fullautotrading
Registered: Mar 2010
Posts: 593 |
08-17-10 11:43 AM
As anticipated friday, have restarted an algorithm variation with a bigger folio (20 instruments). Initial packet size 1 contract. Min trade size = 300$
Chart update
The new folio is:
ES FUT 201012 GLOBEX 50 E-mini S&P 500
YM FUT 201012 ECBOT 5 Mini Sized Dow Jones Industrial Average $5
NQ FUT 201012 GLOBEX 20 E-mini NASDAQ 100 Futures
AUD FUT 201012 GLOBEX 100000 AUD.USD (6A)
GBP FUT 201012 GLOBEX 62500 GBP.USD (6B)
CAD FUT 201012 GLOBEX 100000 CAD.USD (6C)
EUR FUT 201012 GLOBEX 125000 EUR.USD (6E)
CHF FUT 201012 GLOBEX 125000 CHF.USD (6S)
MXP FUT 201012 GLOBEX 500000 MXN.USD Forex (6M)
NZD FUT 201012 GLOBEX 100000 NZD.USD Forex (6N)
ZB FUT 201012 ECBOT 1000 30 Year US Treasury Bond
ZN FUT 201012 ECBOT 1000 10 Year US Treasury Note
ZF FUT 201012 ECBOT 1000 5 Year US Treasury Note
GC FUT 201012 NYMEX 100 GOLD
CL FUT 201012 NYMEX 1000 Light Sweet Crude Oil
NG FUT 201012 NYMEX 10000 Henry Hub Natural Gas
SI FUT 201012 NYMEX 5000 NYMEX Silver Index
RB FUT 201012 NYMEX 42000 NYMEX RBOB Gas Index
HO FUT 201012 NYMEX 42000 Heating Oil
HG FUT 201012 NYMEX 25000 NYMEX Copper Index
[I know i am including futures with date too far away: i wished to take a look at liquidity / slippage issues (particularly, HO, RB do have ridiculously large spread at this time). ]
Also, included MXP for curiosity because I have never followed this one. Anyone knows it well ?
Realized=10.5K, Min PNL=-2.3K and current PNL> 1K (>100$ comms). CL again is the most lucky performer so far (almost 4k realized and PNL with -180$ min PNL).
Have also launched a simultaneous run of the previous algorithm version (same start time) on the same folio of 20, to take a look at strategy differences. [This new variation is doing better so far: it's clearly too early to say, anyway.]
(Will post here only new algo variation, if anyone interested in the previous variant results, just PM, as usual)
Tom
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