Adventures in Automation

Long 2 ES Contracts at 2959.25 for 15 min bar strategy.

Stop order at 2941.75
Limit order at 2985.50
Exit after 130 bars

 

Exited two ES contracts at 2941.75
-$1758.2

 

Long 1 ES Contracts at 2923.75 for 30 min bar strategy.

Stop order at 2900.5
Limit order at 2947
Exit after 8 bars

 

Long 1 ES Contracts at 2918.25 for 30 min bar strategy.

Stop order at 2945.25
Limit order at 2896.75
Exit after 100 bars

 

Exit 1 ES Contract at 2923.75
-$4.10

 

Exit 1 ES Contract at 2945.25
+$1345.9

 

June results and YTD performance compared against SPX.

 

Just noticed this thread today. Looks like a fantastic project. It'll be interesting to see how your addition of short strats & tick data works and plays well with others. As with any worthwhile algo-type project the deeper you get, the deeper you get.

G/L

 

Thanks for checking out the thread @KevMo ! I think I have slogged my way into a novel approach to strategy discovery and portfolio construction. I am trying to build a solid track record and will be looking for situations where I can be trading more capital. Stay tuned!

 

Congratulations! Nice project and thanks for making it so accountable. Now that IB will see that you are so profitable will start to charge you as a professional! Just kidding.
One thing that we should perhaps all learn from your approach is selectivity. Clearly, your approach doesn't mind to be inactive for several days, until a good chance to jump in comes out.
Keep up the good work!