Something new I've been working on

[taowave]

Hey there,are you the same Dustin who traded 0-1DTe
options from the long side??

I've always focused on stocks/options but intraday stock volatility is awful and has been for some time, which is why I've put a lot of time and effort into this.

 

[Dustin]

Hey there,are you the same Dustin who traded 0-1DTe
options from the long side??

Yep

 

[Rams Fan]

The bane of social media, for me, is unrequited curiosity.

 

[zghorner]

i like the project man. Curious about something similar only designed for the VIX on higher time frames.

 

[Dustin]

I put in a lot more hours in the past week and got it working with NT backtesting...which means I could tweak and make everything much better. There is still plenty of work to do to fully build it out, but the framework is here.

Here are the past 8 trading days which captured 430 NQ points (this is sim backtest). These results are trading 1 NQ roundtrip. I have ideas on order management for multi-contract trades, but this is just for testing.

I said earlier in the thread that I'm only interested in the open, but this is flipped now. These results do not include the open. I will create a new strategy similar but dedicated to the open which is a whole other animal.

Also, details I mentioned earlier do not apply now. This version is totally different from earlier versions.

It had one small losing day, and today was very slightly green.

 

[Dustin]

this is pointless if the orders are not marketable

Explain, I’m already running it on MNQ for testing and the signals are correct.

Keep in mind this is a low frequency strategy in a liquid instrument.

 

[destriero]

Are the fills essentially market orders or marketable limit orders?

 

[destriero]

How much slippage? You need to factor say $40/RT for slippage and $4 comms.

 

[Dustin]

Are the fills essentially market orders or marketable limit orders?

market orders for testing

 

[Dustin]

How much slippage? You need to factor say $40/RT for slippage and $4 comms.

yes, I need to add the commissions which would’ve been about $600. Also keep in mind that ninja trader back testing is not perfect because it takes the price at the beginning of the following bar which actually hurts the strategy since I’m chasing trend. My actual results so far have been slightly better than back testing results.