LOL! over $750 in commissions only for this test: i expect to be invited to the party ;-)))
Exceeded now 2K profit with an avg use of 15K - 20K margins (45 days)
I am continuing here my (real $$$) test from a previous thread
since i am now applying the trading procedure to ETFs, some stk and options, instead of futures, as stated in the previous thread title:
After testing futures, i am testing here (with real $$$) a possible approach for relatively small capital, which many where curioous about.
In the meantime the application has "matured" and many strategic ideas have become more clear, especially with the suggestions of many of you helping out and actively discussing.
It appears that the best way to go is distributing risk over a large folio, and rely on the sustained automate scalping/hedging action over price "corridors". I have also added a special "game" to scalp "short strangles" of options, which i am currently testing.
The scalping activity in a large folio is so massive that the possible instruments with current dd ("investment") don't seem to hurt much.
The situation is over a month, about 100 simultaneous instruments, mainly ETFs and options (i have been replacing instruments on the fly discarding or adding on the fly new instruments
while i test them, about $600 have been removed from view where are the vertical green lines). I am keeping only VM
as futures (the "small" VIX), as it is rather small. Trading ETFs and stks with very small sizes (30 shares) and allocating very small risk to each.
Lately i have allowed to "overload" on volatility, even creating new layers (which is actually a violation of my "rule" of "diversificating", as i was a little anxious to bet the profits on volatility).
A little "accident" happened Tuesday (May 1) where i was experimenting a new game to autotrade a "short strangle"
of options and, by error, i happened to start it on 2 SPY options with a too small (for options) entry distance, while coincidentally SPY hit a 4-year high:
Anyway, the drawdown was quickly recovered next day. This is again a big violation of diversification principle, but i was a litte impatient to test the new game.
Now i have resumed the moderate scalping, with a some overload on volatility (VM positions). Looks like that even trading algorithmically requires some discipline
;-)) as we should keep the folio always well balanced and distributing smoothly the risk
Again, i let this folio to imbalance a little towards a bet on volatility, and this is somehow a discretionary and very arguable
choice within the algorithmical system.
Trading algorithmically such small sizes has caused a boatload of commission and over 2K profits on top of that. Practically i am in business with IB, with this test (LOL!) The Realized line (greed dotted) signifies the scalped amount
, and is continuosly "pulling" up the PNL, while the unrealized fluctuate through continuos new "investments"
. Now i just loaded a few stoks too, to take take a look.
I have been keeping margins requirements rather low about 15K (with an occasional spike up to 28K caused by the SPY situation). I will be exploring more ETFs and stocks, to select a good folio for automated scalping.