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Old Aug 5th, 2010, 01:42 PM   #31
fullautotrading
 
 
Join Date: Mar 2010
Location: a watery planet in the Milky Way, about 643 LYs from Betelgeuse
Posts: 858
Trading is proceeding fine. There has been a general uptrend (on all instruments) at the beginning of the week.
The bot has been investing on CL and EUR mainly.

At the end of the week will post trades.

[ I have also done a quick experiment running the algorithm on a folio of 80 ETFs/Stocks. The algo seems able to capture a lot of "noise". Made over 30K in few hours:



(will not post the charts showing all single trades for this "side test" as these are too many pictures, but for the people interested just PM me as usual, I will send them). The initial packet size was 1.000 shares. Max number of shares open at same time was about 86.000. ]

Tom
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Old Aug 6th, 2010, 05:50 PM   #32
fullautotrading
 
 
Join Date: Mar 2010
Location: a watery planet in the Milky Way, about 643 LYs from Betelgeuse
Posts: 858
We just reached the end of another week. (CL and EUR have mostly "dominated" the week.)

Chart update



On sunday we might either start a new trading session or continue this one (as PNL and realized are close).
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Old Aug 11th, 2010, 07:45 AM   #33
fullautotrading
 
 
Join Date: Mar 2010
Location: a watery planet in the Milky Way, about 643 LYs from Betelgeuse
Posts: 858
All is proceeding fine. This morning around 6:07 edt it closed all positions and restarted.



(The current rules in the algorithm actually cause frequent global close: the bot actively fights the possibility of position to grow large, from the very beginning.)

I am currently working on "correlation rules" refinements for optimal "investment distribution" within the folio.

(I will also slightly change the lmt price computations to possibly reduce slippage on close.)

Since i have made many code changes, I will probably shut down in a while this trading session, to restart with the new program "version" and possibly refined rules.

Tom
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Old Aug 13th, 2010, 06:03 PM   #34
fullautotrading
 
 
Join Date: Mar 2010
Location: a watery planet in the Milky Way, about 643 LYs from Betelgeuse
Posts: 858
Ok market closed!
At the end of the week, most instrument plunged. The bot dealt ok with that, adding some nice profit.

Here are the detailed charts of all trades (automated report):
Chart update



Next week will start a new trading session, as i have made changes to the code and introduced some algorithm variations (i wish to scale more the entries, and "watch" a larger folio).

(Any question welcome.)

Tom
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Old Aug 17th, 2010, 06:43 AM   #35
fullautotrading
 
 
Join Date: Mar 2010
Location: a watery planet in the Milky Way, about 643 LYs from Betelgeuse
Posts: 858
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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Old Aug 17th, 2010, 08:16 AM   #36
Dr Who
 
 
Join Date: Apr 2009
Posts: 153
Tom,

You're obviously a really bright guy even though you're Italian (that's a joke by the way as I love Italians...well Italian women anyway) and you do have some cash but why are you still trading ? By now you should have accumulated enough wealth even for Croesus, so where have you gone wrong ? Or are you still playing with G-Bot for the intellectual challenge ?

The world needs to know.....
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