Hi longandshort,
The 5m mean reversion is just one arrow in the quiver. I just chose it to start this journal, but will vary approach as I move forward and find my feet with futures.
It’s a Micro (ES) adventure…
- Thread starter TraderDaveUK
- Start date
Hi longandshort,
The 5m mean reversion is just one arrow in the quiver. I just chose it to start this journal, but will vary approach as I move forward and find my feet with futures.
I’d recommend reading Ernie Chan. He published a great book on trading futures and is considered one of the pioneers of using data analytics applied to trend following intraday, at least in the hedge fund world.
Hello Traders,
I missed posting on Friday last week, as due to some work commitments, I didn't have the opportunity to do any trading, algo or otherwise.
However, this weekend, I've updated my algo based on some recommended reading from users of this forum. I'll now be trading v1.3 of the algo.
The algo now encompasses the ability to trade two different strategies in the one algo, namely a momentum strategy for catching trending opportunities, and a mean reversion strategy for the times when those trends are ending, and price is reverting. Only one trade at a time, we're either in a momentum trade, a mean reversion trade, or we are not in a trade at all.
The basis of both strategies includes measurements of ATR combined with measurements of standard deviation via Bollinger Bands, continuing to run on the 5m chart of the Micro ES futures contract.
I've also tested the revised algo on the Micro NQ contract, and it returns similar results on the same timeframe. I realise there's a high degree of correlation between these two markets, but it's encouraging all the same that the two strategies exhibit the same behaviours over these two markets. To me anyway.
The only question remaining, is that with the expected election related turmoil in the markets this week, is it a good time to start? I'm guessing the expanding volatility can only be a good thing.
We'll find out for sure!
I missed posting on Friday last week, as due to some work commitments, I didn't have the opportunity to do any trading, algo or otherwise.
However, this weekend, I've updated my algo based on some recommended reading from users of this forum. I'll now be trading v1.3 of the algo.
The algo now encompasses the ability to trade two different strategies in the one algo, namely a momentum strategy for catching trending opportunities, and a mean reversion strategy for the times when those trends are ending, and price is reverting. Only one trade at a time, we're either in a momentum trade, a mean reversion trade, or we are not in a trade at all.
The basis of both strategies includes measurements of ATR combined with measurements of standard deviation via Bollinger Bands, continuing to run on the 5m chart of the Micro ES futures contract.
I've also tested the revised algo on the Micro NQ contract, and it returns similar results on the same timeframe. I realise there's a high degree of correlation between these two markets, but it's encouraging all the same that the two strategies exhibit the same behaviours over these two markets. To me anyway.
The only question remaining, is that with the expected election related turmoil in the markets this week, is it a good time to start? I'm guessing the expanding volatility can only be a good thing.
We'll find out for sure!
Three trades today off the new version of the algo, resulting in a small profit.
Running PL: -$119.97
Running PL: -$119.97
Switched off the algo and taken myself out of the market at this point today, as there may be a wild ride ahead, but a decent session, with 3 solid wins from the momentum move to the long side this morning.
Running PL: -$21.17
Running PL: -$21.17
Despite a fair range of movement today, only 2 trades triggered on the algo, both losers.
Running PL -$98.39
Running PL -$98.39
Only traded the first couple of hours of the US session today due to some other commitments, but a decent day with 3 out 5 going my way at increased size per my sizing and position management approach.
Most importantly, moved into positive territory!
Running PL: $55.56
Most importantly, moved into positive territory!
Running PL: $55.56
Just the one trade from me today.
Running PL $76.07 (3.6% Return)
Running PL $76.07 (3.6% Return)
Dave, I noticed two things that worry me as an observer, first, is that you manual traded once to pull yourself from a 400 loss to -100-ish, and then your -100 ish loss became positive by using your algo BUT trading several times of the losing streak sizes.
Will the market goddess be so kind next time you pull these two tricks? You prob. want to stick to your algo and rely on it to recoup losses, and if your algo does not call for increasing size by itself, maybe you should not do that as the controller? Since this maybe double edged sword. Just my two cents.
Will the market goddess be so kind next time you pull these two tricks? You prob. want to stick to your algo and rely on it to recoup losses, and if your algo does not call for increasing size by itself, maybe you should not do that as the controller? Since this maybe double edged sword. Just my two cents.