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Trading 2 markets with a bot (ES, CL) - 50K Combine Journal


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Trading 2 markets with a bot (ES, CL) - 50K Combine Journal

  #21 (permalink)
 
DavidHP's Avatar
 DavidHP 
Isla Mujeres, MX
Legendary Market Wizard
 
Experience: Advanced
Platform: NinjaTrader
Broker: Ninjatrader / Optimus Futures / AmpFutures
Trading: ES / 6E / 6B / CL
Frequency: Every few days
Duration: Minutes
Posts: 1,609 since Aug 2009
Thanks Given: 11,327
Thanks Received: 2,743


Dayzed View Post
Haha! Indeed we missed Mardi Gras by a little bit first time down here so of course we had to eat at Acme tonight first time having oysters and crayfish and man Ive been missing out! Having a good time so far.

Yep lots of good food around here.

If you are here for a few days maybe I can buy you a cup of cafe' au lait or Starbucks if you prefer.

Rejoice in the Thunderstorms of Life . . .
Knowing it's not about Clouds or Wind. . .
But Learning to Dance in the Rain ! ! !
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  #22 (permalink)
Dayzed
Detroit, Michigan, United States
 
Posts: 38 since Feb 2017
Thanks Given: 10
Thanks Received: 20


DavidHP View Post
Yep lots of good food around here.

If you are here for a few days maybe I can buy you a cup of cafe' au lait or Starbucks if you prefer.

We will be here for another day and then taking off! Lots to do yet... Compared to my little city in Michigan this is insane! I will let you know if there is a break in our schedule

Sent using the NexusFi mobile app

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  #23 (permalink)
Dayzed
Detroit, Michigan, United States
 
Posts: 38 since Feb 2017
Thanks Given: 10
Thanks Received: 20


Just a quick update. The bot ran all week however hotel DHCP leases prevented it from running 24/7 and actually skewed a lot of results. Either way I will be starting TST 50k on Monday, only trading ES wish me luck!

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  #24 (permalink)
 
Tymbeline's Avatar
 Tymbeline 
Leeds UK
Market Wizard
 
Experience: Intermediate
Platform: Tradovate
Broker: Tradovate
Trading: MES, MNQ
Frequency: Several times daily
Duration: Minutes
Posts: 644 since Apr 2015
Thanks Given: 2,342
Thanks Received: 1,054


Dayzed View Post
Either way I will be starting TST 50k on Monday, only trading ES wish me luck!


I certainly do wish you luck, and will be intrigued to see what happens.

Excuse me if I missed something about this on the way through the thread, but have you taken great care about calculating Combine position-sizing?

I ask partly because I was quite surprised that on the first day mentioned above, 6 winning trades at 25 ticks and one loser at 20 ticks (+130 ticks) doubled the account?

That concerned me because of my perception (perhaps mistaken?) that the kind of position-sizing implied by that might result in 3 or 4 consecutive losers - which you may well have at some point? - taking you out of a Combine, just because of the daily loss limit?

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  #25 (permalink)
Dayzed
Detroit, Michigan, United States
 
Posts: 38 since Feb 2017
Thanks Given: 10
Thanks Received: 20


Tymbeline View Post
I certainly do wish you luck, and will be intrigued to see what happens.

Excuse me if I missed something about this on the way through the thread, but have you taken great care about calculating Combine position-sizing?

I ask partly because I was quite surprised that on the first day mentioned above, 6 winning trades at 25 ticks and one loser at 20 ticks (+130 ticks) doubled the account?

That concerned me because of my perception (perhaps mistaken?) that the kind of position-sizing implied by that might result in 3 or 4 consecutive losers - which you may well have at some point? - taking you out of a Combine, just because of the daily loss limit?

Hey Tymberline, thanks for stopping by.

On day 1 I was really getting used to the platform in general and it was the first time doing automated trading. Commissions weren't taken into account on that day either. I was rather surprised the account was up that much as well but keep in mind my account only had $1,000 in it to begin with, so technically anything over ~100 ticks would give a massive % return on a $1,000 account. This will be different with a 50k account because I can actually adjust order quantity etc. And yes I am scared of the daily loss limit and do not trust the code I have setup for it so I have commented it out and will have to stop the bot myself if it gets caught upside down in a trend.. However, this is really the only thing I don't have automated, and only trading one market (ES) in the combine the bot wont make more than 2 trades per day, so I dont see this problem happening. But yes it is a concern, I will be keeping you updated as we go, just about to purchase the combine as I type this!

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  #26 (permalink)
Dayzed
Detroit, Michigan, United States
 
Posts: 38 since Feb 2017
Thanks Given: 10
Thanks Received: 20

Day 1 of the Trading Combine 50k:

Well we only had one trade today and ES was boring as all hell to watch today. Went long at 10:40 for 2367.75 to start the day.

The way the bot is setup is if the position is open for more than 2 hours my profit target slowly decreases down to 10 ticks. Considering I was in this position for over four hours the tick target was set at 10, and I still had a rough time hitting it.

Finally at 3:08PM EST the 10 tick target was hit and I was done for the day. Up $125 on my first trading combine day. Not a huge day but I will take any amount of profits on a Monday, and a slow one at that. Here is a picture, and if anyone has any questions feel free to let me know! Otherwise, see you all tomorrow.


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  #27 (permalink)
Dayzed
Detroit, Michigan, United States
 
Posts: 38 since Feb 2017
Thanks Given: 10
Thanks Received: 20

Day 2 of trading combine:

Well today was a bit more interesting. I optimized the bot last night and adjusted profit target ticks and stop loss, however I am not sure if I am a fan of the idea. In back testing it works very well with ES, but the risk management idea of this isn't the best. Right now the profit target is set at 17 ticks with a stop loss at 20 ticks... However the winning % on it is over 75% so if anyone has an idea on what could be causing that im all ears.

I also optimized the bot for CL!I ran CL on my sim account and it went 2-0 so I am thinking about giving that a whack in the Combine tmrw.

I also tried messing around with contract quantity but I dont understand how to scale my targets with doing this. My first position of the day I went long with 2 contracts @ 09:53AM for 2360.75. I flirted with my target but ended up stopping out at 2355.75. Of course this had to happen the first time I do 2 contracts... But how I have it setup is I start with a 2 contract position, if I lose I goto 1 contract and if I lose that I am done trading for the day. Let me know if you see any flaws in this logic as it isnt the traditional martingale or anything like that... The reason behind this is due to the daily loss limit, I dont want to even get close to the 1,000 max daily loss limit and my stop loss on 2 contracts puts me down $500. Alternatively I could just do the reverse of this and start with 1, if I win goto 2 on the next trade. This is probably better.

My next trade happened at 11:20AM at 2361.75 I took up a short position and hit my profit target an hour later. Sadly this was only on one contract and my profit target is under my stop loss so I was still down quite a bit.

The last trade of the day came in 5 minutes after I closed out of the previous position and the bot predicted a reversal and got it. Went long for 2357.75 and sold an hour later for 2362.

Overall the bot was down $162.50 on the day, which puts the account at $49,944.10.

Edit: After looking at my dashboard it seems commissions brought my loss down even further. I feel like $14 is a bit much for 3 trades... But I'm not used to this anyway.

All around the days have been pretty stale, havnt hit my daily profit target of $500 and also havnt hit my daily stop loss of $750. So nothing too exciting yet and we are still hanging on.


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  #28 (permalink)
 
rintin2x's Avatar
 rintin2x 
salt lake utah
 
Experience: Beginner
Platform: Sierra Chart
Broker: CQG
Trading: ES
Posts: 542 since Jun 2016
Thanks Given: 634
Thanks Received: 542

NT commissions about $3.64-$4.48 RT depending on the platform license. What they take on the dashboard seem taken from the direct edition platform + few cents more....I think rithmic charging .25 / pop, maybe that's the difference.

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  #29 (permalink)
DjRonin
La Serena - Chile
 
Posts: 144 since Feb 2017
Thanks Given: 51
Thanks Received: 92

You traded 8 contracts in total between entry, targets and SL. And 14.72$ for 8 contracts is very low fee. Reasonable fees. Lets say you took 1 trade for 2 contracts and 2 for 1 contract, thats the 8 contracts you made. so assuming each entry that opens and close with NT and TST cost you 3.68 the price is correct. NT alone charge 4.68$ RT depending if you are leased, even more if you are on the free license.

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  #30 (permalink)
Dayzed
Detroit, Michigan, United States
 
Posts: 38 since Feb 2017
Thanks Given: 10
Thanks Received: 20


Thanks guys for the insight! Im not used to commission charges on future's so knowing the rates is useful for me. Thanks for the help there!

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Last Updated on April 3, 2017


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