Journal, September 01

Discussion in 'Trading' started by dozu888, Sep 6, 2001.

  1. dozu888


    emini NQ, 1 contract
    date, trades, pts
    9/4, 4, 51.5
    9/5, 1, -4
    9/6, 3, -11.5
    9/7, 2, -7 market sux :p
    9/10, 2, -7.5 chop chop
    9/17, 2, 22.5
    9/18, 4, 30.5
    9/19, 1, -4
    9/20, 0,
    9/21, 0,
    9/24, 5, -18
    9/25, 0,
    9/26, 1, 11.5
    9/27, 4, 27.5
    9/28, 7, -24


    10/1, 4, -13.5 this market is bad :(
    10/2, 0, fed day.
    10/3, 3, 67.5
    10/4, 2, -10
    10/5, 2, -8, how can you trade this crap ?
    10/8, 2, -8, my baby is bleeding
    10/9, 5, -10
    10/10, 3, 9
    10/11, 3, -11.5
    10/12, 1, -4
    10/15, 2,-6
    10/16, 4, -20.5
    10/17, 2, 88,
    10/18, 5, -18.5
    10/19, 4, 20
    10/22, 3, 9.5
    10/23, 5, 0.5
    10/24, 5, -22
    10/25, 2, 56
    10/26, 4, -21
    10/29, 4, 24.5
    10/30, 5, -20.5
    10/31, 7, -12
    total 89.5 points
  2. dozu888


    had a wrong title for the thread, it's not really a journal, but basically a trading log by the robot. no ifs ands or buts.

    I will post the October log under the same thread, just to give guys an idea what I think is a decent robot can do with emini.

    So in September it basically made about 70 points, considering the closed days and some days after 9/11 which were too volatile for the robot to handle, it's ain't too bad.

    I would also like to get some comparison from you "discretional" traders out there who also plays NQ, what kinda performance you got this month on per contract basis.
  3. Give us more detail on this "bot".

    How does it work?

    What is the programming code?

    Thanks for helping a fellow trader!

    Bucky Lee
  4. js1257


    Dozu, please post more on this "robot".
  5. m_c_a98


    Doz, I've Messaged you twice about what broker you use and what API you use and I haven't recieved a response.
    I don't want to know your system, I just want to know about how you created the interface.

    I look forward to your postings in October.

    Take care.
  6. dozu888


    I am getting data feed from API, coding is done in C++. Currently order entry is not automatic yet, working on the patsystems API to go full-auto.

    elocal, PMB and netfutures support the patsystems API.

    so eventually the goal is to flip a switch in the morning, go fishing for the day, and come back collect cash :cool:

    There is lots of work to do... multiple time frames, multiple systesm, multiple markets, multiple vehicles... the possibilities are endless :)

    the emini's are basically the easiest thing for system development.. you are almost guaranteed a fill at the price you want, if not too many contracts are on the line. therefore execution is basically a non-issue, you just market order in, market order out. I watched currency futures and HangSeng, believe will need a smarter robot to get better fills.
  7. WarEagle

    WarEagle Moderator


    Are these results from actual trading or from running a system test? One contract or multiple?

    Interesting to watch a system trader in action...


  8. dozu888


    When I am available during the day, I follow the signals, otherwise I post the results from running through the tick data of the day. Always 1 contract for the moment. For small size, there is virtuelly no difference between actual/test trading.

    Will be tied up in other stuff through the end of the year at least, so the results will be for test trading, until I can go full-auto.
  9. WarEagle

    WarEagle Moderator

    I'd like to see the results over a longer period of time, but for 25% a month I think I'd drop all the other "stuff" and watch every tick. :)

    While I don't doubt you have a good "robot", I've always been skeptical that a mechanical system can stay robust over the long run, particularly with such a high return. At that rate, your system makes you a billionaire in less than 5 years, disregarding the obvious liquidity problems. I know others here like tntneo have found mechanical ways to trade, but long term system success has eluded me. Glad to see its working for someone.

    Best of luck (and a high average trade value to you!),

  10. dozu888


    Kirk, I have the same skepticism as yours and that's why I cannot drop my other "stuff" now. You can see in September the maximum drawdown is only about 30 pts or so, in more extensive back testing, this will be about 2 times bigger.

    And to replace my income from other "stuff" with trading, I would have to play enough size which will also magnify the max draw down many fold.

    Also the NQ liquidity will probably guarantee you 5-10 contracts at the price you want, without causing slippage, therefore the instant billionare thing is out of the reach.

    So there is work to be done to expand the idea across multiple time frames, systems, markets, vehicles.... which just make the research more interesting. So the idea is to make the robots full-auto, and accumulate enough dough till I am comfortable enough to drop the other "stuff". :)
    #10     Sep 29, 2001