Ending the week with some recovery, after the almost fatal mishap with the December contract. I let alone the application deal with the situation until I saw some funds available again. Monday I will probably restart "hammering" CL, and its options, with some additional "semiautomated" scalping to try accelerate the recovery. This mishap has probably costed around 100K-150K, but it looks like we still have room for a recovery. Code: - Current values (received on: Fri 27 Mar 2015 23:41:16:696 [ Fri 27 Mar 2015 18:41:16:696 edt ]) - AccruedCash -1,142.00 USD [Min: -2,143.00, Max: 0.00] AccruedDividend 0.00 USD [Min: 0.00, Max: 0.00] BuyingPower 1,821,557.65 USD [Min: 0.00, Max: 9,679,718.07] (11.53 x 157,938.90) FullAvailableFunds 157,938.90 USD [Min: -177,364.47, Max: 1,451,957.71] FullExcessLiquidity 273,233.65 USD [Min: -157,297.69, Max: 1,451,957.71] FullInitMarginReq 633,149.14 USD [Min: 0.00, Max: 946,065.45] FullMaintMarginReq 517,854.39 USD [Min: 0.00, Max: 909,440.51] NetLiquidation 791,088.04 USD [Min: 418,054.72, Max: 1,451,957.71] - Initial values (received on: Mon 08 Dec 2014 15:19:16:873 [ Mon 08 Dec 2014 09:19:16:873 edt ]) - AccruedCash 0.00 USD AccruedDividend 0.00 USD BuyingPower 6,666,666.67 USD FullAvailableFunds 1,000,000.00 USD FullExcessLiquidity 1,000,000.00 USD FullInitMarginReq 0.00 USD FullMaintMarginReq 0.00 USD NetLiquidation 1,000,000.00 USD Current - Initial (elapsed: 109.35 days) Δ AccruedCash -1,142.00 USD 0.00% Δ AccruedDividend 0.00 USD 0.00% Δ BuyingPower -4,845,109.02 USD -72.68% Δ FullAvailableFunds -842,061.10 USD -84.21% Δ FullExcessLiquidity -726,766.35 USD -72.68% Δ FullInitMarginReq 633,149.14 USD -72.68% Δ FullMaintMarginReq 517,854.39 USD -72.68% Δ NetLiquidation -208,911.96 USD -20.89% As to removed layers we have grabbed so far about 336K in 189 layers: Code: *** PNLs in removed layers *** Count: 189 Sum: 336,117.77 Avg: 1778.40 Median: 433.8 Std: 4066.84 As usual we do not miss the occasion to analyze and solve an issue or mistake, as actually those are the occasions where we learn something useful, and this particular mishap is no exception. This is actually the second time, in our tests, that we have a major problem related with overnight (in one occasion it was a problem with an ETF, and the damage was practically unrecoverable, due to the margin requirements of the instrument, and, in this case, is was due to a futures left in "paused" mode, with a large open position.) I think we should enforce some more discipline when going overnight. We might for instance abide the following simple, self-imposed , rules: ETFs: always go "flat" (or, anyway, leave just a small position) before going overnight. Next day, resume trading the instrument, undoing the "flattening". (This can be accomplished either with 2 out-of-game orders, or with 2 players, after putting the instrument in "pause" mode). Liquid futures: they can (and should, imho) be let run with a position: just make sure they are in auto mode (and not "paused") to ensure automatic protection provided by the "game". (Also for this reason, futures should obviously be preferred for trading, when sufficient capital is available.) From Monday on, let's try to enforce them
Starting the week with some more recovery (currently we are -15.41%), essentially thanks to CL. I have managed to close in profit all the layers we opened before (except the December contract), and started new ones. Code: - Current values (received on: Tue 31 Mar 2015 22:10:06:892 [ Tue 31 Mar 2015 16:10:06:892 edt ]) - AccruedCash -1,287.00 USD [Min: -2,143.00, Max: 0.00] AccruedDividend 0.00 USD [Min: 0.00, Max: 0.00] BuyingPower 5,240,058.57 USD [Min: 0.00, Max: 9,679,718.07] (6.80 x 771,042.48) FullAvailableFunds 771,042.48 USD [Min: -177,364.47, Max: 1,451,957.71] FullExcessLiquidity 786,008.79 USD [Min: -157,297.69, Max: 1,451,957.71] FullInitMarginReq 74,831.52 USD [Min: 0.00, Max: 946,065.45] FullMaintMarginReq 59,865.22 USD [Min: 0.00, Max: 909,440.51] NetLiquidation 845,874.00 USD [Min: 418,054.72, Max: 1,451,957.71] - Initial values (received on: Mon 08 Dec 2014 15:19:16:873 [ Mon 08 Dec 2014 09:19:16:873 edt ]) - AccruedCash 0.00 USD AccruedDividend 0.00 USD BuyingPower 6,666,666.67 USD FullAvailableFunds 1,000,000.00 USD FullExcessLiquidity 1,000,000.00 USD FullInitMarginReq 0.00 USD FullMaintMarginReq 0.00 USD NetLiquidation 1,000,000.00 USD Current - Initial (elapsed: 113.29 days) Δ AccruedCash -1,287.00 USD 0.00% Δ AccruedDividend 0.00 USD 0.00% Δ BuyingPower -1,426,608.10 USD -21.40% Δ FullAvailableFunds -228,957.52 USD -22.90% Δ FullExcessLiquidity -213,991.21 USD -21.40% Δ FullInitMarginReq 74,831.52 USD -21.40% Δ FullMaintMarginReq 59,865.22 USD -21.40% Δ NetLiquidation -154,126.00 USD -15.41% I have been "hammering" CL with some "semiautomatic scalping", that is injecting extra players, with quick close rules, and so far worked fine: Here are 4 CL layers closed today (I still have the December contract CLZ5 layer open, and one with CLK5). (Recovering the December contract appears a bit harder due to larger spread.) In the last few weeks we have done a monster recovery, and even survived a major mishap: we just need to keep working this way (with FUTs/FOPs, and some focus ), which seems so far the most effective way, as to actual results. Later, we may try to "reconsider" the ERX chapter (-430K), to see if we can do something about it, and maybe learn something else. In the meantime I have been thinking about some new features for the scalping/hedging game, which I want to add this week (we will see them in a next post).
Last two days of the week before the holiday, were pretty volatile and erratic for our CL layers and we are ending up the week with a larger DD (-25%), due to some "investment" in CL. The overall situation of the "losing" layers is as follows: while the "removed" layers, containing about 360K, have the following situation: Code: *** PNLs in removed layers *** Count: 201 Sum: 355,158.2 Avg: 1766.96 Median: 430.76 Std: 3963.63 ==================== Positive ==================== Count: 200 Sum: 366085.53 Avg: 1830.42765 Median: 432.28 Std: 3870.29319596151 ==================== Negative ==================== Count: 1 Sum: -10927.33 Avg: -10927.33 Median: -10927.33 Std: 0 (where, the negative one, as you might remember from the previous posts, has actually been rolled over and turned into one of the positive layers). 117K have gone so far in commissions (later we will also examine how much has been charged for interests.) This is the detail of all removed layers: Code: ======================================= Removed layers (201) ======================================= -- Summmary: -- Positive PNL -- Thu 05 Feb 2015 03:41:56 CL FOP 201502 51 C NYMEX 1000 PNL: 700.76, comms: 9.24, fills: 4, Pos: 0 Thu 05 Feb 2015 03:42:01 CL FOP 201502 52 C NYMEX 1000 PNL: 427.66, comms: 32.34, fills: 8, Pos: 0 Thu 05 Feb 2015 03:42:07 CL FOP 201502 53 C NYMEX 1000 PNL: 293.74, comms: 106.26, fills: 16, Pos: 0 Thu 05 Feb 2015 03:42:19 CL FOP 201502 54 C NYMEX 1000 PNL: 659.94, comms: 60.06, fills: 7, Pos: 0 Thu 05 Feb 2015 03:42:23 CL FOP 201502 56 C NYMEX 1000 PNL: 696.84, comms: 83.16, fills: 13, Pos: 0 Thu 05 Feb 2015 03:42:28 CL FOP 201502 60 C NYMEX 1000 PNL: 306.14, comms: 13.86, fills: 3, Pos: 0 Thu 05 Feb 2015 03:42:32 CL FOP 201502 61 C NYMEX 1000 PNL: 736.90, comms: 23.10, fills: 4, Pos: 0 Thu 05 Feb 2015 03:42:40 CL FOP 201502 62 C NYMEX 1000 PNL: 76.14, comms: 13.86, fills: 2, Pos: 0 Thu 05 Feb 2015 03:43:03 CL FOP 20150217 47 C NYMEX 1000 PNL: 221.52, comms: 18.48, fills: 7, Pos: 0 Thu 05 Feb 2015 03:43:09 CL FOP 20150217 60 C NYMEX 1000 PNL: 102.50, comms: 577.50, fills: 42, Pos: 0 Thu 05 Feb 2015 03:43:16 CL FOP 20150217 63 C NYMEX 1000 PNL: 5.38, comms: 4.62, fills: 2, Pos: 0 Thu 05 Feb 2015 03:43:30 CL FOP 20150217 65 C NYMEX 1000 PNL: 21.52, comms: 18.48, fills: 3, Pos: 0 Thu 05 Feb 2015 03:43:36 CL FOP 20150217 67 C NYMEX 1000 PNL: 10.76, comms: 9.24, fills: 2, Pos: 0 Thu 05 Feb 2015 03:43:43 CL FOP 201503 48 C NYMEX 1000 PNL: 1,166.84, comms: 83.16, fills: 32, Pos: 0 Thu 05 Feb 2015 03:43:48 CL FOP 201503 49 C NYMEX 1000 PNL: 1,616.90, comms: 23.10, fills: 8, Pos: 0 Thu 05 Feb 2015 03:43:53 CL FOP 201503 54 C NYMEX 1000 PNL: 109.18, comms: 50.82, fills: 14, Pos: 0 Thu 05 Feb 2015 03:43:57 CL FOP 201503 55 C NYMEX 1000 PNL: 107.66, comms: 32.34, fills: 11, Pos: 0 Thu 05 Feb 2015 03:44:02 CL FOP 201503 58 C NYMEX 1000 PNL: 109.15, comms: 80.85, fills: 9, Pos: 0 Thu 05 Feb 2015 03:44:07 CL FOP 201503 60 C NYMEX 1000 PNL: 815.23, comms: 154.77, fills: 43, Pos: 0 Thu 05 Feb 2015 03:44:11 CL FOP 201506 49 C NYMEX 1000 PNL: 1,643.04, comms: 36.96, fills: 16, Pos: 0 Thu 05 Feb 2015 03:44:20 CL FOP 201506 54 C NYMEX 1000 PNL: 113.80, comms: 46.20, fills: 13, Pos: 0 Thu 05 Feb 2015 03:44:37 CL FOP 201502 46 P NYMEX 1000 PNL: 176.90, comms: 23.10, fills: 2, Pos: 0 Thu 05 Feb 2015 03:44:43 CL FOP 201502 49 P NYMEX 1000 PNL: 502.25, comms: 57.75, fills: 14, Pos: 0 Thu 05 Feb 2015 03:44:49 CL FOP 201502 51 P NYMEX 1000 PNL: 499.97, comms: 30.03, fills: 4, Pos: 0 Thu 05 Feb 2015 03:44:53 CL FOP 201502 52 P NYMEX 1000 PNL: 430.76, comms: 9.24, fills: 2, Pos: 0 Thu 05 Feb 2015 03:44:57 CL FOP 201502 55 P NYMEX 1000 PNL: 310.76, comms: 9.24, fills: 2, Pos: 0 Thu 05 Feb 2015 03:45:01 CL FOP 201502 57 P NYMEX 1000 PNL: 1,030.76, comms: 9.24, fills: 2, Pos: 0 Thu 05 Feb 2015 03:45:08 CL FOP 201503 40 P NYMEX 1000 PNL: 16.14, comms: 13.86, fills: 6, Pos: 0 Thu 05 Feb 2015 03:45:13 CL FOP 201503 41 P NYMEX 1000 PNL: 10.76, comms: 9.24, fills: 4, Pos: 0 Thu 05 Feb 2015 03:45:17 CL FOP 201503 42 P NYMEX 1000 PNL: 148.42, comms: 41.58, fills: 11, Pos: 0 Thu 05 Feb 2015 03:45:22 CL FOP 201503 44 P NYMEX 1000 PNL: 141.34, comms: 198.66, fills: 60, Pos: 0 Thu 05 Feb 2015 03:45:34 CL FOP 201503 45 P NYMEX 1000 PNL: 59.06, comms: 170.94, fills: 56, Pos: 0 Thu 05 Feb 2015 03:45:38 CL FOP 201503 46 P NYMEX 1000 PNL: 939.00, comms: 231.00, fills: 63, Pos: 0 Thu 05 Feb 2015 03:45:44 CL FOP 201503 47 P NYMEX 1000 PNL: 1,859.88, comms: 120.12, fills: 40, Pos: 0 Thu 05 Feb 2015 03:45:51 CL FOP 201503 48 P NYMEX 1000 PNL: 2,215.08, comms: 304.92, fills: 64, Pos: 0 Thu 05 Feb 2015 03:45:56 CL FOP 201503 48 P NYMEX 1000_L1 PNL: 553.80, comms: 46.20, fills: 13, Pos: 0 Thu 05 Feb 2015 03:46:01 CL FOP 201503 49 P NYMEX 1000 PNL: 259.88, comms: 120.12, fills: 33, Pos: 0 Thu 05 Feb 2015 03:46:05 CL FOP 201503 51 P NYMEX 1000 PNL: 693.04, comms: 36.96, fills: 10, Pos: 0 Thu 05 Feb 2015 03:46:10 CL FOP 201503 54 P NYMEX 1000 PNL: 8,670.58, comms: 189.42, fills: 49, Pos: 0 Thu 05 Feb 2015 03:46:14 CL FOP 201503 55 P NYMEX 1000 PNL: 1,151.46, comms: 78.54, fills: 22, Pos: 0 Thu 05 Feb 2015 03:46:18 CL FOP 201503 56 P NYMEX 1000 PNL: 1,525.32, comms: 64.68, fills: 15, Pos: 0 Thu 05 Feb 2015 03:46:22 CL FOP 201503 57 P NYMEX 1000 PNL: 498.42, comms: 41.58, fills: 11, Pos: 0 Thu 05 Feb 2015 03:46:26 CL FOP 201503 58 P NYMEX 1000 PNL: 815.32, comms: 64.68, fills: 24, Pos: 0 Thu 05 Feb 2015 03:46:30 CL FOP 201503 60 P NYMEX 1000 PNL: 1,388.42, comms: 41.58, fills: 5, Pos: 0 Thu 05 Feb 2015 03:46:34 CL FOP 201503 61 P NYMEX 1000 PNL: 4,626.90, comms: 23.10, fills: 4, Pos: 0 Thu 05 Feb 2015 03:46:38 CL FOP 201504 56 P NYMEX 1000 PNL: 2,453.80, comms: 46.20, fills: 2, Pos: 0 Thu 05 Feb 2015 03:46:48 CL FOP 201502 50 P NYMEX 1000 PNL: 342.28, comms: 27.72, fills: 4, Pos: 0 Thu 05 Feb 2015 03:47:33 ERY OPT 20150116 18 P SMART 100 PNL: 341.52, comms: 158.48, fills: 4, Pos: 0 Thu 05 Feb 2015 03:47:45 ERY OPT 20150116 20 P SMART 100 PNL: 36.48, comms: 3.52, fills: 2, Pos: 0 Thu 05 Feb 2015 03:48:56 ERX STK SMART PNL: 2,897.87, comms: 451.11, fills: 365, Pos: 0 Thu 05 Feb 2015 03:49:06 ERX STK SMART_L2 PNL: 9,359.62, comms: 418.41, fills: 91, Pos: 0 Thu 05 Feb 2015 03:49:42 ERY STK SMART_USD_L1 PNL: 334.13, comms: 68.33, fills: 9, Pos: 0 Thu 05 Feb 2015 03:50:22 ERY STK SMART_USD PNL: 3,164.86, comms: 2,979.85, fills: 709, Pos: 0 Thu 05 Feb 2015 03:51:51 CL FUT 201512 NYMEX 1000 PNL: 8,038.80, comms: 1,201.20, fills: 402, Pos: 0 Thu 05 Feb 2015 03:52:16 ERY OPT 20150116 20 C SMART 100 PNL: 2,637.54, comms: 262.46, fills: 4, Pos: 0 Thu 05 Feb 2015 03:52:23 ERY OPT 20150116 25 P SMART 100 PNL: 576.18, comms: 23.82, fills: 2, Pos: 0 Thu 05 Feb 2015 03:52:31 ERY OPT 20150116 30 P SMART 100 PNL: 2,920.15, comms: 79.85, fills: 2, Pos: 0 Thu 05 Feb 2015 03:52:36 ERY OPT 20150417 25 P SMART 100 PNL: 1,930.15, comms: 69.85, fills: 2, Pos: 0 Thu 05 Feb 2015 04:09:39 ERY OPT 20150116 21 C SMART 100 PNL: 13,529.79, comms: 160.21, fills: 9, Pos: 0 Thu 05 Feb 2015 04:10:15 ERY OPT 20150116 24 C SMART 100 PNL: 5,293.60, comms: 56.40, fills: 5, Pos: 0 Thu 05 Feb 2015 04:10:22 ERY OPT 20150116 25 C SMART 100 PNL: 2,899.64, comms: 25.36, fills: 2, Pos: 0 Thu 05 Feb 2015 04:10:27 ERY OPT 20150116 27 C SMART 100 PNL: 2,708.61, comms: 246.39, fills: 9, Pos: 0 Thu 05 Feb 2015 04:10:35 ERY OPT 20150417 25 C SMART 100 PNL: 12,027.15, comms: 142.85, fills: 3, Pos: 0 continues...
Code: Thu 05 Feb 2015 04:28:32 CL FUT 201512 NYMEX 1000_L2 PNL: 1,272.28, comms: 27.72, fills: 8, Pos: 0 Thu 05 Feb 2015 05:00:00 CL FUT 201512 NYMEX 1000_L3 PNL: 1,389.94, comms: 60.06, fills: 13, Pos: 0 Thu 05 Feb 2015 05:47:55 CL FUT 201512 NYMEX 1000_L4 PNL: 1,278.42, comms: 41.58, fills: 7, Pos: 0 Thu 05 Feb 2015 07:38:13 CL FUT 201512 NYMEX 1000_L5 PNL: 2,658.42, comms: 41.58, fills: 10, Pos: 0 Thu 05 Feb 2015 09:48:56 CL FUT 201512 NYMEX 1000_L6 PNL: 4,399.94, comms: 60.06, fills: 14, Pos: 0 Thu 05 Feb 2015 10:19:18 CL FOP 201506 55 C NYMEX 1000 PNL: 133.04, comms: 36.96, fills: 16, Pos: 0 Thu 05 Feb 2015 10:19:22 CL FOP 201506 53 C NYMEX 1000 PNL: 1,801.52, comms: 18.48, fills: 5, Pos: 0 Thu 05 Feb 2015 11:00:38 CL FUT 201512 NYMEX 1000_L2 PNL: 653.01, comms: 66.99, fills: 17, Pos: 0 Thu 05 Feb 2015 11:28:22 CL FOP 201506 55 C NYMEX 1000 PNL: 0.76, comms: 9.24, fills: 4, Pos: 0 Thu 05 Feb 2015 11:28:25 CL FOP 201506 57 C NYMEX 1000 PNL: 411.52, comms: 18.48, fills: 6, Pos: 0 Thu 05 Feb 2015 11:39:35 ERX STK SMART_L3 PNL: 25,134.52, comms: 204.33, fills: 51, Pos: 0 Thu 05 Feb 2015 11:52:22 CL FUT 201512 NYMEX 1000_L2 PNL: 1,158.42, comms: 41.58, fills: 11, Pos: 0 Fri 06 Feb 2015 13:55:04 CL FOP 201506 59 C NYMEX 1000 PNL: 203.04, comms: 36.96, fills: 13, Pos: 0 Fri 06 Feb 2015 14:08:32 CL FOP 201506 55 C NYMEX 1000 PNL: 201.52, comms: 18.48, fills: 7, Pos: 0 Mon 09 Feb 2015 09:35:28 CL FOP 201506 58 C NYMEX 1000 PNL: 1,692.80, comms: 277.20, fills: 32, Pos: 0 Mon 09 Feb 2015 13:57:05 CL FOP 201506 56 C NYMEX 1000 PNL: 276.90, comms: 23.10, fills: 7, Pos: 0 Mon 09 Feb 2015 13:58:57 CL FOP 201503 45 P NYMEX 1000 PNL: 7,512.98, comms: 97.02, fills: 5, Pos: 0 Mon 09 Feb 2015 14:19:35 CL FOP 201503 44 P NYMEX 1000 PNL: 6,255.20, comms: 184.80, fills: 7, Pos: 0 Mon 09 Feb 2015 14:55:07 CL FOP 201503 43 P NYMEX 1000 PNL: 4,907.60, comms: 92.40, fills: 2, Pos: 0 Mon 09 Feb 2015 14:55:27 CL FOP 201503 42 P NYMEX 1000 PNL: 3,707.60, comms: 92.40, fills: 2, Pos: 0 Tue 10 Feb 2015 07:06:22 CL FOP 201506 58 C NYMEX 1000 PNL: 75.38, comms: 4.62, fills: 2, Pos: 0 Tue 10 Feb 2015 08:45:50 CL FUT 201503 NYMEX 1000 PNL: 746.90, comms: 23.10, fills: 7, Pos: 0 Tue 10 Feb 2015 09:22:05 CL FOP 201503 48 P NYMEX 1000 PNL: 254.50, comms: 115.50, fills: 8, Pos: 0 Tue 10 Feb 2015 09:55:07 CL FUT 201503 NYMEX 1000_L1 PNL: 1,230.76, comms: 9.24, fills: 2, Pos: 0 Tue 10 Feb 2015 10:25:54 CL FOP 20150617 57 C NYMEX 1000 PNL: 362.28, comms: 27.72, fills: 4, Pos: 0 Tue 10 Feb 2015 10:55:40 CL FOP 201503 41 P NYMEX 1000 PNL: 1,761.40, comms: 138.60, fills: 4, Pos: 0 Wed 11 Feb 2015 08:49:24 CL FUT 201503 NYMEX 1000_L2 PNL: 780.76, comms: 9.24, fills: 4, Pos: 0 Wed 11 Feb 2015 12:09:19 CL FOP 20150217 43 P NYMEX 1000 PNL: 120.76, comms: 9.24, fills: 3, Pos: 0 Wed 11 Feb 2015 12:09:23 CL FOP 20150217 44 P NYMEX 1000 PNL: 85.38, comms: 4.62, fills: 2, Pos: 0 Thu 12 Feb 2015 03:47:55 CL FOP 20150217 45 P NYMEX 1000 PNL: 864.38, comms: 235.62, fills: 8, Pos: 0 Thu 12 Feb 2015 09:15:34 CL FOP 201503 50 P NYMEX 1000 PNL: 186.08, comms: 73.92, fills: 23, Pos: 0 Thu 12 Feb 2015 11:31:42 CL FOP 201503 41 P NYMEX 1000 PNL: 353.80, comms: 46.20, fills: 2, Pos: 0 Thu 12 Feb 2015 11:32:03 CL FOP 201503 42 P NYMEX 1000 PNL: 1,415.20, comms: 184.80, fills: 3, Pos: 0 Fri 13 Feb 2015 08:39:38 CL FOP 20150617 57 P NYMEX 1000 PNL: 153.04, comms: 36.96, fills: 9, Pos: 0 Fri 13 Feb 2015 09:52:20 CL FOP 20150217 48 P NYMEX 1000 PNL: 1,061.40, comms: 138.60, fills: 2, Pos: 0 Tue 17 Feb 2015 09:26:37 CL FOP 20150217 50 P NYMEX 1000 PNL: 179.85, comms: 150.15, fills: 7, Pos: 0 Tue 17 Feb 2015 09:27:47 CL FOP 20150217 47 P NYMEX 1000 PNL: 1,815.20, comms: 184.80, fills: 4, Pos: 0 Tue 17 Feb 2015 09:29:53 CL FOP 20150217 46 P NYMEX 1000 PNL: 902.01, comms: 297.99, fills: 6, Pos: 0 Wed 18 Feb 2015 08:11:29 CL FOP 20150217 45 P NYMEX 1000 PNL: 679.15, comms: 80.85, fills: 5, Pos: 0 Wed 18 Feb 2015 08:11:35 CL FOP 20150217 50 P NYMEX 1000 PNL: 1,961.40, comms: 138.60, fills: 3, Pos: 0 Wed 18 Feb 2015 13:27:40 ERX STK SMART_L4 PNL: 12,408.08, comms: 2,652.64, fills: 476, Pos: 0 Thu 19 Feb 2015 03:28:29 CL FUT 201504 NYMEX 1000 PNL: 607.60, comms: 92.40, fills: 15, Pos: 0 Thu 19 Feb 2015 04:03:08 CL FUT 201505 NYMEX 1000 PNL: 1,255.32, comms: 64.68, fills: 10, Pos: 0 Thu 19 Feb 2015 04:10:50 CL FUT 201504 NYMEX 1000 PNL: 40.76, comms: 9.24, fills: 4, Pos: 0 Thu 19 Feb 2015 04:44:57 CL FUT 201504 NYMEX 1000 PNL: 56.90, comms: 23.10, fills: 9, Pos: 0 Thu 19 Feb 2015 11:34:22 CL FOP 20150514 45 P NYMEX 1000 PNL: 131.52, comms: 18.48, fills: 6, Pos: 0 Thu 19 Feb 2015 12:17:54 CL FOP 20150514 46 P NYMEX 1000 PNL: 351.52, comms: 18.48, fills: 6, Pos: 0 Thu 19 Feb 2015 12:18:26 CL FOP 20150514 47 P NYMEX 1000 PNL: 411.52, comms: 18.48, fills: 6, Pos: 0 Thu 19 Feb 2015 14:14:54 CL FOP 20150514 47 P NYMEX 1000 PNL: 225.38, comms: 4.62, fills: 2, Pos: 0 Thu 19 Feb 2015 14:24:38 CL FOP 20150514 46 P NYMEX 1000 PNL: 125.38, comms: 4.62, fills: 2, Pos: 0 Thu 19 Feb 2015 14:31:37 CL FOP 20150514 48 P NYMEX 1000 PNL: 105.38, comms: 4.62, fills: 2, Pos: 0 Thu 19 Feb 2015 14:35:34 CL FOP 20150514 45 P NYMEX 1000 PNL: 65.38, comms: 4.62, fills: 2, Pos: 0 Mon 23 Feb 2015 06:44:07 CL FOP 201506 55 C NYMEX 1000 PNL: 319.70, comms: 300.30, fills: 69, Pos: 0 Mon 23 Feb 2015 07:53:38 CL FOP 201506 56 C NYMEX 1000 PNL: 1,073.56, comms: 286.44, fills: 69, Pos: 0 Mon 23 Feb 2015 13:49:03 CL FOP 20150514 48 P NYMEX 1000_L1 PNL: 31.52, comms: 18.48, fills: 4, Pos: 0 Mon 23 Feb 2015 13:49:15 CL FOP 20150514 51 P NYMEX 1000 PNL: 256.90, comms: 23.10, fills: 4, Pos: 0 Mon 23 Feb 2015 13:58:25 CL FOP 20150514 45 P NYMEX 1000_L1 PNL: 151.52, comms: 18.48, fills: 4, Pos: 0 Mon 23 Feb 2015 14:38:23 ERX STK SMART_L5 PNL: 2,493.35, comms: 760.56, fills: 144, Pos: 0 Tue 24 Feb 2015 14:39:30 CL FOP 201506 53 C NYMEX 1000 PNL: 55.38, comms: 4.62, fills: 2, Pos: 0 Wed 25 Feb 2015 11:44:28 CL FOP 20150514 47 P NYMEX 1000_L1 PNL: 452.28, comms: 27.72, fills: 5, Pos: 0 Wed 25 Feb 2015 11:51:36 CL FOP 20150514 50 P NYMEX 1000 PNL: 154.56, comms: 55.44, fills: 8, Pos: 0 Wed 25 Feb 2015 11:51:40 CL FOP 20150514 52 P NYMEX 1000 PNL: 599.94, comms: 60.06, fills: 7, Pos: 0 Wed 25 Feb 2015 11:59:41 CL FOP 20150514 42 P NYMEX 1000 PNL: 146.14, comms: 13.86, fills: 6, Pos: 0 Wed 25 Feb 2015 12:00:04 CL FOP 20150514 45 P NYMEX 1000 PNL: 160.76, comms: 9.24, fills: 4, Pos: 0 Wed 25 Feb 2015 12:00:27 CL FOP 20150514 46 P NYMEX 1000_L1 PNL: 83.04, comms: 36.96, fills: 10, Pos: 0 Wed 25 Feb 2015 13:56:13 CL FOP 20150514 49 P NYMEX 1000 PNL: 633.04, comms: 36.96, fills: 8, Pos: 0 Wed 25 Feb 2015 14:29:58 CL FOP 20150514 43 P NYMEX 1000 PNL: 553.04, comms: 36.96, fills: 5, Pos: 0 Wed 25 Feb 2015 14:30:01 CL FOP 20150514 44 P NYMEX 1000 PNL: 573.04, comms: 36.96, fills: 5, Pos: 0 Fri 27 Feb 2015 04:03:11 CL FOP 20150514 47 P NYMEX 1000 PNL: 227.66, comms: 32.34, fills: 7, Pos: 0 Fri 27 Feb 2015 05:12:58 CL FOP 20150514 46 P NYMEX 1000 PNL: 312.28, comms: 27.72, fills: 7, Pos: 0 Fri 27 Feb 2015 09:23:05 CL FUT 201504 NYMEX 1000 PNL: 5,088.28, comms: 951.72, fills: 170, Pos: 0 continues...
Code: Fri 27 Feb 2015 17:49:43 CL FOP 20150514 46 P NYMEX 1000_L1 PNL: 330.76, comms: 9.24, fills: 3, Pos: 0 Fri 27 Feb 2015 17:49:46 CL FOP 20150514 47 P NYMEX 1000_L1 PNL: 226.14, comms: 13.86, fills: 3, Pos: 0 Fri 27 Feb 2015 17:49:49 CL FOP 20150514 48 P NYMEX 1000 PNL: 213.04, comms: 36.96, fills: 7, Pos: 0 Mon 09 Mar 2015 12:30:44 CL FOP 20150514 42 P NYMEX 1000 PNL: 580.64, comms: 129.36, fills: 13, Pos: 0 Mon 09 Mar 2015 12:30:47 CL FOP 20150514 43 P NYMEX 1000 PNL: 791.40, comms: 138.60, fills: 15, Pos: 0 Mon 09 Mar 2015 12:30:50 CL FOP 20150514 44 P NYMEX 1000 PNL: 1,074.50, comms: 115.50, fills: 11, Pos: 0 Mon 09 Mar 2015 12:30:53 CL FOP 20150514 45 P NYMEX 1000 PNL: 359.12, comms: 110.88, fills: 10, Pos: 0 Mon 09 Mar 2015 14:01:37 CL FOP 20150514 47 P NYMEX 1000 PNL: 433.80, comms: 46.20, fills: 13, Pos: 0 Mon 09 Mar 2015 14:01:40 CL FOP 20150514 48 P NYMEX 1000 PNL: 427.66, comms: 32.34, fills: 9, Pos: 0 Thu 12 Mar 2015 08:27:20 CL FOP 20150514 46 P NYMEX 1000 PNL: 965.32, comms: 64.68, fills: 17, Pos: 0 Thu 12 Mar 2015 08:27:33 CL FOP 201506 57 C NYMEX 1000 PNL: 300.62, comms: 919.38, fills: 141, Pos: 0 Thu 12 Mar 2015 08:27:37 CL FOP 201506 58 C NYMEX 1000 PNL: 374.38, comms: 235.62, fills: 63, Pos: 0 Thu 12 Mar 2015 16:22:06 CL FOP 201506 55 C NYMEX 1000_L1 PNL: 336.72, comms: 203.28, fills: 52, Pos: 0 Wed 18 Mar 2015 14:36:21 CL FOP 20150514 39 P NYMEX 1000 PNL: 180.76, comms: 9.24, fills: 4, Pos: 0 Wed 18 Mar 2015 14:36:24 CL FOP 20150514 40 P NYMEX 1000 PNL: 260.76, comms: 9.24, fills: 4, Pos: 0 Wed 18 Mar 2015 14:36:27 CL FOP 20150514 41 P NYMEX 1000 PNL: 305.38, comms: 4.62, fills: 2, Pos: 0 Wed 18 Mar 2015 14:36:29 CL FOP 20150514 42 P NYMEX 1000 PNL: 305.38, comms: 4.62, fills: 2, Pos: 0 Wed 18 Mar 2015 14:36:35 CL FOP 20150514 45 P NYMEX 1000 PNL: 338.42, comms: 41.58, fills: 12, Pos: 0 Wed 18 Mar 2015 14:36:38 CL FOP 20150514 47 P NYMEX 1000 PNL: 393.80, comms: 46.20, fills: 14, Pos: 0 Wed 18 Mar 2015 14:36:41 CL FOP 20150514 48 P NYMEX 1000 PNL: 429.94, comms: 60.06, fills: 13, Pos: 0 Fri 20 Mar 2015 09:49:13 CL FOP 20150514 46 C NYMEX 1000 PNL: 516.14, comms: 13.86, fills: 4, Pos: 0 Fri 20 Mar 2015 09:49:39 CL FOP 20150514 55 C NYMEX 1000 PNL: 315.38, comms: 4.62, fills: 2, Pos: 0 Fri 20 Mar 2015 09:49:46 CL FOP 20150514 58 C NYMEX 1000 PNL: 215.38, comms: 4.62, fills: 2, Pos: 0 Fri 20 Mar 2015 09:49:50 CL FOP 20150514 60 C NYMEX 1000 PNL: 175.38, comms: 4.62, fills: 2, Pos: 0 Fri 20 Mar 2015 09:49:54 CL FOP 20150514 61 C NYMEX 1000 PNL: 25.38, comms: 4.62, fills: 2, Pos: 0 Fri 20 Mar 2015 09:51:00 CL FOP 20150514 39 P NYMEX 1000 PNL: 300.76, comms: 9.24, fills: 3, Pos: 0 Fri 20 Mar 2015 09:51:05 CL FOP 20150514 40 P NYMEX 1000 PNL: 300.76, comms: 9.24, fills: 3, Pos: 0 Fri 20 Mar 2015 09:51:08 CL FOP 20150514 41 P NYMEX 1000 PNL: 305.38, comms: 4.62, fills: 2, Pos: 0 Fri 20 Mar 2015 09:51:12 CL FOP 20150514 42 P NYMEX 1000 PNL: 305.38, comms: 4.62, fills: 2, Pos: 0 Fri 20 Mar 2015 09:51:34 CL FOP 20150514 44 P NYMEX 1000 PNL: 307.66, comms: 32.34, fills: 11, Pos: 0 Thu 26 Mar 2015 03:35:46 CL FUT 201504 NYMEX 1000_L1 PNL: 31,109.74, comms: 4,860.24, fills: 593, Pos: 0 Thu 26 Mar 2015 03:40:18 CL FUT 201504 NYMEX 1000_L2 PNL: 5,056.36, comms: 563.64, fills: 65, Pos: 0 Thu 26 Mar 2015 03:41:37 CL FOP 20150514 56 C NYMEX 1000 PNL: 341.52, comms: 18.48, fills: 7, Pos: 0 Thu 26 Mar 2015 03:41:44 CL FOP 20150514 39 P NYMEX 1000 PNL: 36.14, comms: 13.86, fills: 6, Pos: 0 Thu 26 Mar 2015 03:41:51 CL FUT 201505 NYMEX 1000_L1 PNL: 5,217.18, comms: 512.82, fills: 61, Pos: 0 Thu 26 Mar 2015 03:41:58 CL FUT 201505 NYMEX 1000_L11 PNL: 5,252.10, comms: 207.90, fills: 13, Pos: 0 Thu 26 Mar 2015 03:42:05 CL FUT 201505 NYMEX 1000_L13 PNL: 186.14, comms: 13.86, fills: 6, Pos: 0 Thu 26 Mar 2015 03:42:23 CL FUT 201505 NYMEX 1000_L2 PNL: 5,089.82, comms: 180.18, fills: 36, Pos: 0 Thu 26 Mar 2015 03:42:27 CL FUT 201505 NYMEX 1000_L5 PNL: 2,579.82, comms: 180.18, fills: 28, Pos: 0 Thu 26 Mar 2015 03:42:32 CL FUT 201505 NYMEX 1000_L8 PNL: 5,022.80, comms: 277.20, fills: 49, Pos: 0 Thu 26 Mar 2015 03:42:46 CL FUT 201505 NYMEX 1000_L9 PNL: 5,460.46, comms: 309.54, fills: 42, Pos: 0 Thu 26 Mar 2015 03:42:51 CL FUT 201505 NYMEX 1000_L7 PNL: 8,303.02, comms: 826.98, fills: 114, Pos: 0 Thu 26 Mar 2015 03:48:00 CL FUT 201505 NYMEX 1000 PNL: 5,010.58, comms: 189.42, fills: 45, Pos: 0 Thu 26 Mar 2015 03:48:06 CL FUT 201505 NYMEX 1000_L14 PNL: 1,548.06, comms: 401.94, fills: 10, Pos: 0 Thu 26 Mar 2015 03:48:19 CL FUT 201505 NYMEX 1000_L3 PNL: 5,036.02, comms: 133.98, fills: 22, Pos: 0 Thu 26 Mar 2015 03:48:24 CL FUT 201505 NYMEX 1000_L6 PNL: 930.70, comms: 69.30, fills: 10, Pos: 0 Thu 26 Mar 2015 03:48:37 CL FUT 201505 NYMEX 1000_L4 PNL: 24,875.72, comms: 434.28, fills: 78, Pos: 0 Thu 26 Mar 2015 03:50:23 DGAZ STK SMART PNL: 3,423.32, comms: 1,870.02, fills: 656, Pos: 0 Thu 26 Mar 2015 05:22:18 CL FOP 20150514 40 P NYMEX 1000 PNL: 36.14, comms: 13.86, fills: 6, Pos: 0 Thu 26 Mar 2015 05:22:23 CL FOP 20150514 41 P NYMEX 1000 PNL: 110.76, comms: 9.24, fills: 4, Pos: 0 Thu 26 Mar 2015 05:22:27 CL FOP 20150514 42 P NYMEX 1000 PNL: 150.76, comms: 9.24, fills: 4, Pos: 0 Thu 26 Mar 2015 05:22:32 CL FOP 20150514 42 P NYMEX 1000_L1 PNL: 317.66, comms: 32.34, fills: 11, Pos: 0 Thu 26 Mar 2015 05:22:37 CL FOP 20150514 48 P NYMEX 1000 PNL: 350.64, comms: 129.36, fills: 29, Pos: 0 Fri 27 Mar 2015 16:11:48 CL FUT 201505 NYMEX 1000_L12 PNL: 1,055.72, comms: 7,364.28, fills: 497, Pos: 0 Sat 04 Apr 2015 04:08:30 CL FUT 201505 NYMEX 1000_L10 PNL: 2,145.12, comms: 7,964.88, fills: 705, Pos: 0 Sat 04 Apr 2015 04:08:41 CL FUT 201505 NYMEX 1000_L15 PNL: 5,111.53, comms: 3,088.47, fills: 311, Pos: 0 Sat 04 Apr 2015 04:08:46 CL FUT 201505 NYMEX 1000_L16 PNL: 3,500.68, comms: 859.32, fills: 91, Pos: 0 Sat 04 Apr 2015 04:08:51 CL FUT 201505 NYMEX 1000_L17 PNL: 2,636.78, comms: 143.22, fills: 14, Pos: 0 Sat 04 Apr 2015 04:08:59 CL FUT 201505 NYMEX 1000_L19 PNL: 3,311.24, comms: 4,148.76, fills: 227, Pos: 0 Sat 04 Apr 2015 04:09:11 CL FOP 20150514 57 C NYMEX 1000 PNL: 337.54, comms: 152.46, fills: 32, Pos: 0 Sat 04 Apr 2015 04:09:18 CL FOP 20150514 39 P NYMEX 1000 PNL: 342.28, comms: 27.72, fills: 7, Pos: 0 Sat 04 Apr 2015 04:09:24 CL FOP 20150514 41 P NYMEX 1000 PNL: 352.28, comms: 27.72, fills: 7, Pos: 0 Sat 04 Apr 2015 04:09:30 CL FOP 20150514 43 P NYMEX 1000 PNL: 322.28, comms: 27.72, fills: 7, Pos: 0 Sat 04 Apr 2015 04:09:36 CL FOP 20150514 45 P NYMEX 1000 PNL: 353.04, comms: 36.96, fills: 9, Pos: 0 Sat 04 Apr 2015 04:09:41 CL FOP 20150514 46 P NYMEX 1000 PNL: 306.14, comms: 13.86, fills: 4, Pos: 0 Sat 04 Apr 2015 04:09:46 CL FOP 20150514 47 P NYMEX 1000 PNL: 321.52, comms: 18.48, fills: 5, Pos: 0 End of removed layers
The holiday and weekend is a good time to make some general considerations, and what are the most important things we have been seeing. We have seen that the major problems have been experienced when an excessive size (effect of "greed" ) has been used with ETFs or their options, while essentially all the recovery part, in this illustration, is due to CL and relative options. Now CL and ERX (and ERY) have obviously some "codirection" (although with different "drifts"), so one might have thought that trading the one or the other might have lead to similar looking results. On the contrary, we have seen, quite the opposite and we have also understood the causes. The fact is that once you use an excessive size with ETFs and you experience a significant DD, in practice it is often impossible to "get back" (at least by using the same instruments) because the less funds and the relatively high margin requirements in practice force you to take losses (which you would not ordinarily take with larger funds) and make a recovery practically impossible, or anyway very time consuming and discouraging. Also possible attempts of "revenge trading" on the same instruments which caused the issue, as we have seen, tend only to worsen the situation. In the case of ETFs, also overnight gaps, commissions and interests (and some possible execution issues) also have a quite very negative impact. Futures instead have much smaller margin requirements, and provide way more room for the scalping/hedging game. Clearly, we might also use excessive size with futures, but, overall, it appears they can take much more "abuse" than ETFs. This is more likely to happen when we are "anxious" to recover a previous DD. (Clearly, the problem with futures, is obviously the larger "granularity", requiring good risk capital). A crucial role appears to be played by the instrument microstructure, meaning in this case particularly the "shape and dynamic" of the price curve and the spread. For instance, trading and comparing the behavior of the December contract of CL and the May contract shows quite significant differences in performances (indulging in "semiautomatic scalping", where we more closely follow the scalping activity, actually gives a very practical "feeling" of the phenomenon). Later we will recap all these considerations in a more comprehensive overview, which might provide general guidelines. In next posts, I would also like to discuss, based on the experience so far, the matter of fund manager/ automation interaction, and the role of price direction "prediction" or "anticipation". There are several interesting questions like: Is everybody actually doing random (outcome) trades, even when they are following following precise entry rules ("signals"), which are believed to make a difference ? Can we actually significantly "predict" or "anticipate" a price direction? If yes, would that be enough for systematic profitability, or do we also need a "loss recovery" mechanism? Is the "loss recovery architecture", based on the concept of player superposition (as we have been using), the only way to create a systematic edge or "drift" that can push up in the long term our PNL curve ? I will discuss my point of view on these matters in the nest posts, based on actual experience: of course, feel free to illustrate your point of view, based on actual experience (let's avoid talking merely based on "strategy search/selection" through backtesting (without actual real-world testing), because in most cases they are, imho, just a pretty useless "interpolation exercise" leading, in many cases, to highly misleading expectations and to "curve-fitted delusions" ).
To better understand/explain why the "microstructure" (or, say, more down-to-eart, the spread and the relative amplitude of the fluctuations wrt to the underlying) appears to be so crucial for performances, the following simple drawing may offer some visual hints: It appears quite clear that both "sharper" moves and a smaller spread increase a lot the occasions where we can close a player (or a "scalp" if you prefer). Clearly, the situation is aggravated if there are also higher commissions, because, for instance, if the scalp is expressed as a target net amount, the larger commissions require a larger move to get the same given profit. In other words, to get our profit, the move must be sufficiently ample to overcome the spread, the commissions and a possible target profit (if defined). Looking in retrospective, this effect is something we have actually seen constantly in our "exploration" of various instruments. We have seen in fact that for the same reason (most) STKs in general do not do well (or they simply take "forever" to materialize some results), for various reasons: - "smoother" shape - large spread - relatively large margin requirements - commissions - relatively too small trading window - too much proportion of volatility within overnight gaps and too little in day trading - no control on overnight gaps - ... We have seen also that (a few of selected) leveraged ETFs do better, due to the "move amplification" (due to leverage: 2X, 3X), but, apart that, they also have all the cons affecting STKs, plus possible additional issues: long only constraint often enforced at the worst possible moments (especially on ultrashort ETFs), short interests, execution issues, possible strong drift (especially with leveraged instruments inversely correlated to the market) which is actually "palpable" even on a daily basis, and so on. With futures, several of the above issues get fixed. A new "issue" is however introduced, represented by the "granularity" of the instrument (say, the nominal value of a single contract), which of course shifts the all game to a level where most "trading enthusiasts" simply cannot play, and it becomes instead a playfield for serious investors, with little risk aversion and strong vision and personality. There are also some other specific issues with futures, like the periodic rollover, which is actually making less apparent the effect of contango or other "structural drifts" (affecting several instruments). We get around this by placing a target for each layer and minimizing the need for trading information rollover, and by playing/managing a game which is constantly aware of the possible drift of the instrument. [ Next week I will be "rolling back" the December CL contract to May, in consideration of these observations. To do that, I have also slightly modified the software application, which, for the trading information rollover procedure, was selecting (for the case of futures) only instruments with future expiration dates, while now we see that also the "backward" process can be quite meaningful, in real-world situations. ]
These two first days of the week CL moved up quite a bit, and we had a pretty large DD, due to the large short position, up to -50%. Also, I could not supervise the trading, so I could not manually adjust the game hedging action. Anyway, the problem turned out to be useful, as I spotted a couple of issues which I think need to be addressed soon. While it's useful to have the possibility to intervene "injecting" new entries, automatically closed by the application (what we have been calling "semiautomatic scalping"), there seems to be however currently a problem. In fact, within the automated games, I am using and absolute limit parameter for order sizes, which, if you recall, we introduced previously to avoid too large orders. However, in case of user interaction, if larger orders are introduced by the manager (injected), this limit might cause the hedging action to be largely insufficient, respect to the currently traded size. So, I am pondering to remove this limit and adopt a sizing method entirely based on a fraction of the open players of opposite side (that is sell players, when a buy player has to be open, and vice versa.) Another issue I have spotted is with the incremental size of the distance between players. In fact, so far I have been using a parameter (that the manager can specify) which enlarges the entry distance proportionally to the number of already existing players. However, some practical experience with the manipulation (grouping/splitting) the players, makes evident that the number of players can be indeed quite "arbitrary", as in fact, for instance, it can be chosen arbitrarily by the manager when splitting. So, at the moment, it appears more meaningful to use instead, the current number of "packets". In fact such a number would remain constant, for all possibile splitting and rearrangement of the players made by the manager. I will be adding those changes to the next software update. For now, all the loss accumulated about CL (about 370K) has been merged trough rollover (or "information transfer") on 1 layer only, and I have regrouped and re-split (players of size 5, spaced a half %) the players reorganizing the player level for possible recovery: So for now, we will deal with this one (and just a few PUT / CALL options).
We have ended the week with a bit of recovery (about 90K in the last 2 days) on the CL layer we are trading. The scalped amount for this layer has also increased to around 750K (last time we checked, see previous post picture, it was around 490K). In the meantime, I have changed the sizing method for the games as well as the issues we mentioned in the previous post with the computations of distances, and it seems to work better now. "Player view" and "All-order view": Embedding the trading information about the closed players It is interesting to note how the new features we have added for the "player level" reorganization (player grouping/splitting, etc.) provide also a way to introduce the information about the closed player within the recovery plan. In the past, I have been struggling a bit to find a viable conceptual solution to this problem (initially, I introduced a mechanism to adjust the avg of the single players, to incorporate the scalps of the closed players, but this felt a bit awkward and artificious), and it come out, almost unexpectedly, when introducing these features to deal with the players at a purely "logic level". The point is that the players do store trading information, but it is only the information about the orders which are still "open" (essentially "hedging" orders). This is, of course, crucial information, and, in essence, the very reason for a long term edge (or, at least "PNL drift"). In fact, it provides an objective and meaningful guidance when we need to "recover" a situation ("self-consistency" of the order cloud): in fact, all we need to do is to close all (or most of the) open players. (This is opposed to the situation of other approaches, where DD only causes (well justified) panic.) There is, however, also the trading information relative to the players which have been closed and in some occasion we may wish to reintroduce it in our consideration, for a more efficient and tight recovery plan. This is now possible by converting all the orders into (new) players and then regrouping and re-splitting them. Clearly, this requires also a conceptual leap, as the players are no more to be seen, naively, as "one-to-one counterparts" of open orders, but more abstract "independent" entities representing components of the buy/sell averages, which simply need to be "closed", in order to obtain a profit on the given layer. For instance, this could be applied right in this situation. The about 160K of new scalps closed on this layer could be used to create a new "recovery plan", where of course the new open buy players/sell players would fell in a more "favorable" position (for the purpose of closing them.)
More devastating DD these first 3 days of the week, with CL shooting up. Funds have now become insufficient, mostly due to the previous exaggerated sizes and losses, and we are accumulating significant new losses, as the buy players cannot close anymore once open, and they widen further the already large difference between the avg sell and avg buy. We are pretty close to blowing up the account, which is of course the best situation to learn something : I have been revising the game logic by taking account of all the things that came to my attention looking at this test: - I have removed the increase of the entry distance based on the number of existing players, and replaced with an increase based on the buy/sell side difference. This appears to be more meaningful, and it solves the problem relative to the fact that the player number can be arbitrary. - I have also removed the distinction between "averaging" and "pyramiding" entries, because the new possibility of arbitrarily relocating the open players, makes the distinction immaterial and actually confusing. I have also removed the "override" entry style called "positive move", which, in practice, appeared not particularly useful and significant: and any time a game simplification is possible, it's better to go for it . (So now the scalping/hedging game appears significantly simpler to configure.) - Another aspect which appears needing conceptual corrections is the overall sizing logic. In particular, it seems that, since our focus is on scalping the fluctuations and not riding the directional moves, it is better to increase earlier the order sizes in the loading/reversing phases, as a fraction of the other side, instead than waiting to arriving at a situation of excessive unilateral load. This may not feel much intuitive, but it appears necessary to overcome the "natural" (?) instinct of pursuing directional moves and reasoning in terms of "trends". I am currently carrying out a few simulations to confirm this observation. In other words, it appears better to gradually and continuously invert early the position according to the price direction (and closing the scalps as the players superpose), instead of insisting with large players later in the "protective" phase. In fact, at that time is often too late (especially if there are no more funds available), and the large buy/sell orders made at high/low price are not much helpful, and actually often make the situation significantly worse, because enlarge the difference between the buy/sell averages.