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

    Excellent results. :thumbsup:

    Best wishes for continued success in 2024.

    I started to study day trading in early 2023, it is based on trend following. Went live in July 2023 and have six moths of combined paper and live trade results. The results are very positive but I could be fooled by randomness. Only time will tell.

    A couple of general questions if you don't mind:

    Are you a trend follower or do you use predictive algorithm?

    Is your system pattern or formula based?
     
    #841     Jan 18, 2024
  2. hilmy83

    hilmy83

    Thanks ironchef.

    I use a simple breakout strategy. No predictive element other than following the price break. It's both pattern and formula based I guess, since entries and exits are pre calculated.

    By the way, who's your favorite iron chef?
     
    #842     Jan 18, 2024
  3. ironchef

    ironchef

    I have no favorite iron chef, always rooted for the underdog challengers.

    As a amateur retail, I too am an underdog challenging the elite traders.
     
    #843     Jan 18, 2024
  4. hilmy83

    hilmy83

    Wonder victory as English FFA nomad


    God daammnnnnn

    upload_2024-1-26_18-11-47.png
     
    #844     Jan 26, 2024
  5. hilmy83

    hilmy83

    For whatever reason, I can pull up @ENQ contract on MT5 that goes back to 1999. So taking advantage of this this stroke of luck with data access, I ran some backtests

    Backtests of current settings:
    4/1-10/31. Can't do continous tests since MT5 time doesnt' adjust with DST.
    Each test starts with 50k
    Trading NQ

    2023
    upload_2024-1-27_15-35-50.png

    2022
    upload_2024-1-27_15-36-38.png

    2021
    upload_2024-1-27_15-38-21.png

    2020
    upload_2024-1-27_15-39-19.png

    2019
    upload_2024-1-27_15-40-38.png

    2018
    upload_2024-1-27_15-42-5.png

    2017
    upload_2024-1-27_15-54-14.png

    2016
    upload_2024-1-27_15-53-29.png

    2015
    upload_2024-1-27_15-55-5.png

    2014
    upload_2024-1-27_15-56-40.png


    Will run the next tests on a more "aggressive" setting for b/e or profit.
    Then I'll give my 2c on this.
     
    #845     Jan 27, 2024
    shuraver likes this.
  6. hilmy83

    hilmy83

    "Agressive" b/e or tp

    2023
    upload_2024-1-27_16-11-11.png

    2022
    upload_2024-1-27_16-12-10.png

    2021
    upload_2024-1-27_16-13-6.png

    2020
    upload_2024-1-27_16-13-57.png

    2019
    upload_2024-1-27_16-15-9.png

    2018
    upload_2024-1-27_16-16-9.png

    2017
    upload_2024-1-27_16-17-20.png

    2016
    upload_2024-1-27_16-18-5.png

    2015
    upload_2024-1-27_16-18-53.png

    2014
    upload_2024-1-27_16-21-21.png
     
    #846     Jan 27, 2024
  7. hilmy83

    hilmy83

    "Conservative TP" , aggressive sequence

    2023
    upload_2024-1-27_17-7-29.png

    2022
    upload_2024-1-27_17-8-9.png


    2021
    upload_2024-1-27_17-8-52.png

    2020
    upload_2024-1-27_17-9-39.png

    2019
    upload_2024-1-27_17-10-26.png

    2018
    upload_2024-1-27_17-12-16.png

    2017
    upload_2024-1-27_17-12-58.png

    2016
    upload_2024-1-27_17-13-44.png

    2015
    upload_2024-1-27_17-14-33.png

    2014
    upload_2024-1-27_17-15-13.png
     
    #847     Jan 27, 2024
  8. hilmy83

    hilmy83

    #848     Jan 27, 2024
  9. hilmy83

    hilmy83

    Basically in and out ASAP, and keep going and hope to God volatility picks up as trading session goes on.

    2014-2017 the OR were so tiny compared to 2021-2023. Best "worst case" scenario is to get caught in a range within low volatility.

    Current settings don't do well in earlier years when NQ range was in comatose 2014-2016.
     
    #849     Jan 27, 2024
  10. hilmy83

    hilmy83

    Default settings
    2016

    upload_2024-1-27_17-57-7.png

    Updated conservative settings
    2016

    upload_2024-1-27_17-58-13.png

    I have to take a loss. I mean can't trade and think that I won't experience the black swan. The question is, how do I soften the blow while maintaining acceptable returns for the risk.

    I think I like the conservative approach.
     
    #850     Jan 27, 2024
    jeffco, shuraver and ondafringe like this.