Trading FUTURES with IB

I have let run last week instance, even though it showed a nice profit and i could have grabbed it.

I opened a few clones (forcing Long entries) on CL, HO and NG (instruments with postfix "_C1").
The folio has a good realized (35K) which is currently being "reinvested" mainly in HO and NG.
(The corn is still stopped and paused.)

On friday there was another notable occurrence. A large price drop overnight (around 3:00am edt) for CL (see the spike down in the PNL). [Note that, here, friday 17 is considered bad luck! ;-)) ]
Also it reopened this week with further moves down (now bouncing back).

In the meantime, this week i have started another folio, which we will see in a next post (got rid of the corn! ;-)) .

Tom

<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3215411" width="1200" />
 

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I am sure you are curious what looked like the overnight price plunge on CL.

The following picture provides a view of the price move.

The smaller picture on the left is the "original" instance of CL (the one started on sunday). The circle shows the overnight drop.

The larger screenshot is a "clone" of CL (which i have started recklessly ;-)) after the first large price drop).


Tom

<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3215437" width="1200" />
 

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For this week i have modified the folio, taking out the corn and HO (too much oil!).

[The additional instance of NG is just for possible rollover (expiry: 6/28), and is not trading at the moment]

The problem with the agricultural stuff seems the lack of rich fluctuations (as present in CL of GC, for instance), which probably make them more suitable for a directional approach.
A question of "personality" !

Tom

<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3216347" width="1200" />
 

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This folio has remained well balanced so far. (I rolled NG)

Most "efficient" so far: CL, RB, HG. The efficiency (here measured in terms of reward/risk ratio, clearly is a variable quantity, just like volatility or "speed").
However, if i should give a rank based on my experience so far, i would say (in very general terms):

1 energy
2 metals
3 indexes and currencies
4 agricultural

Clearly, this something "strategy-dependent". With our strategy, instruments with more rapid "fluctuations" tend to be more "efficient".
"Long" waves aren't very good (especially if one is impatient ;-)) as they enlarge the timeframe). Anyway, having different timeframes in the same folio, can be good...

Tom

<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3217439" width="1200" />
 

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It's night here now (luckily PNL has increased to 12K).

Here is a screenshot of all trades made by RB (one of the most active, along with CL).

[ In the meantime, i am working on a new strategy variation, and it's possible that next week i will be able to start with a new strategy update (if i find a performance improvement). ]


Tom

<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3217641" width="1200" />
 

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Pretty lucky run (3.5 days).

[ When i see profits on thursday, i have always the feeling to close all (and skip the friday) ... ;-))) ]

<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3217884" width="1200" />
 

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Fabulous crash overnight in the energy sector. [This time we got lucky again not to be hit]. Realized 29K, PNL 21K, max investment 9K, min PNL -2K, 3.84 days.

Here is RB, with the single trades.

<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3218389" width="1200" />
 

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This is NG. It also experienced a large drop.

The vertical line (maroon) indicates where i performed the rollover (green and orange order).

The 2 price curves (of the 2 different contracts) are "joined" by the app (and the strategy information also transferred).

<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3218443" width="1200" />
 

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Here is the global situation of this good run. 4 days

In the chart below there are the relative "efficiencies" of the various instruments. These are the reward/risk ratios, that is the ratio:

avg daily profit / max investment ever *100K

a measure of how effectively the "investment" (on each instrument) is being used (so far) by each instrument, to generate profits.

Some have evolved from negative to positive , like ZB and GC (mostly due to directional changes).

<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3218633" width="1200" />
 

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Reached the end of the week with a very good realized (35K).

Next week (starting sunday) i will try a new strategic variant, adding 2 more strategic layers, and comparing with the previous version.

I am currently running simulations and i am seeing some (small) improvement. Will see if it also is reflected in live trading.

Tom

<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3220021" width="1200" />
 

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