NQ Fully Automated Trading System

This system was set up to capture short term swings using high leverage. I like the tax advantages of futures. Unfortunately contracts expire. Its pretty simple and I like that.
 
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globalarbtrader said:
Actually it depends on the profitability of the system; basically it's a function of the square root of the number of data points (trades) and the average return/risk of those trades. The more profitable the system, the less data we need to be confident. So it's only true that more trades automatically means more confidence if the profitability of the system also goes up proportionally as root(T) reduces. Eyeballing that system, I'd say it has a sharpe ratio of 1, which means it's about as good as a system with one month holding period and a SR of 1/root(20) = 0.22. You'd need decades of data to be statistically confident about a SR 0.22 system with monthly holding period. Hence my comment.

(This assumes there is zero overfitting in the backtest, which with just 10 months worth of data seems a little unlikely).


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This is not a back-tested creation. I've tried that, with some success. In the end, these back-tested creations always fell apart. I guess you could say this is over a decade of staring at stock index futures and putting it together. It may very well fall apart but hasn't yet.
 
I have created strategies with tick data (NQ) with about the same amount of data (less that a year) and while these systems had good backtests with high trade counts, they did not perform well live. I abandoned this style of auto trading because it was to distracting with my day job. If I were to develop another day trading tick data strategy, I would spend the money to get at least 10 years of tick data.
 
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Rickshaw Man said:
Slippage is thru the roof running micro contracts. If it took fewer trades that would be a possibility.
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How much latency do you have with your entry and exit orders, how many milli seconds between you getting an entry/exit signal and the order for the signal actually getting filled?

Do you need co-location for this strategy to be successful?
 
fan27 said:
I have created strategies with tick data (NQ) with about the same amount of data (less that a year) and while these systems had good backtests with high trade counts, they did not perform well live. I abandoned this style of auto trading because it was to distracting with my day job. If I were to develop another day trading tick data strategy, I would spend the money to get at least 10 years of tick data.
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I will continue to monitor this system going forward. No adjustments have been made for over 12 months. To my surprise it continues to perform well. I keep waiting for back to back monthly losses to occur. Some months start out losing and i think to myself, it's going to crash now, but it always recovers, as long as i don't mess with it. I will post the daily performance at market close.
 
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