there has to be a middle ground here.

In principle, I don’t see anything wrong with daily conservative targets, but the fact that you’re willing to go 10-25x your average daily gain in the red to achieve it sums up the flaws of this approach.

 

[newwurldmn]

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

View attachment 337163

View attachment 337164

What caused it to blow up?
Is the blow up a necessary risk to the strategy? (Like you are betting on mean reversion and then it trends against you)

 

[hilmy83]

Feb pnl: +$2210
feb return: 4.26%
ndx: 5.29%
spx: 5.10%

YTD return: 9.56%
NDX: 7.24%
SPX: 6.84%

View attachment 335136

View attachment 335137

March '24 return: -32.21%
2024 YTD return -25.97%

All time return (Jan 2023-Mar 2024): +12.40%
Same period returns for
SPX = +36.85%
NDX = +66.87%

Severely underperforming the benchmarks.

The backtests did show significant setbacks in during the black swan events. The last time this happened was in 4/6/21. But can't really predict these things, just likelihood. But like I said, I don't think I can sit through months of stagnation (longest being +900 days!) while waiting for new high being made.Plust 2006-2017 volatility is MUCH lower than the last couple of years, so another one of these would cripple the account.

So I'm deciding to scrap the strategy. Going back to manual trading for a while until I can figure out how to create a consistent income generating bot.

 

[hilmy83]

What caused it to blow up?
Is the blow up a necessary risk to the strategy? (Like you are betting on mean reversion and then it trends against you)

It's inherent in the strategy I guess. Betting on a breakout on ORB but it remains mean reverting.

 

[newwurldmn]

It's inherent in the strategy I guess. Betting on a breakout on ORB but it remains mean reverting.

Orb?

 

[hilmy83]

Orb?

opening range breakout

 

[ironchef]

Well, you don’t seem to have that problem during your intraday drawdowns which often come at huge multiples of your average daily gain.

In summary, when you’re in drawdown you just keep going and going, but quit as soon as you’re in profit. Equally, you will book the day as soon as you have a green day.

Why not keep going on a green day as well?

Surely there has to be a middle ground here.

In principle, I don’t see anything wrong with daily conservative targets, but the fact that you’re willing to go 10-25x your average daily gain in the red to achieve it sums up the flaws of this approach.

Here is my experience in day trading:

The market is a very bad teacher, it taught me to take profits earlier and earlier because more often than not, profits turned into losses if I waited; on the flip side, when I took losses early, more often than not, losses turned around to become profits if I only waited a little longer and so it taught me to hang on to my losses.

Eventually, day trading became scalping. We settle for a Big Mac instead of a Wagyu steak.

 

[newwurldmn]

opening range breakout

I am shocked that the system could lose 25% in a day. The amount of leverage required would be astronomical.