Yesterday we have beaten our highest watermark, with PNL reaching beyond +375K. Currently still high (around +370K), mostly due to the three active CL layers. NG is still mostly in an "investment phase" with several players waiting a chance to close. NG does have much less of those rapidly exploitable fluctuations, respect to CL, and requires more patience (ag and FX stuff generally is even "slower" in that regard).
I was unsure about ending here this illustration and start a new one. Since some layers of CL and NKD seem to have engaged in a new "load" phase (some DD and G-L shooting up) I think I will let it run for some more time to see how it goes. In the meantime, I will be running a few more sims to improve the action of the naked "scalping/hedging" game and prepare for the next illustration, where I want to try some variations on the way to overlay the various long/short layers of the same instrument. Even though we are in a "load" phase for some instrument, we don't have a very large DD, because the number of layers involved is much smaller now that I have closed many of them (those are in italic font in the folio picture):
Continuing our illustration, this week we had a pretty large DD, going from the peak PNL of +384K all the way down to about +90K. A 300K investment, mostly on CL. At the same time, we are carrying out surrounding games with options and ETFs (in semi-automation). Currently around +130K, the situation is pretty ordinary and poses no worries, and at the same time NG is slowly recovering through scalping: Rushing now to a meeting, this evening will make more considerations about capital and approach.
Today the situation is looking slightly better, while the PNL fluctuates around +255K, with some DD recovering. In the meantime the "potential for profit" (G-L) has shoot up quite high, due to the short position on CL (which is my preferred trading direction for this instrument). I rolled over ZL MAY 16 to ZL JUL 16, to avoid broker forced close, and I am looking for eliminating completely the slow AG stuff. I will probably just leave ZM. On the ETFs front, all fine: SCO has returned completely to the "base", while I have starting loading up on NUGT. So far all ETFs have been largely successful (we do pay dear interest though), and it's an easy game to grab money from them, with this kind of capital.
I guess someone is going to have a bad day today (with CL). This time the gap was in our favor, since, as explained in the previous post, the application had taken the short side on 3 layers, and we have broken again our highest watermark, with PNL shooting up to +410K. While this is good news for us, it should also be taken to teach us something, like take some precaution for the weekend gaps (for instance go flat before the end of the Friday session) in case there is not much capital available (which was not our case anyway). At the same time, on the option side, I am slowly loading up (short) on some CL put. On the ETF front, clearly, SCO will also shoot up (when the ETFs start trading), and give us the opportunity to restart our game of "scheduled entries" on it and, this time, we will be more careful and avoid the previous "blunder".
Hello jarjar, Well, it's a large client application which "talks" to IB API to execute the orders and collect the relevant events. In this sense, yes all the trading happens from here, and via the broker API. (The only exception can be possible liquidations or forced close action made by the broker, which are then inserted within the application as "virtual" orders, in order to re-sync it with the underlying account.)
I see just checked it out, it looks quite mature. Do you use this for back testing as well? I am developing my own basic platform, and I have nearly all of IB hooked up already. My main problem now is back testing. I really don't want to write my own backtester when there is so many available, also calculating some of the indicators seems quite complex.
The application contains also facilities for both backtesting (which is a word that I hate) and "game simulation" on a folio with simulated markets [this would iterate through many trading sessions of desired length (years of millisec tickdata), and gives an overall view]. Personally, I never use the first one, but I use extensively (practically running continuously on my machines) the latter one, as it is absolutely indispensable to have insights on the dynamic of the programmed scalping/hedging game and the impact of the various parameters of game over numerous, sometimes extreme, and completely different scenarios. And also to imagine new useful mechanisms. Well, when you embark in something like that, and go through all is necessary, practically it becomes a lifetime commitment. "Complexity" is just one of your many journey companions. Anyway, for most basic needs, I also created, in time, my own indicators, with an eye to speed of computation (these are the SDX (direction index), the SCX ("codirection index"), and so on) [the description can be easily found on the Internet too]. Efficiency is important when you maintain perpetual data for an arbitrary large folio (with hundreds of instruments) and everything is recomputed real time. As an example, I can maintain, with negligible effort, a complete matrix with all pairwise realtime "correlations" indexes (the SCX), and when you have 100 active layers (like I have now) we are talking of a lot of entries just for this one (the picture has a filtered display). I also do realtime data resampling to allow the trading engine to stay up perpetually with an arbitrary number of layers active. Clearly, for easier management, it's advisable not to exaggerate anyway with the number of layers, and, in case open, multiple instances of the client. One important feature is, in fact, that the application can have multiple instances running on the same account, and each instance will perform independently all its own PNL, G-L (and much more) computations on each tickdata (the account info coming from the broker is used only to check position synchronicity with the underlying account) thus also allowing the user to intervene manually realtime, and also to easily grab manual scalps, precise to the penny, if he wishes so.
Even though future/ETF seems almost NO tax to me as well, I guess there is SOME HIDDEN tax for them. Possbly your commission goes to tax in part by broker. Including corporate tax by broker, it is hard to estimate you total tax, since it is INDIRECT tax (paid by NOT YOURSELF).