Index futures automation

Can a fully automated trading strategy work in the long run?

  • YES!

    Votes: 56 67.5%

  • Hell naw.

    Votes: 14 16.9%

  • I don't know, I got my own trading to worry about.

    Votes: 13 15.7%
  • Total voters
    83
I'm going to try out a mechanical strategy that I came up with this weekend. It came to me while I was taking a shit.

One trade a day , 1:1 rr. Have about 60/40 win rate based on my crude visual backtest. Maybe it's a fluke, but only way to find out is to trade it starting Monday.

The max cumulative loses will probably be hitting 30-40% if I trade with 2 nq contracts. I think I'm good with that.
 
hilmy83 said:
I'm going to try out a mechanical strategy that I came up with this weekend. It came to me while I was taking a shit.

One trade a day , 1:1 rr. Have about 60/40 win rate based on my crude visual backtest. Maybe it's a fluke, but only way to find out is to trade it starting Monday.

The max cumulative loses will probably be hitting 30-40% if I trade with 2 nq contracts. I think I'm good with that.
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First trade from the new "toilet" strategy worked like a charm.

If the >50% wr is maintained, I'll crack 6 figs this year no doubt.

I'll do a running tally of ticks made.

today: 272
total: 272


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hilmy83 said:
If the >50% wr is maintained, I'll crack 6 figs this year no doubt.
More...
With a 60% win rate, and a 1:1 Risk to reward ratio, it is positive expectancy, but it will also mean 3 or 4 losses in a row (below, it was actually a max of 6 losses in a row). I don't think we have ever seen you go through that. Will you be able to keep doing it consistently if an entire week is a loser?

If I run the numbers in a Monte Carlo spreadsheet, I get this. It does have positive expectancy, but the low PnL will essentially just be at BE after 200 trades. So statistically, you can end up on either of these PnL curves, the red one or the green one, or the white one, which is the midpoint, but anywhere between the green and red essentially.

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We have actually hardly ever seen you take losses. Your algo probably hid them quite well because of all the reverses so that it could end positive, and only a couple of times did you have a deep drawdown. Even with your manual trading, you had only one losing day I think. So either your win rate will actually be much higher, or we will eventually watch you lose 3 to 4 days in a row if you're sticking with just one trade a day. Are you psychologically ready for this? I'm rooting for you though and thoroughly enjoy reading your journal!!!
 
NoahA said:
With a 60% win rate, and a 1:1 Risk to reward ratio, it is positive expectancy, but it will also mean 3 or 4 losses in a row (below, it was actually a max of 6 losses in a row). I don't think we have ever seen you go through that. Will you be able to keep doing it consistently if an entire week is a loser?

If I run the numbers in a Monte Carlo spreadsheet, I get this. It does have positive expectancy, but the low PnL will essentially just be at BE after 200 trades. So statistically, you can end up on either of these PnL curves, the red one or the green one, or the white one, which is the midpoint, but anywhere between the green and red essentially.

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We have actually hardly ever seen you take losses. Your algo probably hid them quite well because of all the reverses so that it could end positive, and only a couple of times did you have a deep drawdown. Even with your manual trading, you had only one losing day I think. So either your win rate will actually be much higher, or we will eventually watch you lose 3 to 4 days in a row if you're sticking with just one trade a day. Are you psychologically ready for this? I'm rooting for you though and thoroughly enjoy reading your journal!!!
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Yup, it's going to be tough mentally to sit through losing day streaks. I think I can stick to it.

But losing streak when you're up, vs losing streak in a drawdown have totally different effect on psychology.
 
hilmy83 said:
No trades today, AMP margins up.

For Apr 2024: +$18,975

YTD is just about +12%

I'm thinking taking some funds out and put into CC ETFs. At least I won't risk 100% in trading. To be quiet honest, manual trading takes way too much effort. Half the time I'm half awake; it's like trading drunk. I miss the bot days.

Maybe this is the end of this journal until I figure out how to get back to auto trading again....





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To diversify, I took out 15k from the trading account earlier this month and invested in FEPI. This particular CC ETF focuses on top 15 tech stocks. I was thinking of going into YMAX, but their stock fund selection seems bit volatile I think. But man, 40% yield is just insane.



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NoahA said:
When I see this, the first thing I think is that by adding in bad habits, it would have turned out great... LOL.... Holding through a bigger drawdown could have meant a profitable exit, and scaling in would have also worked. :D
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You are playing Monday morning quarterback. Hard to do in real time.

I am sure his exit was by his methodology and since it has relatively low win rate, it is to be expected.
 
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