NexusFi: Find Your Edge


Home Menu

 





Bot Trading - MCL Futures


Discussion in EasyLanguage Programming

Updated
      Top Posters
    1. looks_one syswizard with 30 posts (6 thanks)
    2. looks_two kevinkdog with 26 posts (27 thanks)
    3. looks_3 Hulk with 9 posts (20 thanks)
    4. looks_4 SMCJB with 9 posts (13 thanks)
      Best Posters
    1. looks_one Hulk with 2.2 thanks per post
    2. looks_two FastNCurious with 1.8 thanks per post
    3. looks_3 SMCJB with 1.4 thanks per post
    4. looks_4 kevinkdog with 1 thanks per post
    1. trending_up 21,446 views
    2. thumb_up 114 thanks given
    3. group 457 followers
    1. forum 119 posts
    2. attach_file 15 attachments




 
Search this Thread

Bot Trading - MCL Futures

  #61 (permalink)
 
FastNCurious's Avatar
 FastNCurious 
saint louis MO
 
Experience: Intermediate
Platform: TradeStation
Trading: NQ, ES, YM, CL, GC
Posts: 149 since Oct 2017
Thanks Given: 95
Thanks Received: 177


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.

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

Visit my NexusFi Trade Journal Reply With Quote

Can you help answer these questions
from other members on NexusFi?
NT7 Indicator Script Troubleshooting - Camarilla Pivots
NinjaTrader
My NT8 Volume Profile Split by Asian/Euro/Open
NinjaTrader
Futures True Range Report
The Elite Circle
The space time continuum and the dynamics of a financial …
Emini and Emicro Index
Are there any eval firms that allow you to sink to your …
Traders Hideout
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
Get funded firms 2023/2024 - Any recommendations or word …
61 thanks
Funded Trader platforms
39 thanks
NexusFi site changelog and issues/problem reporting
26 thanks
The Program
18 thanks
GFIs1 1 DAX trade per day journal
17 thanks
  #62 (permalink)
 
syswizard's Avatar
 syswizard 
Philadelphia PA
 
Experience: Advanced
Platform: Multicharts
Broker: Ironbeam, Rithmic
Trading: Emini ES / NQ / CL / RTY / YM / BTC
Posts: 344 since Jan 2019
Thanks Given: 20
Thanks Received: 146


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

Thanks for that. It's a helluva idea !
True test of the robustness of the data feed.

Reply With Quote
  #63 (permalink)
 
FastNCurious's Avatar
 FastNCurious 
saint louis MO
 
Experience: Intermediate
Platform: TradeStation
Trading: NQ, ES, YM, CL, GC
Posts: 149 since Oct 2017
Thanks Given: 95
Thanks Received: 177



syswizard View Post
To me that was a long way back. But then again, it probably is appropriate for a longer term trading system.
It probably correlates to the ATIT (Average Time In Trade).

I have heard of many successful traders only using lookbacks > 200.

Many trend followers aren't concerned with day trading at all but simply want to take advantage of Long Term Trends

Visit my NexusFi Trade Journal Reply With Quote
  #64 (permalink)
 
SMCJB's Avatar
 SMCJB 
Houston TX
Legendary Market Wizard
 
Experience: Advanced
Platform: TT and Stellar
Broker: Advantage Futures
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,041 since Dec 2013
Thanks Given: 4,375
Thanks Received: 10,192

I think its Robert Carver in his book 'Systematic Trading' that discusses the speed of signals of Trend following and the cost on the system. Depending on the market he definitely believes there is a minimum lookback you can use and still expect to comfortably cover trading costs.

Reply With Quote
  #65 (permalink)
OccamsRazorTrader
Fort Myers Florida/USA
 
Posts: 70 since May 2020
Thanks Given: 43
Thanks Received: 66


SMCJB View Post
I think its Robert Carver in his book 'Systematic Trading' that discusses the speed of signals of Trend following and the cost on the system. Depending on the market he definitely believes there is a minimum lookback you can use and still expect to comfortably cover trading costs.

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

Reply With Quote
Thanked by:
  #66 (permalink)
 
stockameleon's Avatar
 stockameleon 
Rotterdam, Netherlands
 
Experience: None
Platform: TradeStation
Trading: Futures
Posts: 5 since Jul 2017
Thanks Given: 5
Thanks Received: 7


syswizard View Post
Sorry about that Kevin.....see attached.

Note: I found that a retracement of 20% works pretty well.
To do: provide an option to make retracement a function of volatility. Higher volatility = higher percentage.

I can appreciate and understand the fact you're not willing to share the function with the entire community, but can you explain -perhaps in general- what the _szHIHILOLC function does?

Reply With Quote
  #67 (permalink)
SunTrader
Boca Raton, FL
 
Posts: 260 since Nov 2018
Thanks Given: 81
Thanks Received: 182


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

Yeah but DD net is after all expenses am I correct?

While CTA's net is after all trading costs (commish/slippage/data fees), but not overall business expenses (office salaries, insurance, promoting, etc).

Reply With Quote
  #68 (permalink)
OccamsRazorTrader
Fort Myers Florida/USA
 
Posts: 70 since May 2020
Thanks Given: 43
Thanks Received: 66


SunTrader View Post
Yeah but DD net is after all expenses am I correct?

While CTA's net is after all trading costs (commish/slippage/data fees), but not overall business expenses (office salaries, insurance, promoting, etc).

I believe you're right- also most CTA's results are also net after fees (maintenance and performance), but when you do the math of managing 2 billion returning 20% with a 2 and 20 fee structure (which from what I understand is getting more and more rare) that's some big money for office, clerical, back office and compliance expenses.

Reply With Quote
  #69 (permalink)
SunTrader
Boca Raton, FL
 
Posts: 260 since Nov 2018
Thanks Given: 81
Thanks Received: 182


OccamsRazorTrader View Post
I believe you're right- also most CTA's results are also net after fees (maintenance and performance), but when you do the math of managing 2 billion returning 20% with a 2 and 20 fee structure (which from what I understand is getting more and more rare) that's some big money for office, clerical, back office and compliance expenses.

But then you are shifting the goalposts from profit margin to total dollars.

Reply With Quote
Thanked by:
  #70 (permalink)
OccamsRazorTrader
Fort Myers Florida/USA
 
Posts: 70 since May 2020
Thanks Given: 43
Thanks Received: 66



SunTrader View Post
But then you are shifting the goalposts from profit margin to total dollars.

If you look at the chart in the previous posts- you see net margins (net, net) in financial services are among the best performers of all industries.

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

Baring that in mind, the point of the original post is, as individual traders, we shouldn't expect to make RenTek type returns and /or compare our results with industry acceptable metrics .............

And moreover, acceptable returns for us- can fall inline or surpass other industries where people make a living ......

Reply With Quote




Last Updated on September 23, 2022


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts