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  1. Robotrading: CT + Trending Strategy on folios of futures

    I have found another improvement, still without the T component (avg Sharpe on random walk up to 2.66). This has a larger take profit and a...
    Post by: fullautotrading, Dec 26, 2010 in forum: Journals

  2. Robotrading: CT + Trending Strategy on folios of futures

    Hi, how was your Christmas ? ;-) I have decided to <b>raise the number of iterations to 1000</b>, in order to have resampling distribution...
    Post by: fullautotrading, Dec 26, 2010 in forum: Journals

  3. Robotrading: CT + Trending Strategy on folios of futures

    Ok, after generalizing my framework, i am finally able to begin some simulation with the <b>"random walk"</b>. Based on our previous trading...
    Post by: fullautotrading, Dec 23, 2010 in forum: Journals

  4. Robotrading: CT + Trending Strategy on folios of futures

    Thank you unco. Following your advice as fund manager i have been doing more research which seems quite fruitful... <b>** A Random Walk...
    Post by: fullautotrading, Dec 16, 2010 in forum: Journals

  5. Robotrading: CT + Trending Strategy on folios of futures

    Well stops (at instrument level) never had an enemy worse than I, and nobody knows that better than you ;-) So I fully agree with you. But...
    Post by: fullautotrading, Oct 29, 2010 in forum: Journals

  6. Robotrading: CT + Trending Strategy on folios of futures

    I am testing (elapsed 4.4 days, from monday) the original strat <b>CT</b> and various variations of <b>CT+T</b> (trending component overlay). It...
    Post by: fullautotrading, Oct 29, 2010 in forum: Journals

  7. Robotrading: CT + Trending Strategy on folios of futures

    Update. This week <b>CT</b> touched almost 25K, but is momentarily being withdrawn to 13K, mostly by metals (GC, SI). <b>CT+T</b> new...
    Post by: fullautotrading, Oct 21, 2010 in forum: Journals

  8. Robotrading: CT + Trending Strategy on folios of futures

    Ok, we are at the end of this fruitful (thanks to you all) week. CT algo could make work the investment on SI, due to sufficient retracement,...
    Post by: fullautotrading, Oct 15, 2010 in forum: Journals

  9. Robotrading: CT + Trending Strategy on folios of futures

    It surely does! Thank you unco: i will backtest these alternatives and see what comes out (maybe we could try the days around may 6). Let also...
    Post by: fullautotrading, Oct 14, 2010 in forum: Journals

  10. Robotrading: CT + Trending Strategy on folios of futures

    Ok. Something happened. SI has made a quick move upward, quickly going from 22.945 to 24.935, pushing the CT position to -6 contracts. In...
    Post by: fullautotrading, Oct 14, 2010 in forum: Journals

  11. Robotrading: CT + Trending Strategy on folios of futures

    Hi No big news so far (unless profit is news). 2.38 days elapsed everything pretty choppy . Practically, only the CT component "worked" so far....
    Post by: fullautotrading, Oct 13, 2010 in forum: Journals

  12. Robotrading: CT + Trending Strategy on folios of futures

    For a preliminary test, i have started a folio of 10 instruments: YM FUT 201012 ECBOT 5 Mini Sized Dow Jones Industrial Average $5...
    Post by: fullautotrading, Oct 11, 2010 in forum: Journals

  13. ROBOT autotrading futures (through IB Gateway)

    Hi friends, i am adding a trending algo over the original one. Since this actually give rise to a <b>new strategy</b>, i will start a <a...
    Post by: fullautotrading, Oct 11, 2010 in forum: Journals

  14. Robotrading: CT + Trending Strategy on folios of futures

    Hi friends, In this thread i would like to discuss a new algorithm variation. This can be considered the natural development of our discussion...
    Thread by: fullautotrading, Oct 11, 2010, 198 replies, in forum: Journals

  15. ROBOT autotrading futures (through IB Gateway)

    If you start 1.25 you go up 1.34 then you see a retracement to 1.33. You are out, and probably even begin shorting. So you may be making my same...
    Post by: fullautotrading, Sep 30, 2010 in forum: Journals

  16. ROBOT autotrading futures (through IB Gateway)

    Congrats unco, powerful intuition! All the simulations i have been doing so far seem to confirm you are right. All "rules" i have tried so far...
    Post by: fullautotrading, Sep 25, 2010 in forum: Journals

  17. ROBOT autotrading futures (through IB Gateway)

    Ok. i am looking into the "overlay rules" question. I am doing several experiments (backtesting) with several different scenarios. Assume you...
    Post by: fullautotrading, Sep 23, 2010 in forum: Journals

  18. ROBOT autotrading futures (through IB Gateway)

    Welcome to the roller coaster! I was going to shut down this run to focus on the new revision, when volatility begun suddenly to rise. All...
    Post by: fullautotrading, Sep 17, 2010 in forum: Journals

  19. ROBOT autotrading futures (through IB Gateway)

    global result chart update: <img src="http://www.datatime.eu/public/gbot/Res_Mon_2010_09_06_4.png">
    Post by: fullautotrading, Sep 14, 2010 in forum: Journals

  20. ROBOT autotrading futures (through IB Gateway)

    ok here the trade details: <a href="http://www.datatime.eu/public/gbot/Mon 06 Sep 2010_Port4001_Cli1_1/GBotReport_2010-09-06_Port4001_Cli1.htm">...
    Post by: fullautotrading, Sep 13, 2010 in forum: Journals
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