I usually write black boxes for other firms and usually in the equity options market. This is my first attempt at writing a fully automated trading system for futures S&P eminis. I will be using REAL MONEY, no simulation. (of course Iâve done background testing on it) Here are the specs. API = I am using Open E Cryâs API for Order execution Money = Real Money ($5000) Commission = I bargained with Open E Cry but they will only give me 2.35 per side, since it is only 5k, Iâm not going to fret over it. Slippage = All my orders are market so whatever the market will give me. General Rules = only 1 trade per day using only 1 contract (for now). Must close out of position at close, may not trade before 7 am. The signal relies on Bloomberg data feed (yes I have my own private feed) for determining itâs entry and exit position. Risk to Reward = set to 1.65
It's mine. Firms I work easily throw away 200k at some crazy idea, I am a poor chap, so 5k is what i'm willing to risk.
Chart for 8-26-2008 trade. Don't ask me why there's a buy and sell arrow, i think it's messed up coding from open e cry, don't get me wrong i would have loved to get those buy's and sells. But the real ones are in yellow.
Day 3 â Trade 3 Gain of +6 handles = Total $332.80 including slippage and commission Good news, after yesterdayâs loss, the block box did me proud today. Itâs not as amazing as some of the systems Iâve seen but itâs holding itâs own. Iâll Attach the chart of my black box later. Someone asked me âWhich software do you recommend for backtesting?â What I can recommend is if youâre a programmer, always do it from scratch! Iâve always built them from scratch for my clients except for the between 1991 and 93 when I use to use supercharts (ha youâre as old as me if you remember that application!). However, if youâre short on time or donât have programming ability, thereâs lots out there including tradestation, wealth labs, and recently Iâve toyed around with multicharts.