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Automated CL/Index trading strategy


#1

Hi all,

Fellow quant here and data analysist. Will debut a automated intraday CL trading strategy in a few days, once I get VPN server setup up. It’s been in the walk forward incubator since december 2017 and I’m satisfied with the result I see to offer it here. Here are the backtest results, and the result during the 3 month incubation period I have for all my automated strategies. Would like to gauge interest. I have more in the pipeline coming out of incubation for other instruments.

Here are the stats, result includes commission and $20 slippage per trade.
Other conditions:
a) 1 contract per trade, up to 2 entry
b) closes at end of day.
c) no new position taken at report to avoid slippage, but will hold existing positions.

Can field question regarding this strategy in the meantime.


#2

Pretty data & results.


#3

Like all futures daytrading strategies its tough to match future performances from past performances especially with more trades per block once there are more subscribers since futures trading is a zero sum game.

But lets see. Keep it up and hopefully it lasts.


#4

Hello:

So the first green chart is backtesting/optimization, and the second green chart is real-time results?


#5

The data was optimized with sample data from 2014-2016. Then ran against to include out of sample data from before and after the period. 2010-Dec2017. Starting from Dec2017 it was incubated in sim account to make sure it’s still viable for the next 3 month, which is the 2nd chart you saw.


#6

Based on my experience, curve fitted results will most likely fail during live trading. Just so you are aware.


#7

Post a link once you go live. Will monitor and see how you do, I wish you great trading since i am wanting more day trade strategy’s.


#8

It seems you got a margin call on Feb 28th. Are you using an average down method as well?


#9

The automated CL strategy haven’t been posted yet. You looking at my own trading. Didn’t realize c2 doesn’t have margin on gold. My own margin is 1k for day trade so didn’t even realize


#10

Have you ran this algo with real trading yet, if so for how long. I can show you some of the algo I have back tested with much better results, 5k-10k in profit a month trading just 1c, but for real trading, most of the algos fail. Just asking.

If your algo can make money with a 6 month track record, I’ll join


#11

Nice backtest. Alot of great backtests and amazing ‘incubation’ periods on this forum.

Open the strategy in C2. Then after you do well in 6 months, come tell us about it. Until then, no credit is given to your ‘system’ whatsoever.


#12

After some hiccup setting up the VPN and working out some kinks I present you a 90% automated daytrading strategy. I have also included a few index strategies in it as well. There was a hiccup first day with sizing issue that was corrected next day.

If interested in subscribe and dont want any of the instrument can ask for it to be split up. The current final version is comprised of:
2x ES strategy
1x YM Strategy
1x Dax
1x CL

Indexes are only traded from 9:30am to 4:15pm even for Dax.


#13

Your average loss is greater than your average win which means your winning % has to be kept up high to make up for the losses. This is generally a red flag for a lot of us. I would love to have a successful day strategy on here so i do wish you the best of luck. Are you planning on becoming TOS? Are you going to have skin in the game along with your subscribers?


#14

Will your algo be running 24/5, are you running it from ninjatrader?


#15

Start fresh from tomorrow. Working out some kinks the first few days and it’s running smooth now.
And I will be honest with you here. Algo trading requires diversification, the more system, the more different instrument the better. My account isn’t big enough to diversify and do portfolio trading. I do hope someone else likes it and can make better use of it. And if it does well enough to fast track my account so I can trade it as well.

@TT3 It’s run in ninjatrader 24/5. Although the index is only traded during regular hours. 9:30-4:15pm


#16

can you show us some screen shot of the back testing results for 1, 3, 6 months


#17

CL 1 month:


CL 3 month:

CL 6 month:

Index 1 month:


Index 3 month:

Index 6 month:

2nd ES system

The 2nd ES system is to address where the other one runs into drawdown and complement each other for a more stable drawdown/equity curve.


#18

See the algo I created, too bad it doesn’t work in real trading, and that’s only 1.5 months results


#19

I can see why, with slippage and commission included, that will take off 8k off the net profit leaving just 3-4k, which isn’t bad in itself compared to the drawdown as long as it’s not optimized.

I don’t know how you created your algo, so i can’t comment on that. But general rules when creating an automated strategy that can withstand real trading enviroments are:

  1. always include commission and at least 1 slippage per side.
  2. Do not optimize against recent data as it is considered curve fitting
  3. Backtest first with a portion of historic data, leaving recent ones for forward testing
  4. Never use fancy bar types like unirenko, heiken ashi etc.

My strategies creation process uses 3 year worth data from 2013-2015. The ones that passes the initial run will then need to pass a whole 9 year worth of data, that’s 3 year prior and 3 year after of unseen data.


#20

Don’t want to burst anybodys expectations but backwards testing is nothing but curve fitted trading results because of adjusted parameters. Future results will never match backtested results for long due to the constantly changing nature of the markets.

Just my two cents.