My Automated Trading Journal - CL on NinjaTrader

[arsene007]

Hi Everyone,

so was thinking of sharing here the results on a weekly or biweekly basis of a strategy that I have developed on crude oil , backtested and deployed using NinjaTrader. The strategy is trend following and mean reversion combined in one. I started trading since May with a starting capital of 4500 usd. It is fully automated and I leave my computer at home while working in my day job as a data scientist.
By now, it has done more than 200% return with a max drawdown of - 64% of the starting capital.

 

[traider]

What is the sharpe ratio? Drawdown of 64% is huge, is there anyway to minimise that?

 

[arsene007]

Sharpe ratio of 0.88. For the drawdown, it can be minimized if I start with a larger capital, say 10 000 usd for example. then you only have about 30% drawdown. That's another way to look at it. But I have done a lot of digging and work to bring it to that level.

 

[RedDuke]

Who is your broker?

 

[arsene007]

Who is your broker?

NinjaTrader Brokerage

 

[fan27]

How do you monitor your system while at work?

 

[RedDuke]

NinjaTrader Brokerage

I use ninja myself, but after such a draw down don’t use the max margin???? Unless you day trade.

 

[arsene007]

I use ninja myself, but after such a draw down don’t use the max margin???? Unless you day trade.

It is a day trading strategy. 1 to 3 orders per day.

 

[arsene007]

How do you monitor your system while at work?

I used remote desktop of google chrome or some other remote connection software to check that the strategy is doing what it is supposed to. So far all good.

 

[fan27]

I used remote desktop of google chrome or some other remote connection software to check that the strategy is doing what it is supposed to. So far all good.

If you are interested in a more robust solution, follow this thread. I will be open sourcing my setup for monitoring sometime this month.

https://www.elitetrader.com/et/threads/anyone-running-a-c-based-ats-hosted-on-aws.334577/