Robotrading: CT + Trending Strategy on folios of futures

This is the "kitchen sink" folio at the moment (with <b>newer form of exit</b>). Accumulated 35K in 17 hours.

We do have some worrying dd, but also quick profit sometimes ;-)

<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3172193" width="1200" />
 

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Here is a follow up of SI chart with the new exit rules.

Folio PNL raised to 39K during the night (realized 46K in less than 1.5 days).

(To really get how crazy SI is, consider that any 2 green horizontal lines in the picture below means a $250 value. No wonder about the large margins required)

<img src= "http://www.elitetrader.com/vb/attachment.php?s=&postid=3172720" width="1200" />
 

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Here is a detail of the new exit concept.

This show how, even in the "investment" phase, the bot is scalping.

THis adds to PNL and shifts entries (up in this case).

I think is a worth mechanism, which deserves to be studied further and possibly enhanced.

<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3181349" width="1200" />

In order to make the investment more bearable psycologically i think that 2 things are useful:

- The "realized line" which somehow expressess dinamically your new "ZERO" line.

- Regarding the investment (or drawdown) as the <b>money which is invested to place a good position on the right side of the mkt.</b> (as the bot builds very gradually the position, with a very parsimonius attitude, spacing up entries)

Maybe a delusion, but these thoughts might help ;-)


Tom
 

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Quote from etile:

Have you gone live with the system yet? Or are the results posted forward-testing of your algo with live datafeed.
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Hi etile,

if you wanted to know if i have really gone to the beach, the answer is no ;-))) Actually developing trading algorithms this is too fun and addicting to be compared with many other things :-))

The strategy (or i should use the plural, as this is something changing on a daily basis) is currently being traded <b>live with real money by some investors</b> (who clearly are independently responsible for their <b>meaningful folio choices</b>), but the specific results shown here are obtained on IB paper trading accounts. (Not that it would make any difference, except that sometimes the paper trading system migh experience some latencies and execution issues, which are less frequent when trading with real money.) The folio shown here is not really meaningful. As said, it is just a "kitchen sink folio" (as my canadian friend darkcanuck has named it) used for testing purposes to provide a variety of situations and rather to meditate on the best strategic actions to cope with large drawdowns (or "investments", as i like to think of them).

Tom
 
Tom,

I understand the folio based profit taking and hedging... Your Results are impressive... Kitchen Sink folio is really a nice FIFO sequence of trades giving preference to the most active and volatile instruments.

Forcing a folio close appears to allow the algo to slide with the market without requiring each of the instruments to retrace into profits... just the sum / unrealized.


How can you better control and keep the Folio balanced? ie. SI will be the bulk of your folio results based on its faster movement, contributions from slower instruments seem to have little impact and in many cases never open a position.

Looking at your 100K / 4 days folio can you break down the contributions by instrument? 48K DD

I'm thinking after a folio close when you start a new folio of positions the faster moving instruments will open first. Would it make sense to rank the instruments based on their immediate price movement and maybe set the 2nd or 3rd instrument set to open to make a counter play? Kind of a safety hedge to keep the folio sequentially balanced?
 
Quote from PocketChange:

Tom,

I understand the folio based profit taking and hedging... Your Results are impressive... Kitchen Sink folio is really a nice FIFO sequence of trades giving preference to the most active and volatile instruments.

Forcing a folio close appears to allow the algo to slide with the market without requiring each of the instruments to retrace into profits... just the sum / unrealized.


How can you better control and keep the Folio balanced? ie. SI will be the bulk of your folio results based on its faster movement, contributions from slower instruments seem to have little impact and in many cases never open a position.

Looking at your 100K / 4 days folio can you break down the contributions by instrument? 48K DD

I'm thinking after a folio close when you start a new folio of positions the faster moving instruments will open first. Would it make sense to rank the instruments based on their immediate price movement and maybe set the 2nd or 3rd instrument set to open to make a counter play? Kind of a safety hedge to keep the folio sequentially balanced?
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Hi PocketChange,

your remarks are always insightful.

Frankly, this folio was to me just an ensemble of whatever instrument i could readily find for testing, a "kitchen sink folio", as darkcanuk defined it ;-))
I did not think about the aspects you are pointing out: i would not be completely surprised if someone would really start using the "sink" for trading ah ah!

Actually SI is a "soloist player" and should probably be removed, as it spoils all the folio game and is probably by far too risky, and if something went wrong with it, it would draw the entire folio in a possibly long "stagnation". In this case it alone contributed for more than 1/3 ! Maybe will post the trades of some intruments ...

So you are perfectly right.

I don't see many other ways than to remove it. Maybe it could join a folio of "big" contracts, if one has real big money to invest.
It's something i have to think about, and i'd like to hear you guys' thoughs.

I had the idea to add a nice chart with all instrument "relative contributions" (to be defined), i think it would be useful also to form future folios.

Last question is more difficult and deep. I want to think about it.


Tom
 
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