Snuskpelle's (kind of) Intraday Adventures 2019

Discussion in 'Journals' started by Snuskpelle, Jan 5, 2019.

  1. Snuskpelle

    Snuskpelle

    Starting long algo here, expecting market to trend either dir.
     
    #551     Jun 4, 2019
  2. Snuskpelle

    Snuskpelle

    Close for -12, not going anywhere. Euro session might be more fun.
     
    #552     Jun 4, 2019
  3. Snuskpelle

    Snuskpelle

    Started long algo on NQ, data release not so horrible and some mean reversion already took place from open.
     
    #553     Jun 5, 2019
  4. Snuskpelle

    Snuskpelle

    Closed -6, not being as straightforward as I hoped. Besides, my entry was kind of shit (above turnaround point so better get out of it).
     
    #554     Jun 5, 2019
  5. Snuskpelle

    Snuskpelle

    Waiting for HK33 open. If it was to break pattern of previous days to trend down strongly after open I will take long pos
     
    #555     Jun 5, 2019
  6. Snuskpelle

    Snuskpelle

    Nah, it's going down. Who could've thought. But since I have a mental block against placing bets against my perceived bias I can't exploit it. Automating away my bias remains a prio.. less talking more coding.
     
    #556     Jun 5, 2019
  7. Snuskpelle

    Snuskpelle

    New week, hopefully I get some actual time away from GF to trade.

    Have coded a purely automated strategy I might withdraw $10 000 for a sub-account for (which will mess with the balance of this acc). Results on this acc has been shit anyway with +8% YTD at time of writing, a far cry from aim outlined in OP, meawhile my B&H equities are up +18% with no effort required... Going to continue trying of course as stated on last couple of pages but I might as well allocate my experimental capital to more strategies that do not demand my manual intervention.
     
    #557     Jun 9, 2019
  8. Snuskpelle

    Snuskpelle

    Changes since last:
    • Exchanged all EUR to USD, both because of requirements for algohost to work correctly, and because nearest years I'm about skeptical towards the EMU lasting.
    • Running two algos now on 18k, each with 1.2 Sharpe. They are very basic just doing leverage control, not directional guesses.
    • Forward testing a market neutral Sharpe 2.7 algo I discovered by accident while testing some correlations trades, but as usual my expectation is this is caused by some bug or data flaw... If it works, I will definitely switch over a lot of capital to this one.
    I will resume semi-discretionary trading if market regime again changes to downtrend/high volatility. It's been clear since January however that whenever market is running up in a stable manner I'm left behind, which is what I am trying to rectify here.
     
    #558     Jun 17, 2019
  9. Snuskpelle

    Snuskpelle

    Gave in and closed down production algos awaiting Fed rate decision tomorrow, I can't predict the outcome of this and I'm up 2% since starting them last week. Not comfortable leaving leveraged dumb beta algo running through this event. Forward test of market neutral algo proceeds however.
     
    #559     Jun 17, 2019
  10. Snuskpelle

    Snuskpelle

    So uh, worst exit ever? Would have been up 5% today or so... Only chance for redemption is if Powell fails to deliver more wealth disparity (rate cuts) tomorrow. :D
     
    #560     Jun 18, 2019