Index futures automation

Discussion in 'Journals' started by hilmy83, Jul 3, 2022.

Can a fully automated trading strategy work in the long run?

  1. YES!

    56 vote(s)
    66.7%
  2. Hell naw.

    15 vote(s)
    17.9%
  3. I don't know, I got my own trading to worry about.

    13 vote(s)
    15.5%
  1. Millionaire

    Millionaire

    This is a bit familiar, i hope you can turn things around, you have a high win rate but a few losses erased all your previous profits. This seems common with high win rate trading. Has happened to me in the distant past when i tried to get a high win rate..
     
    #31     Jul 9, 2022
  2. schizo

    schizo

    So this is a hard stop that automatically heads for the exit after 2 hours? Maybe you should consider using a more dynamic stop placement.
     
    #32     Jul 9, 2022
  3. hilmy83

    hilmy83

    Yea so I have stop and reverse but also a timed stop. Timed stop is something new I have been experimenting with my bot. I think 2 hours is a bit short, so going to adjust this going forward.
     
    #33     Jul 9, 2022
  4. Overnight

    Overnight

    A timing bot is rough, because you would have to work around news releases and figure lead and lag times. Tricky business. I can see that working in the Asian and early Euro sessions though in ETH on the index futures.

    Of course, I do not know what your triggers for entry are. Keep an eye on those key ETH times of 8 PM, 9 PM, 10 PM, and 1-2 AM timeframes, Eastern Time.
     
    #34     Jul 9, 2022
    hilmy83 likes this.
  5. hilmy83

    hilmy83

    Better results this week, pushing the month to date into positive territory. Ran some backtests on the expanded time stop setting and it showed good results. It's always a challenge to balance between giving trades more room to work vs cutting your losses, but i think i found a workable setting.

    So far MES has been on the 100% track record, while MYM is on the very slow recovery. Hopefully in few more weeks i get a real stats with losses included across all 4 indexes.

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    #35     Jul 16, 2022
    Nobert and Overnight like this.
  6. Overnight

    Overnight

    That's a good recovery.
     
    #36     Jul 16, 2022
    Nobert and hilmy83 like this.
  7. hilmy83

    hilmy83

    recovered the DD this week. Also added the micro dax (FDXS) since I like the way it moves.

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    Noticed last week that MT5 is not the "speediest" when it comes to calculationg positions. Not sure if it has to do with the ping/vps location, or that i'm running the algo on multiple markets at the same time. But it seems it executes commands in sequence rather than in parallel .

    Example: m2k supposed to have buy/sell stops initiated (around 13:45). But, it looks like it was "busy" with other markets, that by the time m2k orders were ready to be placed, price moved beyond my levels and the buy stop got rejected multiple times. It wasn't until 22 seconds in that my order got placed!

    Not sure if this is due to the slow ping from vps location or maybe MT5 jsut sucks ass. Or maybe i'm running the same algo on multiple markets, that it's executing commands in sequence rather than in parallel? Maybe magic numbers for each market will help to execute everyting at the same time?.

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    Last edited: Jul 23, 2022
    #37     Jul 23, 2022
  8. Huge difference: manual vs. automated.
    Go ahead and try to build an algo that has intuition and is news-aware.
    Good luck.
    Auto systems garnish small profits with frequent trrades.
     
    #38     Jul 23, 2022
  9. hilmy83

    hilmy83

    got the dreaded message from AMP again that my algo acting up.

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    and after reviewing my trades, it seems like my algo keep cancelling the damn order over and over. I cant fucking figure it out. it's a stop order (to reverse 12 contracts) with 24 contracts.

    sigh need to go back to the program and debug this

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    #39     Jul 27, 2022
  10. hilmy83

    hilmy83

    log showing algo deleting it..no rejected

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    #40     Jul 27, 2022