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TS on the virtual machine shut down again as I launched RDP, no warning. I think this might have to do with how I am exiting Remote Desktop. It is otherwise very stable (100% uptime). TS has not had a 'proper' crash, probably because the strategies are just running.
MES versus ES
I wanted to test the same strategy (algo) on 10 contracts of MES versus 1 contract of ES. Everything is equal: same parameters for chart settings and strategy; same start date for the data (using Renko). ES performed a lot better than MES (despite both being losers today), even considering higher commissions for MES:
I am going to continue looking at this for the rest of the week. I went flat before market close so that I could reset my positions and the strategy.
I hate quoting myself, but I wanted to add that the entry signals did not align. Several did, many did not. So may track closely in price, but with respect to automation, they won't track exactly.
That is my analysis on that. One is not necessarily better than the other (testing over long time periods will tell us that), it is just different.
Ugh.... too tired to finish my updates. E7 still looks good, ES is better than MES, and I have added EMD to my test mix (wouldn't trade it, but I have it). Now I'm up to 8 strategies, running fine.
The purpose of the test is stress test. So far, not a single crash related to strategies running. It looks like this VM config works well.
I was so tired yesterday that I did not have time to post. I completed stress testing of our VM at the end of yesterday. No problems to report. We will go live Sunday night. I am doing a new set of testing (started last night at market open), running 9 strategies simultaneously.
These are the results of my experiment with MES (10 contracts) versus ES (1 contract) 22 hours of trading the same strategy. ES did about 10% better against the same strategy. I used a bad strategy (not one of my production strategies) obviously, since they were both big losers. But ES appears to perform much better.
I am running one more test today, but with a different strategy (presumably a winning strategy).
We are not really developing any new strategies right now, but going through what we have, doing documentation, and inventory. We have several strategies, mentioned earlier in this journal, which have some refinements that make them good candidates for going live. We have done adequate backtesting and are incubating.
End of Week
I'm exhausted. Thankfully I do not have any epic decisions to make. If I were doing any discretionary trading today, I probably would have lost my shirt.
As it is, I'm an algo, so let's get to it, shall we?
Today I ran the latest edition of our fractal-alligator strategy. It has not been easy going, but my wife/trading partner added more effective exits to the strategy that now aligns properly to the strategy performance report. That is hugely important, as I have not been able to properly vet this strategy. I tested 9 instruments in sim on my VM, to see if the entries and exits aligned. At first blush they did. I had an erroneous entry on NQ, related to the 'Assume market position' setting, which will put you in a position if your strategy was interrupted. Everything else appeared to be okay.
I was also looking to see if my end of week exit worked okay. It did for some, not for all. I exit after 1615 ET, but a bar has to form (if using Renko, it might not happen). So it didn't for all, so I had to go flat right before close. I may set my exit time to a little earlier, maybe 1600 or 1559. At this time of the day and week, unless there is earth shaking news, it won't make a huge difference on our bottom line.
The other thing I was looking at was MES versus ES again, different strategy. Today, trading results (10:1 contracts, respectively) were exactly the same (slightly profitable).
Think and Grow Rich
This world famous tome by Napoleon Hill has a concept known as 'the master mind group'. If you haven't read it, this is a group of people who come together for a common purpose, numbering anywhere from 2 to 50 or so. The idea is that groups of people can accomplish more together than they can when working separately. Kind of like a hive mind, I suppose. Anyhow, working with my wife as a trading partner allows us to have our own, very small master mind group. It is no small thing. We both agree that we are better traders together than we ever would be on our own.
Trading is a notoriously individualized game for many here, but I know that renowned trader Mark Fisher has put people around him that have allowed him to be more successful than he ever could have been on his own, essentially forming his own master mind group. I would probably prefer to trader in a bubble (or a room filled with cotton balls), but I might not be any more successful alone than with my wife. I know she shares this sentiment. This is merely an observation, but I think, as noted at the beginning of this entry, that our work together is greater than the sum of its parts.
Toe in the Forex Pond
As observed earlier this week, E7 (and J7), both performed well with the strategy I was running. Since I have an Oanda practice account, I am going to apply this strategy to GBP/USD pair next week to see how well it runs, with MultiCharts as my platform. I know this type of strategy works well on currencies, but my limited experience with MultiCharts has prevented me from successfully testing. I think I have worked out the kinks of strategy automation (auto trading in their terminology), so I will run in practice for all of next week and see what it looks like. I would like to have a small Forex account that I can deploy some of our automated strategies and watch them simmer (or ice melt, as @forestcall called it ).
VM Update
As of today, I have used $39 of my US$200 credit from Azure. So we have about 20 more days of a 'free' VM, until I have to start paying. I save $ by shutting down over the weekend, though if I pay by the month or year, there is no cost benefit due to steep discounts.
I am securing the VM so it is not accessible to the internet at-large. Still figuring that out, but I know my choices.
Just a quick update: I went live last night with the strategy we have been developing and testing these past few months. We determined last Friday that we were good to start trading. So now I have my strategy running on TradeStation on a virtual machine somewhere in Iowa. I'm trading MNQ, so we shall see how it runs this week.
Forex Nonsense
I am also trading (practice account) with Oanda, GBP/USD pair, another automated strategy. I am also formulating an experiment around trading a basket of forex pairs. I will post some results later. Yeah, I know it is not futures, but Oanda provides a nice platform (when paired with MultiCharts) for testing out ideas that may translate to algos (strategies) that I can use in the futures markets.
Since pictures have been sparse here lately, here is a current forex position I am in (GBP/USD pair):
I'm pretty busy with client work for the next two weeks, but I want to write a more detailed post about how we got to this point, from idea to inception. Stay tuned for that.... it might be boring, entertaining, who knows?
End of Day
As I have mentioned before, I do not post live profit and loss $, preferring to just indicate a binary state: profitable or not profitable. I'm not here to prove anything one way or the other.
Today's Results:
Profitable for the day, trading MNQ
3 round trips
50% profitable
1.85 profit factor on closed positions
1 open position at close: profitable
Order execution was perfect. All slippage was in my favor. Zero execution errors from me. Virtual machine ran perfectly. 'Nuff said.
Portfolio Diversification
I won't go too deep here, but I promised this a few weeks ago and finally finished it. I wanted to show how diversity in a portfolio can smooth your equity curve. I took three instruments (GC, NQ, CL) and applied a generic strategy, fiddled with the numbers a little to make it interesting, then charted it. Here is what I came up with:
The gold line indicates overall, or portfolio, net profit. The interesting thing to me is that it has a drawdown of only $12k in this period, where NQ had a drawdown of $16k, but GC (gold) helped lift things during that time. Having the multiple instruments (hopefully non-correlated) helps smooth the overall equity curve of the portfolio. CL somewhat languished during most of the month, but held steady enough.
The point of the exercise was to demonstrate the importance of diversification. I learned this in Kevin Davey's ( @kevinkdog ) Strategy Factory course, and it was one of the most important takeaways for me. I know some folks have their favorites and may only trade a single instrument (ES for example), but having a smooth equity curve is a very attractive proposition to me.
The last thing I want to say about portfolio diversification and algorithmic trading is this: with a smaller account size and the micro e-minis that are available, its much easier now to build a diversified portfolio for a small operator. I currently trade the smallest of our accounts (growth account), so this is very attractive to building account equity until I am able to trade larger contracts.
My Little Forex Experiment
I am doing some practice trading in Oanda, so I decided to run an experiment (I should have thought of this yesterday, but oh well). I am running an automated strategy, on three forex pairs: GBP/USD, EUR/GBP, and EUR/USD. So a circle of currency, if you will. I want to see how they perform in relation to each other, with the same strategy. Maybe I will do the diversification chart as shown above.
Speaking of Oanda, I was able to setup my account in less than 10 minutes, approved and ready to roll. I won't fund the account or trade it yet, as I need some clarification on one point. However, I love working with them so far. Support has been responsive and their data feeds have been very stable.
I forgot to say thanks to all who gave thanks to my journal entries, during June's Shark Indicators journal challenge. I came in third place, which was surprising and humbling. I was not in it for the glory and didn't even realize I journaled that much. Anyhow, thanks folks!
Today had some good trades, but chop literally chopped away at some of the bigger wins. Execution of trades was perfect (within a point). Slippage is good, well within tolerances. My execution was fine (I didn't screw anything up). I like the fact that even on a day that is only 30% profitable, I still made money. At this point I'm up for the month, covering all of my data and platform fees.
Forex fumbling - (or...Thank God for Practice Accounts)
Well, it is a good thing we have practice accounts to use for screwing things up. I mean learning.
I tested my three forex pairs as mentioned yesterday, but I am learning (the hard way), what I can and cannot do. Much like TradeStation, I have to 'set it and forget it'.
Set it and Forget it
Not really forget it, but I was trying to do some other things at the same time and I kind of hosed my test. And I had a system crash. So that happened.
Execution was okay when I wasn't screwing things up, but performance was not great. That is probably du My dear wife/trading partner has some settings which have been working well for her. I switched up after I restarted my PC. I will continue testing.
~vmodus
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