Trading FUTURES with IB

ahah Mike,

How could you make that amount in so little time ?
i bet everyone is waiting for you to go bankrupt !

I always say the bot is like an army, but a good general is what really makes the difference.

(Remember to also use the "discretionary bounds", to prevent the largest dd.)

Are you also running the new "ultraflat" version ?

I think i like it better, as it maches with my low propension to risk.

The reason why the "ultraflat" is so likeable is because the quick entry/exit have the purpose to quicky slide up/down over the price curve. Which make less probable a large dd (if one is not so unlucky to engage in large trading already at the very first entry.)
(In simulation the "ultraflat" has a very high Sharpe)

I am continuosly working on new improvements on both strategies. I think i want to transfer some character of the ultraflat to the ordinary strategy (let's call it the "rollercoaster").
I will update as soon as find improvements.

[Today i have added support for multimonitor (for the reporting system). ]


Good job!

Tom



the ultraflat (i am still in dd on the other one, mainly due to CHF crash):

<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3299585" width="1200" />
 

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ULTRA FLAT

this is how my ultra flat folio is looking, btw the results I posted include 3 folios, including this one.

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Quote from mickson:

DUE DILIGENCE

I continue to do a due diligence on the G-Bot project. To give you a better feel for it I have included a snapshot of my IB account (paper).

...

Go Tom.

:D
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hi Mike,

I know you are just testing the app and therefore you have loaded up a large folio.

You know more than perfectly that 38% a month is a sign of strong undercapitalization.

Actually trading that folio with 1M in the account i would rather expect a quick liquiditation very soon! ;-))


Tom
 
Quote from mickson:

ULTRA FLAT

this is how my ultra flat folio is looking, btw the results I posted include 3 folios, including this one.
...
QUOTE]

I made this almost as a an experiment, but must say, that being so risk adverse, i like this flat approach, even if very slow.

Note that after a while practically there will be <b>no more entries</b> due to expansion of the buy/sell fork (or in any case very prudential).

<b>New instances will need to be overlaid. In the new instances one may want to use the discretionary bounds, to avoid suicidal entries.</b>

(that is, we don't want the poor "blind" guy (g-bot) to make a buy on a clearly "high" price and viceversa, especially if we are building up our initial cushion. )


Tom
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The learning process continues:

To begin with Tom's comment about the leverage in the fund is 100% correct, the probability of a blow out is quite high. But then lets not forget who the General is :D

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Ok so I am a bit of a dummy when it comes to posting pics in a nice format. :confused:

The truth be told I have purposefully tried to "load" the overall portfolio to try and stress test the bot. So yes it can be argued that these returns are random.

Having said that I got off to an immediate drawdown and was very interested to see how long it would take to comeback. What becomes apparent while giving high commands to the bot, is that it tends to behave in a relatively mechanical way, which is of course what you would expect as it has been hard coded. That is not to confuse it with saying that it is predicting the market.

I don't think that I could necessary do justice to a descriptive narration of the PNL behaviour as I clearly dont have those facts, this is a black-box. However, I will say that from an intuitive point of view one can anticipate certain aspects of the model and how it will react.

Tom is clearly holding some cards back which I compliment him for doing as the process of actually trading the bot is where the learning takes place, and I am not sure there is a simple explanation for its behaviour.

In conclusion, I have set myself a new goal, and that is to firstly maintain my current profits, and secondly to grow them but at a more steady and modest pace. So I guess one can expect a reduction in the leverage, through the next drawdown phase. We will need to wait and see.
 
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