I opened a futures account in October 2020 with $2000. My first trade got closed by broker due to margin call. I reloaded account, then worked on deploying an automated strategy to trade micros. I think I currently have it in the form I can live with and not override (excessively). Before, I was trading the Russell and Dow micros, along with MNQ and MES. Now just trading MNQ and MES, as they seem to do better with my strategy. And I don’t want to trade too many instruments giving me exposure that I can’t live with. I also recently included 10 yr. US treasury futures as an uncorrelated instrument. It seems to spike during market drops, presumably due to speculators moving money to safer bets. I’m, not sure what I want to accomplish with this journal, other than to say, “Look Ma what I can do!” I have been a lurker on ET for years, and just looking to add some content and bouncing ideas off of other traders. Here are monthly brokerage profits/losses since opening my futures account. I will post monthly brokerage statement screenshots each month. There was considerable amount of discretionary trading along with the automation leading to bigger DD in early 2021. The holds were for longer duration (few days), and I was trading more instruments (overleveraged). Now my holds typically average a few hours. The automation is on 24/7. I just don't feel comfortable holding more than a few hours, as the market reverses without warning. More stuff to follow…
Here are daily closes of account balance compared to ES starting on 7/15/2021. Starting balance of $178867. I know based on the DD, an account blow up is inevitable. Which is why I want to go full automation to control those "urges", and have limits on exposure.
If you are worried about blowing up why keep all that money in the account. I doubt you need that much to cover margin if you are mainly trading micro contracts?
Hi Millionare, my backtesting shows that even at limiting contracts to around a dozen of each, drawdown could easily be 50K. My stops losses are indicator based. I want the extra cushion. Also, when the market is down 10% or more, I may want to increase contracts.
Here is where I monitor my positions other than the actual chart. Exposure is defined as (AccountEquity-Purchasingpower)/AccountEquity;. When it gets to 100% it is margin call time! If the leverage total field of MNQ and MES is 1.0, that means 1X leverage is being used. I calculate that I can trade up to a leverage of 16X on the micros, before a margin call. Which I would never use! Several fields are blank, because I am currently 100% cash.
Love the charts, thanks for posting them. I see that all your entries are longs. Is this is a long only strategy or are you only getting long signals? Did the strategy work as well after Nov 22 when we had a roughly 5% pullback? Obviously there are lots of chances to make money on longs as well if you're only holding for minutes, but the general trend was down. Also, do you have a max stop on all the scaled in positions?