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Bot Trading - MCL Futures


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Bot Trading - MCL Futures

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  #71 (permalink)
MATTERHORN
CHICAGO, IL
 
 
Posts: 10 since Jan 2019
Thanks: 0 given, 15 received

Yeah Robert Carver was more of a “sell 5,000 ES every Friday at close for a year straight type of guy” commisions weren’t necessarily his enemy. Biggest advice I have to anyone in trading is to treat it like a business. They are things that cost you money, and things that cost you time….which ultimately draws your capital. One things that caused me both financial and emotional headache was making too quick of changes and also making too slow of changes. Just know that when you change something your eyes and thoughts shift to the new thing and can forget the old in a very efficient way which can lead to the mental maze of finding success.




OccamsRazorTrader View Post
Some of the old school trend followers are stuck in their mindset about trading costs and seek to limit entries, exits and rollovers as much as possible. And this has served them well. I had a private conversation with one of the original Turtles whom held this belief. In 1999 the cost of a round turn telephone trade was in the $100 range plus slippage. The cost of trading futures have never been lower historically. But obviously you need to have an eye on costs. If you compare margins from trading to any other industry- we have this crazy effort to make margins astronomically high, like those seeking a 4:1 Gain to Pain ratio.

The average Dunkin Donuts franchise - gross sales are 1.2 million and net profit is in the 200k range (that's why franchise owners own multiple stores). This translates to ~ 17% margin (which is higher then the industry average). But that 200k is all but almost guaranteed.

So if you had a system that generated $800,000 in winning trades and $650,000 in losing trades, the Pain to Gain ratio is 1.33, or crudely a ~19% profit margin. According to some, like Jack Schwagger, isn't impressive at all, but what if, historically over the past 6 years, that system never had a down year, would that change our opinion of the system?

https://pages.stern.nyu.edu/~adamodar/New_Home_Page/datafile/margin.html

The SG Short Term trading index are for CTA's with trades held less then 10 days (2 trading weeks) and shows a profit of ~10.5% YTD. Apparently the constituents of the index are still providing a return even with short look backs, and the associated costs. Which in my thinking attests to the efficiency of their trading signals. Just my thoughts......


https://portal.barclayhedge.com/cgi-bin/indices/displayHfIndex.cgi?indexCat=SG-Prime-Services-Indices&indexName=SG-Short-Term-Traders-Index


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  #72 (permalink)
 Billiwon 
Los Angeles, California
 
Experience: Intermediate
Platform: TradeStation
Trading: Index futures, etc.
 
Posts: 43 since Aug 2014
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FastNCurious View Post
Here is another system worth checking out:
about as stupid simple as it gets and extremely profitable as you can see but not without large drawdowns.



 
Code
//apply to 369 min bars of @CL
//Walkforward from 1-1-2004 to 8-6-2022
// in period 756
// out period 252

Inputs:
    Len(100);         //optimize from 20-200x20               
 
//SIMPLE MOMENTUM   
    if close>close[Len] then buy next bar at market; 
    if close<close[Len] then sellshort next bar at market;

Hello FastNCurious,

Interesting and simple system; very profitable too.
I noticed it uses 369-min bars, which seems unusual. Is there anything special about this time frame for CL (other than that it works in this case)? Or did you arrive at using this time frame from trial and error? Or is there some kind of software / program that can be used to optimize the time frame for the system?

Appreciate any clarification. Thanks.

Regards, BillW

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  #73 (permalink)
 FastNCurious 
saint louis MO
 
Experience: Intermediate
Platform: TradeStation
Trading: NQ, ES, YM, CL, GC
 
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Posts: 149 since Oct 2017
Thanks: 95 given, 177 received



Billiwon View Post
Hello FastNCurious,

Interesting and simple system; very profitable too.
I noticed it uses 369-min bars, which seems unusual. Is there anything special about this time frame for CL (other than that it works in this case)? Or did you arrive at using this time frame from trial and error? Or is there some kind of software / program that can be used to optimize the time frame for the system?

Appreciate any clarification. Thanks.

Regards, BillW

I use a software package called MultiOpt which is only available to strategy factory club members. See @kevinkdog about joining the club. MultiOpt is a very useful software I use everyday. Many times I use standard time frames to test on such as 30,60,90,240,360,420,720,daily but other times if I want my trade signals to happen at different times than right on the hour I choose an odd time frame like 369 minute bars. My experience is that 369 is no better back test than 360 min bars but my thinking is that no one else is calculating this way so I may get less slippage by using an odd number. I haven’t done a thorough analysis of this. Sometimes I just test it out and see if it works. If it works I don’t change anything until it breaks.

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  #74 (permalink)
 syswizard 
Philadelphia PA
 
Experience: Advanced
Platform: Multicharts
Broker: Ironbeam, Rithmic
Trading: Emini ES / NQ / CL / RTY / YM / BTC
 
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Billiwon View Post
Hello FastNCurious,
Interesting and simple system; very profitable too.

But it has a flat period of 220+ trades.

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  #75 (permalink)
 FastNCurious 
saint louis MO
 
Experience: Intermediate
Platform: TradeStation
Trading: NQ, ES, YM, CL, GC
 
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Posts: 149 since Oct 2017
Thanks: 95 given, 177 received

If you have a system that is better please share it. I would be interested in your systems. My point in sharing this is to show that simple still works and in terms of Net Profit the simple systems last longer and are hard to beat. I would much rather trade systems that don’t have long flat periods. Also I like systems that are only in the market 2% of the time. Although those systems inevitably miss out on these HUGE moves that made this system so profitable. This system is always long or short crude oil.

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  #76 (permalink)
 SMCJB 
Legendary Market Wizard
Normally Houston TX but currently travelling a lot
 
Experience: Advanced
Platform: TT and Stellar
Broker: Primary Advantage Futures. Also ED&F and Tradestation
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
 
Posts: 4,753 since Dec 2013
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syswizard View Post
Anyone keeping track of monthly trading volumes for the E-Minis ?
I know the CME puts something together, but their format is not the best.

CME Volumes are total volume which for something like @ES is representative of actual trading volume except for the 4/5 days every 3 months where everybody is rolling. But for contracts like CL, NG or GE where there's volume out years, and a very large spread market, its far more difficult to estimate/know actual buy/sell front month trading volume.

FastNCurious View Post
I assume You could simply pull up a monthly chart of each symbol and apply a volume indicator for it. I know Tradestation allows this. I’m not sure if the volume indicator will show accurate volume stats but you might try there and compare to the CME website

But what do the Tradestation numbers mean because they don't match the CME numbers? I'm going to illustrate this with NG because I was actually talking to somebody late Friday and we were looking at volume. At the time we estimated that about 50% of the reported volume in NG_V2 was actually spread volume (with over half of that being NG V2-X2). Anyway back to the illustration.

CME for 9/9/22... 96,808 estimated volume NGV2 and 268,221 over all contracts.


and Tradestation... @NG 82,616 volume?

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  #77 (permalink)
 Hulk 
Texas, USA
 
Experience: Advanced
Platform: TT, Custom
Trading: Futures, Spreads
 
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SMCJB View Post
But what do the Tradestation numbers mean because they don't match the CME numbers?

The 52k number looks like its outright only (no spreads). My calculation for Friday was 51,004 contracts for NGV2 (minus any spreads volume). Its not exactly equal but close enough to the TS number.

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  #78 (permalink)
 Hulk 
Texas, USA
 
Experience: Advanced
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Trading: Futures, Spreads
 
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Hulk View Post
The 52k number looks like its outright only (no spreads). My calculation for Friday was 51,004 contracts for NGV2 (minus any spreads volume). Its not exactly equal but close enough to the TS number.

I apologize. 51,004 is my volume for 9/8. I dont have the numbers for 9/9 yet. On your chart, the volume for 9/8 is greater than what it shows for 9/9 so it doesnt come close to 51k. I have no idea what that number is then.

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  #79 (permalink)
 SMCJB 
Legendary Market Wizard
Normally Houston TX but currently travelling a lot
 
Experience: Advanced
Platform: TT and Stellar
Broker: Primary Advantage Futures. Also ED&F and Tradestation
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
 
Posts: 4,753 since Dec 2013
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How do you calculate non-spread volume. If I buy NGV2 somebody else sells NG V2-X2 and somebody else sells the NG X2 is that an outright or a spread?

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  #80 (permalink)
 Hulk 
Texas, USA
 
Experience: Advanced
Platform: TT, Custom
Trading: Futures, Spreads
 
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SMCJB View Post
How do you calculate non-spread volume. If I buy NGV2 somebody else sells NG V2-X2 and somebody else sells the NG X2 is that an outright or a spread?

It depends on which orderbook the orders that get filled belong to. If your order was placed in the NGV2 orderbook and got filled, then the volume is included in the non-spread volume. If the other side happened to be the 2 spreads you mention, then thats because thats where the implied offer was. Basically, volumes from any implied orders are not included in the non-spread volume. It has to be an order on the direct NGv2 orderbook that gets filled to be included in the NGV2 non-spread volume totals.

EDIT: Let me do a better job at explaining.

Its easier to look at it the other way. If you lift 50 NGV2-X2 and 45 of those were filled from a resting NGV2-X2 offer and remaining were filled by 5 NGV2 outright offers and 5 NGX2 outfight bids then my volume attribution is as follows:

NGV2-X2 - 45
NGV2 - 5
NGX2 - 5

The exchange includes the spread volumes in the leg volumes so from the exchange you get:
NGV2-X2 - 50
NGV2 - 50
NGX2 - 50

I am 99% sure thats the case.

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