Bot Trading - MCL Futures

September 15th, 2022, 03:23 PM

SMCJB

Google GARCH

I’m familiar. I’ve read a lot of derivatives textbooks but the past week did some reading of economics research papers and decided the most practical and efficient way for me to do it was EWMA method. Simple is good was part of my reasoning there, also I’m not trading options so I really don’t need an exact forecast simply a gauge of vol expanding or contracting.

jeronymite · September 15th, 2022, 05:54 PM

syswizard

Sorry, I'm not a Ninja programmer.

No probs. Appreciate the response. I'm not after code. Just looking for a thorough "plain English" description that can be used to develop working code.

Thanks.

September 15th, 2022, 09:30 PM

Which strategy? kevindogs's or syswizard's?

jeronymite

No probs. Appreciate the response. I'm not after code. Just looking for a thorough "plain English" description that can be used to develop working code.

Thanks.

September 15th, 2022, 10:11 PM

@kevinkdog code is in easylanguage and hence already are almost in plain english but @syswizard calls upon custom functions and without those its impossible to know what its doing.

September 15th, 2022, 11:38 PM

FatTailChaser

These are the results from my last test with CL today

Results look pretty good....I think. Very tough to read that data inline, text format.
Any chance of putting into Excel ?

September 16th, 2022, 12:00 AM

FatTailChaser

Hello Everyone, Im downloading 5 yrs of bars to do a longer backtest right now so while I'm waiting I thought I might join this conversation and share what I've been working on with crude today. I do all my trading and backtesting through Sierra charts, currently using the spreadsheets as I only know some python and they generally meet my needs. Something I've been doing lately with intraday momentum strategies is trying to forecast future volatility as one of my filters. Volatility tends to cluster as the staticians say and since I know I'm writing systems that benefit from market volatility I've tried different ways of forecasting using ema's of vol over different time periods. My results across the board have been much better than before filtering for vol and coupling that with a trend filter and a few other params like entry and exit I've found multiple ways to put something profitable together.

These are the results from my last test with CL today

Trade StatisticsFirst FillLast FillDaily Date

[Sim]All SymbolsNum Fills Filtered: 02022-06-01 08:20:592022-09-14 10:01:592022-09-14

All Accounts

Currency Value (C)

All TradesLong TradesShort TradesDaily Trades

Closed Trades Profit/Loss9590.004100.005490.00690.00

Closed Trades Total Profit26140.006010.0020130.00710.00

Closed Trades Total Loss-16550.00-1910.00-14640.00-20.00

Profit Factor1.583.151.3835.50

Equity Peak11240.005130.006970.00710.00

Equity Valley8260.003410.004040.00690.00

Maximum Runup8330.005130.007620.00710.00

Maximum Drawdown-2980.00-1720.00-2890.00-20.00

Maximum FlatToFlat Trade Open Profit3660.001580.003660.001060.00

Maximum FlatToFlat Trade Open Loss-1140.00-730.00-1140.00-250.00

Average Trade Open Profit664.94642.11671.52805.00

Average Trade Open Loss-313.88-203.16-345.76-145.00

Average Winning Trade Open Profit1208.16917.271326.671060.00

Average Winning Trade Open Loss-189.47-151.82-204.81-250.00

Average Losing Trade Open Profit225.74263.75217.95550.00

Average Losing Trade Open Loss-414.47-273.75-443.33-40.00

Maximum Trade Open Profit3660.001580.003660.001060.00

Maximum Trade Open Loss-1140.00-730.00-1140.00-250.00

Highest Price During Positions0.000.000.000.00

Lowest Price During Positions0.000.000.000.00

Total Commissions0.000.000.000.00

Total Trades8519662

Total FlatToFlat Trades8519662

Total Filled Quantity170381324

Total Buys x Sells-47 x -4719 x 19-66 x -662 x 2

Percent Profitable44.71%57.89%40.91%50.00%

FlatToFlat Percent Profitable44.71%57.89%40.91%50.00%

Winning Trades3811271

Winning FlatToFlat Trades3811271

Losing Trades478391

Losing FlatToFlat Trades478391

Long Trades191902

Long FlatToFlat Trades191902

Short Trades660660

Short FlatToFlat Trades660660

Average Trade Profit/Loss112.82215.7983.18345.00

Average FlatToFlat Trade Profit/Loss112.82215.7983.18345.00

Average Winning Trade687.89546.36745.56710.00

Average FlatToFlat Winning Trade687.89546.36745.56710.00

Average Losing Trade-352.13-238.75-375.38-20.00

Average FlatToFlat Losing Trade-352.13-238.75-375.38-20.00

Average Profit Factor1.952.291.9935.50

Average FlatToFlat Profit Factor1.952.291.9935.50

Largest Winning Trade2690.001160.002690.00710.00

Largest FlatToFlat Winning Trade2690.001160.002690.00710.00

Largest Losing Trade-1070.00-720.00-1070.00-20.00

Largest FlatToFlat Losing Trade-1070.00-720.00-1070.00-20.00

Largest Winner % of Profit10.29%19.30%13.36%100.00%

Largest FlatToFlat Winner % of Profit10.29%19.30%13.36%100.00%

Largest Loser % of Loss6.47%37.70%7.31%100.00%

Largest FlatToFlat Loser % of Loss6.47%37.70%7.31%100.00%

Max Consecutive Winners9941

Max Consecutive Losers7470

Average Time In Trades21:4324:0521:0231:00

Average Time In Winning Trades32:1531:1032:4138:00

Average Time In Losing Trades13:1314:2212:5924:00

Longest Held Winning Trade1:26:0051:591:26:0038:00

Longest Held Losing Trade46:5924:0046:5924:00

Total Quantity8519662

Winning Quantity3811271

Losing Quantity478391

Avg Quantity Per Trade1.001.001.001.00

Avg Quantity Per FlatToFlat Trade1.001.001.001.00

Avg Quantity Per Winning Trade1.001.001.001.00

Avg Quantity Per FlatToFlat Winning Trade1.001.001.001.00

Avg Quantity Per Losing Trade1.001.001.001.00

Avg Quantity Per FlatToFlat Losing Trade1.001.001.001.00

Largest Trade Quantity1111

Largest FlatToFlat Trade Quantity1111

Maximum Open Position Quantity1111

Last Trade Profit / Loss-20.00-20.00-620.00-20.00

Last FlatToFlat Trade Profit / Loss-20.00-20.00-620.00-20.00

Expectancy112.820.000.000.00

Number of Open Trades0

Open Trades: Open Quantity0

Open Trades: Average Entry Price0.00

Consecutive WinnersFrequencyAverage Profit/LossAvg Next Trade

1 Winners14711.43-337.14

2 Winners41125.00-267.50

3 Winners12350.00-550.00

4 Winners14200.00-190.00

9 Winners15130.00-260.00

FrequencyAverage Profit/LossAvg Next Trade

Consecutive LosersFrequencyAverage Profit/LossAvg Next Trade

1 Losers10-327.00515.00

2 Losers3-793.33470.00

3 Losers3-1123.33760.00

4 Losers1-1930.002640.00

5 Losers2-1570.00380.00

7 Losers1-2440.00230.00

Can you please explain in plain English your entry and exit setup?

Sent using the NexusFi mobile app

jeronymite · September 16th, 2022, 02:06 AM

koganam

Which strategy? kevindogs's or syswizard's?

It was in respect of @kevinkdog but applies to @syswizard as well.

Thanks.

September 16th, 2022, 08:44 AM

syswizard

Results look pretty good....I think. Very tough to read that data inline, text format.
Any chance of putting into Excel ?

I apologize for that, didn't realize that .txt format from Sierra would look so difficult to read pasted in here. Ill use a screenshot of the log next time I share here.

September 16th, 2022, 09:00 AM

kls06541

Can you please explain in plain English your entry and exit setup?

Sure bud, that test was pretty simple so I don't mind sharing. That system is trading a 30 min range breakout executing off of a 5 min chart with a daily chart 20 period momentum overlaid onto the 5. The inputs in the 5min chart are high/low over time period so that you get your opening range. High/Low over N bars as the exit parameter, that test is using 1 bar so it exits on a break of the low of the previous 5 min. Entry is filtered directionally by the mom of the daily and by an exponential moving average of the atr to filter for expanding volatility. I use the slope of that ma in the test. Im not going to give you parameters to use but that's the framework for that specific backtest.

My point was more so to join the conversation and share some ways of looking at building systems like these that have helped me like starting to filter for volatility when I'm putting together any momentum strategy. If you have any questions or thoughts feel free to share, Ive been writing a lot of different systems lately so I'm definitely interested in what you guys have found useful too.

September 16th, 2022, 10:51 AM

FatTailChaser

building systems like these that have helped me like starting to filter for volatility when I'm putting together any momentum strategy.

How important did you find volatility to be incorporated into your systems ?

Bot Trading - MCL Futures

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Bot Trading - MCL Futures