300% Annual Return -- Fully Automated

Discussion in 'Journals' started by frostengine, Jul 2, 2011.

  1. DT-waw

    DT-waw

    well, with 99% of profitable weeks and DDs that low you could easily increase size each week.
    after 6-9 months your trading size would explode to over 1,000 contracts per system.
     
    #41     Jul 4, 2011

  2. That's a fairly bold statement. My experience has actually been quite different. I've been trading an automated intraday system live for about 2 years now that generates 1000 trades/year with a positive expectation both live and simed. I reconcile my trades every day and my live executions match my sim executions 99% of the time.

    Edited to add:

    But I agree, Frosty's results look a little too perfect. His expectation of 4 ticks is slim enough that any slippage beyond his simulated slippage will degrade his results quite a bit (one tick additional slippage will reduce his expectation by 25%).

    But what he's trying to do is certainly not impossible.
     
    #42     Jul 4, 2011
  3. For ES it is about 4 ticks net after the 1 tick slippage and commission. For CL as you can see it has a much higher average trade.

    All entries/exits are market orders. This ensures that there will be no missed trades. I have learned my lesson with fills on limit orders in the past. I give up more slippage, but I can be sure the trades will happen...

    The NN's are independent strategies, however there is a sort of "consensus" used among them.
     
    #43     Jul 4, 2011
  4. I have played around with everything from 7 ticks to 25 ticks. This is one area of my strategy I am often tweaking. Likely the 15 tick variant will be used when I go live tomorrow.
     
    #44     Jul 4, 2011
  5. All orders are market orders and 1 tick slippage is assumed on ES for each trade. Its possible I could be underestimating slippage slightly... That is one thing I can not be sure about until it goes live.

    I figured there would be some doubts once the equity curve was shown. I have sat here thinking "too good to be true" for a while now myself. However, after checking and rechecking it seems solid.

    Good news is because its profitable 99 out of 100 weeks, it will only take a few weeks to determine if this strategy is meeting expectations.

    I can greatly increase average per trade if needed, however I have to filter out a lot of trades. So if I determine I underestimated slippage I can easily re-adjust the strategy.
     
    #45     Jul 4, 2011
  6. Having traded ES quite a bit in the past, I feel somewhat confident the 1 tick slippage is sufficient. The market is generally tight enough and its not like I am trading huge size. If anything 1 tick more may be required, which still leaves the strategy insanely profitable...

    For CL and 6E however I am new to those markets. What are the spreads generally like? How many ticks are needed to realistically represent the likely slippage?
     
    #46     Jul 4, 2011
  7. In going live I would recommend either the 6E or CL over the ES anyday.

    Depending on the number of contracts you are trading, either of those should yield very small slippage.
     
    #47     Jul 4, 2011
  8. Frost engine,

    How are you building NNs in Ninjatrader? Are you using a third party application then plugging them in to Ninja via the C# interface or are you doing something else?

    Runningbear
     
    #48     Jul 4, 2011
  9. Yes
     
    #49     Jul 4, 2011
  10. What type of third party NN software are you using?

    Runningbear
     
    #50     Jul 4, 2011