Is there anyone here who has a consistently profitable automated trading system?

[NoahA]

If the win rate drops to 75 % your expectancy is $0 gross per trade, so effectively negative after costs.

Yup, I see similar results. What gets me is that when we are all evaluating our trading, if I have a not great day, I get all depressed, but it can all be within the stats of a profitable system. What's also sad is that whether you make it or not is also a huge statistical anomaly. Both guys with the same rough metrics can vastly differ in their results after 200 trades, and this will all come down to chance.

Here is what I get for the 75% win rate scenario. If your PnL is the green line, you think you finally have made it, but seeing as the exact same system can yield the red line, you would be depressed and think you're just wasting your time. Of course hitting the green or red line isn't the likely outcome, but its really eye opening to realize that both are just as likely.

Are traders who are making money for a few years really just lucky up to that point?

So, can a 90 % win rate be maintained indefinitely? What if you compound and enter a losing streak after increase in size?

I think they do say when you are winning, you press it, and when in a draw down, scale back the size. I would like to make a coupe of million, count my blessings, withdraw a huge chunk of cash, and then trade some more. Maybe when you are up a few million and already made life changing profits, you take the money and run.

You may have lost me there, unless your point was that an algorithm isn't subject to emotions like manual traders,

Yes, exactly right. No emotions for the algo, and it wouldn't even really factor what excessive risk is because it would have to balance the risk with expectancy.

Mathematically, it's still subject to the same rules as every other system.

I think most of us, even if we are trading at peak performance, and even if we are automated somewhat, still wouldn't have stats to show what the odds are of this exact setup since they are all slightly different. But I imagine a really good algo would have all this available.

For example, if I take a long entry with some sort of moving average cross-over system that triggers at a 50% retracement of a rally, I have a certain sense of what the probability is of success. But by adding another variable, it can greatly affect the odds. A static algo system can only operate on what its been programmed to look for, but I think a system that is more adaptive can maybe make changes on the fly, so "its" math, would be much better than the math of what maybe @hilmy83 is doing which is more so fixed from my understanding.

 

[Laissez Faire]

Are traders who are making money for a few years really just lucky up to that point?

Makes you wonder...there's no doubt a great deal of luck both in life and trading.

I think most of us, even if we are trading at peak performance, and even if we are automated somewhat, still wouldn't have stats to show what the odds are of this exact setup since they are all slightly different. But I imagine a really good algo would have all this available.

Agreed.

On the subject of statistics, I'm not sure there's an easy answer, though. From a macro big picture view there's certain statistics that holds up very well long term over a large sample size.

I'm not sure the same is true within a micro view, i.e., the micro structure of the market.

To be clear, I'm not knocking on the algorithm or approach of Chris which seems great from my perspective. My comments were just general in terms of win rates and expectancy.

 

[NoahA]

We chose S&P E-Mini futures contracts because of the insane volume. At any moment you can look at the orderbook and there's thousands of contracts at the bid/ask price (and those are just the resting orders you can see). We can place a $25M market order and not move the market one tick. And with limit/stop orders, I don't even know what our max scale is.

This part surprised me a little. I took a couple of screen shots today and I honestly don't see more than about 150 contracts at any one price level. This is a 1 second chart, and we can see that even in that one second, where volume is no more than 200 contracts, some of these bars are still 3-4 ticks high, and hence 200 contracts worth of orders did move the market 1 point.

Now I'm not saying you can't do a market order for several thousand contracts, because I do see it happen, but this will clear out easily 2-3 points of orders, hence about 8-12 ticks. I'm sure your strategy isn't dependent on getting an exact, to the tick, fill, so I'm sure there is no issue for you, or would there be if you were trading 10 times the size, but I do think that trading 20-30 contracts will sometimes cause the market to move a tick or two because some of these levels that have resting order in the 2 digit category, hence less than 100 contracts, might be liquidity constrained if you are at the back of the que.

 

[chris.page]

This part surprised me a little. I took a couple of screen shots today and I honestly don't see more than about 150 contracts at any one price level. This is a 1 second chart, and we can see that even in that one second, where volume is no more than 200 contracts, some of these bars are still 3-4 ticks high, and hence 200 contracts worth of orders did move the market 1 point.

I guess I'm missing something. At the risk of stating the comically obvious (for anyone that's ever traded), Bid/Ask Size (quantities of contracts/shares sitting on the orderbook at the Bid and Ask prices) represent lots of 100. In the following screenshot just now:

The size "64 x 23" (which changes pretty much every second) represents 6400 contracts listed at the current Bid price, and 2300 contracts listed on the orderbook at the current Ask price. And with the current CME initial margin requirements, a $25M order is about 2000 contracts.

As S&P E-Mini contracts are one of the most heavily traded instruments on the planet, seeing 3000-6000 contracts available at any second at the current Bid/Ask price is normal. I have no idea what data you're looking at that says any different.

 

[toucan]

I guess I'm missing something. At the risk of stating the comically obvious (for anyone that's ever traded), Bid/Ask Size (quantities of contracts/shares sitting on the orderbook at the Bid and Ask prices) represent lots of 100. In the following screenshot just now:

View attachment 321056

The size "64 x 23" (which changes pretty much every second) represents 6400 contracts listed at the current Bid price, and 2300 contracts listed on the orderbook at the current Ask price. And with the current CME initial margin requirements, a $25M order is about 2000 contracts.

As S&P E-Mini contracts are one of the most heavily traded instruments on the planet, seeing 3000-6000 contracts available at any second at the current Bid/Ask price is normal. I have no idea what data you're looking at that says any different.

Hmmmm... i've been trading 25+ years and although i don't trade ES, and i'm not sure, but i seem to remember something about breaking up the original sp500 futures contract into emini contracts so retail traders could trade them. 100 emini contracts make up 1 original contract. similar to 100 Micro Emini contracts make up 1 emini contract. having said that, my price ladder, market depth and time/sales all show emini contracts and 64 X 23 would show the actual/real number of emini contracts and not 6400 X 2300.

im really old, so i might be wrong

toucan

 

[virtusa]

I guess I'm missing something. At the risk of stating the comically obvious (for anyone that's ever traded), Bid/Ask Size (quantities of contracts/shares sitting on the orderbook at the Bid and Ask prices) represent lots of 100. In the following screenshot just now:

View attachment 321056

The size "64 x 23" (which changes pretty much every second) represents 6400 contracts listed at the current Bid price, and 2300 contracts listed on the orderbook at the current Ask price. And with the current CME initial margin requirements, a $25M order is about 2000 contracts.

As S&P E-Mini contracts are one of the most heavily traded instruments on the planet, seeing 3000-6000 contracts available at any second at the current Bid/Ask price is normal. I have no idea what data you're looking at that says any different.

This picture is from a few seconds ago. So this sizes should be multiplied by 100?
Rithmic Pro.

 

[Overnight]

I guess I'm missing something. At the risk of stating the comically obvious (for anyone that's ever traded), Bid/Ask Size (quantities of contracts/shares sitting on the orderbook at the Bid and Ask prices) represent lots of 100...

That is 100% FALSE!

But you'd know this if you really traded CME futures. You're confusing yourself with stocks or options or some shit. Otherwise, the volume flow would be jumping by multiple 100s per second, and the volume would be 100X what it is at any given point.

When you see 64x23, your'e seeing 64x23. WYSIWYG

 

[chris.page]

I've reached out to our Interactive Brokers account rep to get a definitive answer.

It would blow my mind if these Sizes listed in their TWS platform are NOT 100 contract/share lots for Futures. Here's daily trade volume and open interest for ES:

With an average daily volume of 1.5M contracts, it's hard to think that those Bid/Ask sizes aren't in lots, BUT, if they aren't, and "64 x 23" actually means 64 and 23 contracts, then HOLY COW do we need to rethink the order types we're using...

I don't think we have one instance of a strategy that places a single market order entry for more than about 60 contracts, but across all strategy instances running in multiple accounts, our total entry (broken up into multiple orders) is easily a few hundred contracts. If it turns out we're already unknowingly moving the price with just that volume...

 

[Overnight]

...100 emini contracts make up 1 original contract. similar to 100 Micro Emini contracts make up 1 emini contract. having said that, my price ladder, market depth and time/sales all show emini contracts and 64 X 23 would show the actual/real number of emini contracts and not 6400 X 2300.

im really old, so i might be wrong

toucan

The ES is $50 per point x the SP index, so if SP is 4400, the ES represents $220,000.

10 micros make up 1 mini.

 

[chris.page]

That is 100% FALSE!

But you'd know this if you really traded CME futures. You're confusing yourself with stocks or options or some shit. Otherwise, the volume flow would be jumping by multiple 100s per second, and the volume would be 100X what it is at any given point.

When you see 64x23, your'e seeing 64x23. WYSIWYG

Oh, we're really trading them, but as I said in my message above, if that's the case, then we're already moving the price, but spread across 40-60 strategy instances placing the same order, we didn't realize it. Which will be a huge epiphany for us.