Automated Trend Following Futures Basket

Discussion in 'Journals' started by Zr1Trader, Mar 24, 2011.

  1. This journal is for me mostly and for others to see how a proper Automated system should be checked and modeled before going live with it. Will post daily results. Note that the Drawdown modeled could be smaller than what will be expected due to my platform "averaging" all of the Drawdowns from the instruments. Instead of giving true intraday drawdowns.

    Currently forward testing in sim, will continue to do so for 3-6 months, then will go live if everything stays in line. Sim fills are modeled "trade through price"

    This is an intra-day system. 5 min Timeframe. Catches trends.

    Backtest from 2006 to now, Fills have been modeled with a "trade through price" algorithm. 2 ticks of slippage per exit have been modeled. 1 contract is currently used.

    Including commissions and 2 ticks slippage the system has back tested netting a profit of $112,000 from jan 1 2006 with 1 contract traded per instrument. I expect the system to do slightly better because slippage usually is only 1-0 ticks.

  2. Walk forward performance since March 7th 2011. Will continue to post daily updates at the end of each day.
  3. Hi, today the system took 1 trade in wheat for a gain of $170.

    BTW in yesterdays post of walkforward results i accidentally had instruments that where not supposed to be included in it so the accurate updated walkforward results from march 7 to now are as follows. Have a nice weekend.
  4. No trades today.
  5. 7 trades today -$176

    So far everything working well as far as slippage and order execution, no surprises so far. One note I would like to add is that it helps to have an automatic sync with atomic time everyday setup on the computer to make sure everything is "on the dot" and lined up well with backtest results.
  6. 5 trades -$987
  7. -$335

    3 trades

    losers in zb. zn
    winnerr in zw .

    Should be a big winner coming up here in the near future.
  8. 6 trades -$291

    NG -224.50
    GC -214.50
    NG -204.50
    GC +135
    NG +155
    ZB +58

    No problems this week. Waiting patiently for "the big one". Have a good weekend.
  9. How do you mentally survive this method with your average yearly gross losses being nearly $117,000.00 larger than your average yearly net gains?

    I'm thinking if I have to loose almost $143,000 against wins of over $171,000.00 each year, I'd need a case of tums to survive each month.

    This works out to a net of only $2322.92 a month per contract.

    Good luck to you sir.
  10. Thanks, mentally, if one only allocate say 3-5%, survives. Also, this testing period is to see what kind of equity curve there is with all the instruments combined because ninja doesn't have that information. Ninja only provides each individual equity curve of the instruments. From what I've seen everything combined should be doable. After 6 months, If I don't like it, ill scrap it. If I like it , i'll trade it. :)
    #10     Apr 4, 2011