No dd so far: Oil (cl, qm, ho) spiked up.
<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3130845" width="1200" />
<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3130845" width="1200" />
Robotrading: CT + Trending Strategy on folios of futures
- Thread starter fullautotrading
- Start date
Here is the spike (CL)
<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3130861" width="1200" />
<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3130861" width="1200" />
Yesterday big problems with Nymex datafeed. At same time Si was running away. Anyway today recovered the gap.
See thread:
http://www.elitetrader.com/vb/showthread.php?s=&postid=3133343#post3133343
<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3133350" width="1200" />
See thread:
http://www.elitetrader.com/vb/showthread.php?s=&postid=3133343#post3133343
<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3133350" width="1200" />
Luckyest performer was RB this time, which rised 3K (realized almost 4K) with very little dd.
<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3133668" width="1200" />
<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3133668" width="1200" />
So this week we have "stolen" these 10K from the market, even with the nasty gap (Nymex issue with IB, see thread:
http://www.elitetrader.com/vb/showthread.php?s=&postid=3133343#post3133343 ).
Actually this game is pretty insensitive to gaps.
I am actually working on a few variants to reduce further the exposition and reverse earlier.
(I was testing that today. And i got quite lucky stealing another 7K just today ;-)) Will show the picture later.) Which also reminds the importance of overlaying folios !
<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3134829" width="1200" />
Next week, i want to start trying new variations with earlier inversion. After all, all our "core business" is in the CT game and we need the reversion to "wrap up" the range, and don't let these adventurous guys run away and inflict some large dd.
On the other hand we cannot even be too tight, or else the hedging game will eat up too much realized.
Tom
http://www.elitetrader.com/vb/showthread.php?s=&postid=3133343#post3133343 ).
Actually this game is pretty insensitive to gaps.
I am actually working on a few variants to reduce further the exposition and reverse earlier.
(I was testing that today. And i got quite lucky stealing another 7K just today ;-)) Will show the picture later.) Which also reminds the importance of overlaying folios !
<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3134829" width="1200" />
Next week, i want to start trying new variations with earlier inversion. After all, all our "core business" is in the CT game and we need the reversion to "wrap up" the range, and don't let these adventurous guys run away and inflict some large dd.
On the other hand we cannot even be too tight, or else the hedging game will eat up too much realized.
Tom
This is the lucky friday run. Now have restarted a new session. I have also added EMD, to keep a watch on it. Overnight had some drawdown, but nothing really "significant" for a 21 instrument folio. The new folio has just closed at about 2K.
(I did not have enough time to test the tigher reverse; also this week is going to be a little busy with several meetings, so probably i can do that next week, hopefully.)
(Clearly in a real money scenario, where we don't really like to have dd, we would proceed more carefully in folio selection, possibly using bounds, and overlaying appropriately multiple folios. In a testing scenario dd is even "good", as allow us to understand better hedding mechanisms and possibly develop further ideas.)
<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3136363" width="1200" />
(I did not have enough time to test the tigher reverse; also this week is going to be a little busy with several meetings, so probably i can do that next week, hopefully.)
(Clearly in a real money scenario, where we don't really like to have dd, we would proceed more carefully in folio selection, possibly using bounds, and overlaying appropriately multiple folios. In a testing scenario dd is even "good", as allow us to understand better hedding mechanisms and possibly develop further ideas.)
<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3136363" width="1200" />
This is the new folio (with EMD added); it just closed all after some tiny overnight dd, to allow sliding with mkt.
<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3136375" width="1200" />
<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3136375" width="1200" />
The mini folio closed again. Actually it had a quite lucky start (dont' be fooled by lucky runs, a folio like this can experience very large dd!). Most lucky instruments have been SI, RB, HO, CHF.
<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3136723" width="1200" />
<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3136723" width="1200" />
These are, in particular, the single trades, up to now, of the luckyest: SI (silver).
<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3136752" width="1200" />
<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3136752" width="1200" />
RB is confirming the behavior we have seen last week too. Nice fluctuations, that the bot enjoys a lot.
<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3136973" width="1200" />
I am currently testing (in the sim environment) some new ideas, consisting of "sliding entries". A concept parallel to that of trailing stop, but applied to the entry signal.
Tom
<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3136973" width="1200" />
I am currently testing (in the sim environment) some new ideas, consisting of "sliding entries". A concept parallel to that of trailing stop, but applied to the entry signal.
Tom