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. ironchef

    ironchef

    :strong::strong::strong::thumbsup::thumbsup::thumbsup:

    Keep it up.
     
    #771     Nov 30, 2023
  2. hilmy83

    hilmy83

    Feedback I got pitching the idea of managing money with the bot..

    upload_2023-11-30_11-31-10.png

    upload_2023-11-30_11-31-53.png

    upload_2023-11-30_11-32-42.png

    I think people do respect longer track records...

    Or maybe the idea is absurd.

    I'll have to revisit this after 3 years of history.
     
    #772     Nov 30, 2023
    SimpleMeLike, ab_trader and shuraver like this.
  3. ab_trader

    ab_trader

    i think your green equity curve can scare people as well. :) there is no a sign of the 10-15% drawdown with 50% return. such types of equities are typically belong to martingale/averaging down systems and have only one drawdown at the very end with typical size of 100%.
     
    #773     Nov 30, 2023
  4. hilmy83

    hilmy83

  5. hilmy83

    hilmy83

    Not sure how I want to report monthly pnl at this point. Initially i took out the positive outliers. But this month, i had a negative outlier. Should I leave that out?

    I lost -$1275.5 this month which is due to the unexplained bot error (and my own continued stupidity) led to -3k loss on 11/13. Without that outlier, this would've been about $1700 profit, which is pretty much in line with other months.

    upload_2023-12-1_9-12-34.png

    As @rb7 says, the bot is never going to be perfect and I have to accept that, good or bad. I think it would be problematic trying to keep up with the outliers, so might as well just give it straight.

    So going forward, what you see, is what it is:

    Mar: $803
    Apr: $1561.50
    May: $961.5
    Jun: $1136
    Jul: $929
    Aug: $8179
    Sep: $4026.50
    Oct: $2552.5
    Nov: -$1275.5

    Daily reporting will also not be filtered from the outliers going forward. I'm just going to treat bot imperfection as a cost of business.
     
    Last edited: Dec 1, 2023
    #775     Dec 1, 2023
    jl1575 and ironchef like this.
  6. ironchef

    ironchef

    Excellent points. I think he will be OK if he does fractional Kelly and regularly takes some chips off the table.
     
    #776     Dec 1, 2023
  7. hilmy83

    hilmy83

  8. hilmy83

    hilmy83

    #778     Dec 3, 2023
  9. newwurldmn

    newwurldmn

    So the graph has the outliers filtered out?
     
    #779     Dec 3, 2023
  10. newwurldmn

    newwurldmn

    #780     Dec 3, 2023
    hilmy83 likes this.