Starting long algo here, expecting market to trend either dir.
Snuskpelle's (kind of) Intraday Adventures 2019
- Thread starter Snuskpelle
- Start date
Close for -12, not going anywhere. Euro session might be more fun.
Started long algo on NQ, data release not so horrible and some mean reversion already took place from open.
Closed -6, not being as straightforward as I hoped. Besides, my entry was kind of shit (above turnaround point so better get out of it).
Waiting for HK33 open. If it was to break pattern of previous days to trend down strongly after open I will take long pos
Nah, it's going down. Who could've thought. But since I have a mental block against placing bets against my perceived bias I can't exploit it. Automating away my bias remains a prio.. less talking more coding.
New week, hopefully I get some actual time away from GF to trade.
Have coded a purely automated strategy I might withdraw $10 000 for a sub-account for (which will mess with the balance of this acc). Results on this acc has been shit anyway with +8% YTD at time of writing, a far cry from aim outlined in OP, meawhile my B&H equities are up +18% with no effort required... Going to continue trying of course as stated on last couple of pages but I might as well allocate my experimental capital to more strategies that do not demand my manual intervention.
Have coded a purely automated strategy I might withdraw $10 000 for a sub-account for (which will mess with the balance of this acc). Results on this acc has been shit anyway with +8% YTD at time of writing, a far cry from aim outlined in OP, meawhile my B&H equities are up +18% with no effort required... Going to continue trying of course as stated on last couple of pages but I might as well allocate my experimental capital to more strategies that do not demand my manual intervention.
Changes since last:
- Exchanged all EUR to USD, both because of requirements for algohost to work correctly, and because nearest years I'm about skeptical towards the EMU lasting.
- Running two algos now on 18k, each with 1.2 Sharpe. They are very basic just doing leverage control, not directional guesses.
- Forward testing a market neutral Sharpe 2.7 algo I discovered by accident while testing some correlations trades, but as usual my expectation is this is caused by some bug or data flaw... If it works, I will definitely switch over a lot of capital to this one.
Gave in and closed down production algos awaiting Fed rate decision tomorrow, I can't predict the outcome of this and I'm up 2% since starting them last week. Not comfortable leaving leveraged dumb beta algo running through this event. Forward test of market neutral algo proceeds however.
So uh, worst exit ever? Would have been up 5% today or so... Only chance for redemption is if Powell fails to deliver more wealth disparity (rate cuts) tomorrow. 