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

    testing and more testing. running the algo on pre market and regular market to see how it behaves.
    upload_2022-8-23_21-0-21.png
     
    #61     Aug 23, 2022
  2. hilmy83

    hilmy83

    so i have edited the algo just a bit to have a quicker recovery factor. i'm experimenting with a fixed martingale cycle implemented on high hit rate strategy.

    so I'm running this on a very small account to see how long it runs. Right now I'm going back to trading 5 markets (mes,mnq,m2k,mym,fdxs). If it works out for few months, i'll add more markets (ftse, nikkei, han seng) to the mix.

    high volume breakout is the name of the game for this algo. So we'll see how far this goes

    funny enough it experienced the first loss as soon as i started, so then the recovery setting kicked in and managed to get out of that.

    upload_2022-9-13_12-49-51.png
     
    #62     Sep 13, 2022
    shuraver and BKR88 like this.
  3. hilmy83

    hilmy83

    2 more weeks in, no errors with the algo.

    Even though it has a session stop, fixed martingale on recovery can get hairy. not sure how long this will survive. I think trading multiple markets actually helps.

    upload_2022-9-23_9-12-21.png
    upload_2022-9-23_9-6-46.png

    upload_2022-9-23_9-7-22.png
     
    Last edited: Sep 23, 2022
    #63     Sep 23, 2022
    shuraver likes this.
  4. hilmy83

    hilmy83

    First full month of auto trading. sure beats sitting at the screen all night

    still too early to know if this strategy has legs.

    upload_2022-9-30_12-20-10.png

    upload_2022-9-30_12-21-30.png

    upload_2022-9-30_12-23-1.png
     
    #64     Sep 30, 2022
    NoahA, Laissez Faire and shuraver like this.
  5. Overnight

    Overnight

    To me it looks like it does have legs. You started these final versions of the algo about a month ago, during some of the most stressful trading ranges of the year? The metrics look great! Your profit trades are greater than loss trades percentage wise.

    Just the net profit numbers alone should give you pause to ponder implementing it (In that I mean, really think on it hard. Give it some thought, not to doubt it, but to realize that it is actually working). Great work!
     
    #65     Sep 30, 2022
    Laissez Faire likes this.
  6. hilmy83

    hilmy83

    thanks, but i've had strategies that work 4-6 months only to fail later. i'll get excited after 1 year maybe
     
    #66     Oct 1, 2022
  7. hilmy83

    hilmy83

    1.jpg 2.jpg

    3.jpg

    need to look at other tradjing journals online where i can load up the mt5 data to see more stats.
     
    #67     Oct 7, 2022
    NoahA likes this.
  8. hilmy83

    hilmy83

    #68     Oct 8, 2022
    Sprout and NoahA like this.
  9. destriero

    destriero

    It's a high vol-regime strategy. If vols dry up it's going to get killed but work it while it lasts.
     
    #69     Oct 8, 2022
    hilmy83 likes this.
  10. hilmy83

    hilmy83

    So far so good, but finding issues like price discrepancy and lagging makes it hard to trade the algo. Found issues with mt5 and cqg since i started this whole thing.

    https://www.elitetrader.com/et/threads/cqg-mispricing-mym.369957/
    https://www.elitetrader.com/et/threads/cqg-vs-amp-vs-mt5.370303/
    https://www.elitetrader.com/et/threads/index-futures-automation.368144/page-5#post-5649385


    If the problems continue, there is a strong possiblity that i switch over to ironbeam mt5 wtih direct market access
    https://www.elitetrader.com/et/threads/cqg-vs-amp-vs-mt5.370303/page-2#post-5695586

    It would be better once i can transition to eminis because micros commissions are just overall crappy. That will require at least 50k though just based on how this strategy works.


    upload_2022-10-14_8-54-50.png
    upload_2022-10-14_9-2-26.png

    upload_2022-10-14_9-3-26.png
     
    #70     Oct 14, 2022
    Ace66 and NoahA like this.