Let's take advantage of the holidays to take a look at the global report created by the broker for this trading session to the end of the year (Happy New Year, btw). The application has been running about 116 solar days now, with over 2,300 filled lmt orders:
[For those interested in examining all the single orders and trading details, I am also attaching below the complete report (zipped file with the download of the html report.) ]
Strategy summary
As discussed, in this test we have been experimenting the following approach:
For each instrument, we have been considering price levels on which to create "trading corridors". For each corridor, we have opened 3 layers (2 of which with opposite "long/short constraints", and one used to create further hedge in case the first two layers align in the same direction.)
The above games would mainly either capture price fluctuations, or wait for larger local price reversions.
Then, we have also integrated with "enqueued orders" (orders automatically triggered on certain prices) on ETFs, in order to capture also the drifting component of some instruments.
The general crucial conceptual point has been the preservation of the "trading information" through the concept of players, which essentially allows us to recover the "stops" ("hedging players"), and the information transfer (when we needed to roll over instruments.)
Note that the largest number of corridors we needed to consider in the period is just 3.
In a next experiment, I would like to try some different arrangement of the layers. In fact, I feel that, for drifting instrument, having 1 or 2 layers forced against the drift, is probably something we may want to avoid.
[For those interested in examining all the single orders and trading details, I am also attaching below the complete report (zipped file with the download of the html report.) ]
Strategy summary
As discussed, in this test we have been experimenting the following approach:
For each instrument, we have been considering price levels on which to create "trading corridors". For each corridor, we have opened 3 layers (2 of which with opposite "long/short constraints", and one used to create further hedge in case the first two layers align in the same direction.)
The above games would mainly either capture price fluctuations, or wait for larger local price reversions.
Then, we have also integrated with "enqueued orders" (orders automatically triggered on certain prices) on ETFs, in order to capture also the drifting component of some instruments.
The general crucial conceptual point has been the preservation of the "trading information" through the concept of players, which essentially allows us to recover the "stops" ("hedging players"), and the information transfer (when we needed to roll over instruments.)
Note that the largest number of corridors we needed to consider in the period is just 3.
In a next experiment, I would like to try some different arrangement of the layers. In fact, I feel that, for drifting instrument, having 1 or 2 layers forced against the drift, is probably something we may want to avoid.
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. As anticipated in the previous posts, we had a large position with crude oil both with CL (long) and SCO (short), so we are currently in a phase of significant DD due to this "load". I have also a bit "overloaded" the position with SCO, as the price seems attractive, and we have enough risk capital (current maint. margin about 700K), so we are currently about -21% underwater due to this new "investment".