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Bot Trading - MCL Futures


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Bot Trading - MCL Futures

  #21 (permalink)
 
syswizard's Avatar
 syswizard 
Philadelphia PA
 
Experience: Advanced
Platform: Multicharts
Broker: Ironbeam, Rithmic
Trading: Emini ES / NQ / CL / RTY / YM / BTC
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kevinkdog View Post
If you compare Versions 1 and 2, and pick either one because it looks better (however you define it), you have optimized.
Do you see what I am getting at?

Sorry, I still don't get it. I wish I had the code for the crude oil trading system.
I noticed that with both Elite Trade and FuturesIO traders are reluctant to post their code and reluctant to post their trading results.

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  #22 (permalink)
 
syswizard's Avatar
 syswizard 
Philadelphia PA
 
Experience: Advanced
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Thanks for that Kevin. My fault on all of the confusion. I thought I had said the trailing stop was a benefit to MY trading systems.
I will certainly test out the code you posted.
65 day lookback ? wow.
R-Factor less than 1 ? another wow.

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  #23 (permalink)
 
syswizard's Avatar
 syswizard 
Philadelphia PA
 
Experience: Advanced
Platform: Multicharts
Broker: Ironbeam, Rithmic
Trading: Emini ES / NQ / CL / RTY / YM / BTC
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kevinkdog View Post
@syswizard - how did you calculate the R-Factor?

$1000 risk, $2000 reward = 0.5 R-factor
$2000 risk, $1000 reward = 2.0 R-factor

Many high frequency and scalping trading systems are 2.0 and greater...up to 4.0

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  #24 (permalink)
 
syswizard's Avatar
 syswizard 
Philadelphia PA
 
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kevinkdog View Post
Are you sure you do not have that backwards?

There appears to be no standard to the definition....LOL.
Risk/Reward vs. Reward/Risk.

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  #25 (permalink)
 
syswizard's Avatar
 syswizard 
Philadelphia PA
 
Experience: Advanced
Platform: Multicharts
Broker: Ironbeam, Rithmic
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kevinkdog View Post
The Crude Oil code is on page 1 of this thread.
You said earlier that you improved the code with your trailing stop exit - how did you do this, if you now say you "wish I had the code for the crude oil trading system." ??
We seem to be talking in circles.
Here is the code again, Daily Crude Oil Bars:
input: daysback(65),stopl(3000),fac(1.5);
if ADX(14)>10 and close-close[daysback] crosses above 0 then buy next bar at market;
if ADX(14)>10 and close-close[daysback] crosses below 0 then sellshort next bar at market;
SetStopPosition;
SetStopLoss(stopl);
SetProfitTarget(stopl*fac);

OK Kevin, you were right. No combination of parameters for my trailing stop signal could beat the fixed profit target setting in this signal.
However, note that I only went back to 1/1/2018....and the profitability of this system is quite marginal-at-best.
There were many times went it got whipsawed by constant buy/sell signals over a short period of time.
See attached.

Attached Files
Elite Membership required to download: CrudeOil-Daily-Fixed Profit.xlsx
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  #26 (permalink)
RandomDude
Las Vegas, NV
 
Posts: 66 since Aug 2022
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When I put in TOS, ADX(14) only goes below 10 7 times last 20 years, show by yellow bars. Effectively this is only close crossing close[65], see gray hashes. Maybe you guys simply have differences in calculations.


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  #27 (permalink)
 kevinkdog   is a Vendor
 
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RandomDude View Post
When I put in TOS, ADX(14) only goes below 10 7 times last 20 years, show by yellow bars. Effectively this is only close crossing close[65], see gray hashes. Maybe you guys simply have differences in calculations.


Agreed

with ADX condition (original): $49520 NP, 52 trades
without ADX condition: $47900 NP, 54 trades


Essentially, the ADX condition does nothing.

Once I test, I don't go back and make changes. This was one where going into it I thought ADX would matter, clearly market says "Kevin, you are wrong!"

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  #28 (permalink)
RandomDude
Las Vegas, NV
 
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kevinkdog View Post
Agreed

with ADX condition (original): $49520 NP, 52 trades
without ADX condition: $47900 NP, 54 trades


Essentially, the ADX condition does nothing.

Once I test, I don't go back and make changes. This was one where going into it I thought ADX would matter, clearly market says "Kevin, you are wrong!"

Ok, was thinking maybe yours was dropping below more often and more of filter.

Will step aside now and let you two battle to the death.

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  #29 (permalink)
 kevinkdog   is a Vendor
 
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RandomDude View Post
Ok, was thinking maybe yours was dropping below more often and more of filter.

Will step aside now and let you two battle to the death.

Yikes! Never intended to make this a battle, just wanted to clarify some points.

Sorry to all if it seemed like a battle. I probably should not have posted this full strategy in the first place.

I won't be replying anymore in this thread.

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  #30 (permalink)
 
syswizard's Avatar
 syswizard 
Philadelphia PA
 
Experience: Advanced
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So here is my intraday trading system. It did well today. No future guarantees....natch.
As a trend-following system using a unique momentum indicator, current logic would not work in range-bound, sine-wave painting markets.
It does employe my trailing stop signal with a 10 tick min profit and a 50% retracement setting.

Keith Fitschen did extensive research on intraday systems and concluded that counter-trend systems would beat trend-following systems in the long run.
Sadly, it appears that Keith has retired...his book is no longer in circulation and his website is defunct.
2022-08-16-Results-OBV

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Last Updated on September 23, 2022


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