ES + CL + more - having multiple futures auto-strategy

Discussion in 'Commodity Futures' started by autom, Feb 18, 2017.

  1. autom

    autom

    Guys,
    I have got a ES auto-trading strategy going in ninjatrader.
    I am also planning on adding a CL strategy and one more instrument may be NG in near future (of course with a decent backtesting)
    My goal is to reduce the "combined" drawdown. I am thinking that if one strategy loses for some period, others will gain and overall i will not have a continued losing streak. And also, i will have more trading days than just once in 8/10 days
    And i can use the same capital because all of them wont trade at the same day most probably.
    Do you guys see any obvious issues with this ? I believe the total drawdown will be lesser than trading just one instrument.
    There is a chance of all of them losing during same month etc, but very rare IMO
    And they will all be intraday
     
    Last edited: Feb 18, 2017
  2. Overnight

    Overnight


    Well, CL and NG have the same trading hours, and ES is very very close to them. Last Trade Dates are a bit different between them. Is that what you are asking?
     
  3. autom

    autom

    No, that is not what i asked. The question is more of the drawdown or if anybody tried that and faced any problems
    Most likely, not all of those strategy will trade on the same day..only depends on my strategy logic/market condition
     
  4. Overnight

    Overnight

    Oh. You mean you are looking for some sort of confluence strategy? Like if ES goes one way, CL/NG goes the other? As for drawdowns, well, only thing I know (which is not much), is that you can really only drawdown when you close a trade at a loss, or your broker forces you to close a trade at a loss. Otherwise, the rest is on paper. It's an "unrealized drawdown".
     
    Handle123 likes this.
  5. autom

    autom

    yes. I mean they dont depend on each other and trade as per their own strategy. But trying get better odds this way
     
  6. Xela

    Xela


    Do you have one strategy, on one instrument, that is tradable profitably, with a genuine, proven edge and that has an acceptable drawdown on its own? (I ask because it seems to me that until the answer to that question is a clearcut, unambiguous "yes", any time spent exploring the concept of diversification might actually be a distraction.)
     
    eusdaiki, autom, Handle123 and 2 others like this.
  7. Overnight

    Overnight

  8. algofy

    algofy

    @autom agree 100% with Xela here.
     
  9. xandman

    xandman

    Depends on the type of strategy your employing. For example, if you are running trend trading strategies on ES and CL with closely similar time frames, you will find the PnL reflecting the very positive correlations of the two products....which means they will produce drawdowns at the same time!
     
  10. Handle123

    Handle123

    LOL, yea I use to think "this will never happen" as when doing the back testing it never happened, but what it was at the time I was too cheap to buy more data going back further. Buddy, it not a matter of if it won't happen, I guarantee you it will happen and happen when you trading most contracts and it will hurt like passing kidney stones. It is like doing a spread on same market and different contract months, I thought no way can I ever lose doing this, yea lost and lost big. Trade long enough.....
     
    #10     Feb 18, 2017
    eusdaiki and Xela like this.