Yesterday, we have been hitting a new high-water mark at $4.979M (after 164 days) with around 130K commissions and almost 8,000 fills. Interestingly, this time I have been able to grow the PnL and especially the G-L (the green dotted curve, which could be interpreted as the "current maximum potential profit") without sharp drawdown (DD), thanks to the use of "hedgers" (layers programmed to systematically trade against other layers). This usually allows to capture the price fluctuation and to "neutralize" the wildest directional moves.
We have momentarily a significant "load", mostly allocated on some layers of CL and SI, as it is also reflected in the current DD map:
while, the PnL, instrument by instrument, is distributed as follows:
SI is still fluctuating up and down, like an ECG, in a relatively small range, thus allowing "easy" gains:
The few options we have been playing with, using "enqueued orders" (pre-programmed entry/close point) and continuous rollovers, have also been eroded by decay. Example:
(This is showing the "continuous" chart of:
CL FOP 20180315 64 P NYMEX 1000 → CL FOP 20180315 65 P NYMEX 1000
CL FOP 20180315 65 P NYMEX 1000 → CL FOP 20180417 65 P NYMEX 1000
CL FOP 20180417 65 P NYMEX 1000 → CL FOP 20180615 65 P NYMEX 1000
CL FOP 20180615 65 P NYMEX 1000 → CL FOP 20180816 65 P NYMEX 1000 )
We have momentarily a significant "load", mostly allocated on some layers of CL and SI, as it is also reflected in the current DD map:
while, the PnL, instrument by instrument, is distributed as follows:
SI is still fluctuating up and down, like an ECG, in a relatively small range, thus allowing "easy" gains:
The few options we have been playing with, using "enqueued orders" (pre-programmed entry/close point) and continuous rollovers, have also been eroded by decay. Example:
(This is showing the "continuous" chart of:
CL FOP 20180315 64 P NYMEX 1000 → CL FOP 20180315 65 P NYMEX 1000
CL FOP 20180315 65 P NYMEX 1000 → CL FOP 20180417 65 P NYMEX 1000
CL FOP 20180417 65 P NYMEX 1000 → CL FOP 20180615 65 P NYMEX 1000
CL FOP 20180615 65 P NYMEX 1000 → CL FOP 20180816 65 P NYMEX 1000 )