Robot Trading on futures - ES et al

I

iuykcif

Robot Trading on futures

ES NQ YM

Same strategy with different parameters.

On 2 accounts of 2 different individuals sharing (possible) profits and losses:

<a target="_blank" href="http://www.datatime.eu/public/TradingDiary/FuturesDiary.htm"> Diary First 4 hours... to be continued in the next hours</a>


Strategy details: position difference between accounts is constrained (2)
 
...while we are waiting the next scalps, let me give a few hints on this particular game.

General idea.

The robot buys and sells keeping the situation between accounts mostly balanced.
"Unbalance" is created to the purpose of scalping. And balance is recreated as soon as possible.
The profitability of the game is drastically affected by the position constraint:

| PosL - PosS | <= 2

This constraint is the most conservative applicable and clearly limits to the minimum the profitability of the strategy, as the 2 separate scalpers cannot work freely.
On the other hand, it ensures that the unbalance between account remains limited.
Clearly the constraint can be loosened:

| PosL - PosS | <= k

where k>=2, the higher k, the more profitable the game. But also, say, a little more risky.

Later on I will show (in backtest) what would have happened if we remove the constraint.

Another factor which affects drastically return is the choice of the range to scalp. Clearly, the smaller the higher the returns, but also higher the max position reachable on each account.
 
I'll PM you, if i may.

I do not wish to be kicked out.

(The frustrated loser ET-cop may pop out at any time ;-)

Let's discuss the game here.

Ideas on money management and use of options ?

It touched 1915. Now it's 1434.
Could shut down actually, but I will let it run...

Quote from Dobbes:

What program is that?
More...
 
I do not see them. But perhaps it's due to ignorance.

If you see them please bring them out for discussion.

Also, since you seem to like options, do you see some useful use of them to add to the game?


Quote from Kedwards:

Hi uoykcuf,

Does the strategy have similarities to gamma scalping?
More...
 
Well to be honest I don't understand the strategy, lol.

I think gamma scalping is mainly used to lock in gains from a rise in volatility off an options straddle position; I thought I could see some similarity in that you are buying and selling futures around some type of core position/price/pivot.
 
Current Realized update

ES 1,024.00
NQ 540.80
YM 454.02

Only NQ has working contracts at the moment. The are two are flat.

Later I will provide the graphs with trades ...


PS
The reason while I like to talk of realized and not P&L is that in this game the realized is strictly monotonic, as it runs hedging and not stopping
 
You have a good intuition. Don't worry if you don't' seem to understand it, I don't either... :-))

No seriously, it's just tight curve scalping, nothing really transcendental or rocket science.

Think of it like you want to to grab any small price change up and down.

Here the situation is complicated by the position constraint which makes difficult to actually "see" the scalps.

(If one remove the constraint the profits go to the roof. But more money is needed on each account.)

Any bright idea to further protect accounts with options too ?


QUOTE]Quote from Kedwards:

Well to be honest I don't understand the strategy, lol.

I think gamma scalping is mainly used to lock in gains from a rise in volatility off an options straddle position; I thought I could see some similarity in that you are buying and selling futures around some type of core position/price/pivot. [/QUOTE]
 
Did u design this strategy yourself? I like what I see, would like to know more under the hood of what it tried to do. Good work!
 
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