rt ES ATS journal

Another slow, grinding day during earnings season.

Thursday, 04/09/2009
Security: ESM9
Session PNL: ($338.40) USD
To-Date PNL: $4,082.90 USD
Account Balance: $89,460.04
 

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Nice Journal!

I have been pondering weekly optimizations also, but not sure the best way to go about it.

How do you decide on what time period to optimize on? Do you get next weeks parameters from optimizing last weeks data, or last months, or the entire contract length, etc...

Thanks,

Chicago
 
Quote from Chicago:

Nice Journal!

I have been pondering weekly optimizations also, but not sure the best way to go about it.

How do you decide on what time period to optimize on? Do you get next weeks parameters from optimizing last weeks data, or last months, or the entire contract length, etc...

Thanks,

Chicago
More...

The in and out of sample lengths are based on weeks. So I will pick a certain number of weeks for in-sample optimization, and a certain number of weeks for out-of-sample evaluation.

The tool I built will scan combinations of in and out of sample weeks to profile what values are generally the optimal while remaining robust.

If you use a day unit for length values, you can wind up with inconvenient numbers, for example, re-optimize every 7 sessions. Why is this inconvenient? because you'd have to mark your calendar every 7 sessions and remind yourself to re-optimize. Also, the days you optimize depend on what day your historical data starts.

It's easy to remember to run optimizations during the weekend only. Furthermore, using days as unit of length won't really help you find a robust combination, but rather heighten the risk of curve-fitting.

hope that helps,

rt
 
Not much happening in the markets these days, let's see if we can get a little volatility soon.

Monday, 04/13/2009
Security: ESM9
Session PNL: ($143.20) USD
To-Date PNL: $3939.70 USD
Account Balance: $89,316.84 USD
 

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The account balance has exceeded $90,000.00 USD (just barely), so it is time to increase position size from 2 to 3 contracts.

Tuesday, 04/14/2009
Security: ESM9
Session PNL: $849.10 USD
To-Date PNL: $4788.80 USD
Account Balance: $90,165.94 USD
 

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I have a policy of reducing size to one-half normal on options expiration days. Experience has told me these days can be choppy.

Friday, 04/17/2009
Security: ESM9
Session PNL: $483.70 USD
To-Date PNL: $7,089.54 USD
Account Balance: $92,466.68 USD
 

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Nice, downward trend the whole session. System only took one short position with 3 contracts.

Monday, 04/20/2009
Security: ESM9
Session PNL: $1,673.10 USD
To-Date PNL: $8,762.64 USD
Account Balance: $94,139.78 USD
 

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