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. hilmy83

    hilmy83

  2. ondafringe

    ondafringe


    You don't know how to calculate your credit and you actually tried to initiate an options trade?

    That makes me cringe! :)
     
    #672     Oct 19, 2023
  3. hilmy83

    hilmy83

    Normally these platforms show it beforehand when you're filling out the order ticket, but I couldn't see anything since AMP restricts selling. I thought they base it on tick multiplier..

    Oh well, it's irrelevant anyway since I'm not going to bother with options with AMP if I can only go long.
     
    #673     Oct 19, 2023
    ondafringe likes this.
  4. hilmy83

    hilmy83

  5. hilmy83

    hilmy83

    Took all the live trades I've made (on QT and MT5) since 2/20/23 and removed positive outliers (algo malfunction).

    Did some basic stats:

    upload_2023-10-20_18-41-7.png

    upload_2023-10-20_18-22-21.png
    upload_2023-10-20_18-28-22.png


    upload_2023-10-20_18-36-10.png

    Not sure if this is the right risk of ruin.

    upload_2023-10-20_18-3-52.png
     
    Last edited: Oct 20, 2023
    #675     Oct 20, 2023
    rb7 and shuraver like this.
  6. hilmy83

    hilmy83

  7. Mo06

    Mo06

    The last chart 'Cumulative Profit' suggests a pretty significant drawdown, I take it that was just intraday drawdown ?
    How large was it ?
     
    #677     Oct 24, 2023
  8. hilmy83

    hilmy83

  9. hilmy83

    hilmy83

    i think peak pnl dd was like 60%
     
    #679     Oct 24, 2023
  10. hilmy83

    hilmy83

    I'm not sure if I'm exploiting some inefficiency, a pattern of some sorts, or just plain lucky.

    But 8 months in, live has so far reflect backtest results to a "T".
    Last black swan was in early 2021, but luckily it was somewhat small range market. I can't fathom a black swan on a large volatility. That would be pretty scary.

    Seeing signs of it the last few months of what that might look like
     
    #680     Oct 24, 2023