Adventures in Automation

FasterQuant and AlgoTerminal both easily support any market time configurations (RTH, ETH or whatever you want to configure). What I would like to be able to do is take my signals via RTH data but be able to exit via ETH data. This is easy to do with live trading but is not easy to do via a backtest.

The trailing stops I had for these trades were 2 X the ATR of last 14 30 minute bars. So the stops were in line with the current volatility and would adjust accordingly to forward volatility.

 

I feel your pain man. Sometimes the market is just too wild.

For example, my current NQ system barely makes any money in the back test on last Dec 23 and 24 even though those were huge moves down. The price action during those two days was simply unique and anomalous.

 

Within two weeks I will have a Long/Short Equity Index Futures strategy portfolio.

 

Long 1 YM at 25468 for 15 min bar strategy.
Trailing Stop at 25317
Limit at 26017
Exit after 10 bars

 

Exit YM at 25534
+$325.90

 

Long 2 ES at 2837.75 for 15 min bar strategy.
Trailing Stop at 2822
Limit at 2885.75
Exit after 10 bars

 

I think you got this one.

 

Famous last words.

 

This will exit at the open Friday.

 

Was I right