Tuesday, October 4th, 2011 - The gaps were very favorable today so I set up to fade it in certain zones. I got an entry, then it almost stopped me out (2 ticks away), then turned around for a nice 9+pt winner in the ES. The first hour guides were fairly mixed, but when a breakout occurred I was still in my gap trade, so I didn't do anything.
I SIM-traded CL for a while, price action trading highs and lows, pullbacks off of Donchain channels on the 377-tick chart, etc., trying something new, stopped at +1 but I was down as much as -34 ticks but I improved my experiment as the morning went on but I had to stop and get on with the day. I think I'm going to backtest this. I will track my SIM trades on a performance spreadsheet like I do with my real-money trades so I can track the performance of trading this in SIM. I did make a couple of errors in execution and not paying attention to something I should have, so that accounted for some small losses/missed profits. A computer wouldn't make those mistakes though.
Wow, that's support! I didn't think it would get down there today, maybe in a few days, but it went straight down there and reversed almost immediately. I noticed it was around 355 while I was eating lunch. I was trying to eat as fast as I could so I could get a trade on but by the time I got on my computer it was already back up to 370-ish into the close. I actually thought about executing a trade on my phone or on my iPad but I wanted to research the strikes some more and it's too scary for me to try this on a mobile device. When I did get on a PC about 20-30mins later I put a limit order to buy a call spread but it didn't get filled. However, I did sell a 345/335 put spread to help pay for the call spread but at best it'll just put a little cash in my pocket if we stay above 342 into Nov expiry.
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Wednesday, October 5th, 2011 - The gap guides looked pretty good, but it opened 1 tick above where I wanted it to open so no trade was taken. That was unfortunate becaise it was a 6+pt winner that filled the gap very quickly and easily.
The FHGs were mixed but with a break-out bias, but with some conflicting setup in the correlated ETFs. So I went for a long breakout later in the morning but on a deep pullback, risking 30ticks to make 90 (in the TF). It filled me, made an MFE of 30 ticks so I reduced my stop to 20 ticks then it turned around and stopped me out.
TF: -20 ticks
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Friday, October 7th, 2011 - The market opened with favorable gap guides so I took the short entry at the open, but instead going for gap fill I went for the extended target because the profit factor was higher than the profit factor of just going for gap fill, which is rare. The zone was confirmed by multiple futures and ETFs so I felt this was an easy trade to take, even with all of the bullishness after the jobs report.
After such a nice winner I wanted to not trade anymore, but I thought I'd check the first hour guides (FHGs) for completeness sake and the low fade look very attractive. I noticed we had already made new lows but had not yet hit it's target or stop. While I wanted to not trade so I could take my money off the table, I think a disciplined quantitative trader needs to take every attractive setup, no matter how much money is made or lost during the day. But by cutting and running I am assuaging my psychology and not being systematic in my trading. So I decided to reduce my risk and go long below the lows with a <1.0 risk/reward. After entering the trade I checked TRIN and the market was definitely bearish and I wanted to re-think this trade and bail out. Internals is not something I usually use but I'm studying them more and how to incorporate internal readings with the statistical data that I use and, at this point, decided to get out of this trade. I was able to get out with a small 3pt loss and avoided what would have instead been an 8pt loss.
ES: +52 and -12 ticks = +40 ticks
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Monday, October 10th, 2011 - We had large up gaps in a favorable D-H zone. These above highs/below lows are tough to trade because you have to think how large of a gap you want to allow yourself to trade, and I sometimes get a little greedy thinking I can get a huge win when the gaps are this large and the guides are that favorable. However studies show gaps > 40% of the previous day's range are riskier. In my guides spreadsheet I have a MIN and MAX levels that point these levels out to me. TMIN and TMAX are 40% of the ATR(5) instead of the previous day's range, which are usually a little looser and wider. (the "T" stands for "Tim", the name of the coach at MTG that uses this rule for min/max gap sizes). Even so, I still set up to fade gaps outside of those ranges because of the strong profit factor and because the big gap win I had on Friday felt so good and I wanted more. However, it cost me 10+ pts.
I saw a trade setting up and went into SIM mode, afraid I might revenge trade. The FHGs came out and there was a slight edge to fading a high break-out. I checked TRIN and it was still bullish, so the trend was in my favor. I then noticed TRIN getting more bullish as price was dropping, so there was a divergence between the futures price and the underlying stock market. Also, this chart looked like it was making a bull flag, so I put in a limit order 1pt below my signal bar close and got filled 1tick above the bottom of the bull flag with a stop of 2ATR and a target of 4ATR using the 3min chart. Price hit 50% of my target so I went BE+1 ("don't let a winning trade turn into a loser"). Price floundered around for quite a while but TRIN continued getting more bullish, which tells me either futures are underpriced or stocks are overpriced and are becoming exhausted. Price then moved up and came 1 tick from hitting my target, then turned lower. I tightened my stop to 50% of the target and was stopped out for +3pts
ES: -41 ticks ES: +12 ticks (SIM)
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Nice bounce off of the 50 fib into the close. Also, this is what MTG calls a "gap gotcha", where, if the gap does not fill during the day, everybody that got short, going for gap fill, will be forced to cover into the close and so you can often get nice rallies like this into the close on unfilled gap days. I've never traded these, but many people at MTG do and they've been having good success with them.
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Interesting how even during this bearish-looking pullback, TRIN remained, and even strengthened, it's bullish reading. So the prices were down, but the volume wasn't heavy enough to raise TRIN.
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Tuesday, October 11th, 2011 - I faded the gap at the open due to favorable-looking setups on the gap guides. I made sure to watch the size of the gap that it was not too large. This time everything lined up and it auto-traded for a nice and easy 8+pt win.
ES: +33 ticks
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Wednesday, October 12th, 2011 - The gap guides were very favorable in the U-H zone as I had confirmation across other futures and ETFs, but the market opened at 1200.75, two ticks above my max (1200.25), so no trade was taken. This was good as it would have stopped out at or above 1208.75 for an 8pt loss.
NO TRADES
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The SPY touched the highs at 122 reached on 8/5, 9/16 and 9/20 but failed to break through. It needs to get through 123.50 and, if it does, I would say this little bearish period would be over. However, the way the market closed in the last hour today was very bad, and looks like a reversal. A lower close tomorrow would confirm that we're headed back to the bottom levels (107.5 and 110.0) of the this bear flag, especially if Europe sneezes the wrong way.
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Thursday, October 13, 2011 - The market opened below yesterday's lows and gap setups there were not favorable. I avoided what would have been a 7+pt loss.
The first hour guides came out and I felt that the guides were positive enough for a low breakdown, especially with my bearish bias and poor odds of the gap filling, and the market would have to make almost new highs on the day to stop me out, so I took a shot at it. I wanted to get short on a pullback after the lows were broken, but I had to step away for a bit so I just put a sell stop limit order 1 tick below the lows and when I got back I was filled. Unfortunately, it stopped me out for a loss. I sure wish I could have gotten short on a pullback like I wanted. I need to write a strategy for this.
ES: -31 ticks
My wife and I celebrated our 15th anniversary yesterday and one of the things we did was go see Moneyball. I really liked the movie. I was able to compare it to trading with the importance of sticking to your plan, especially when you have statistics and historical probabilities on your side.
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Friday, October 14th, 2011 - The market opened in a favorable gap zone (above yesterday's highs) but the gap was very large in size, beyond my level of tolerance so I did not take a gap trade. As the market is not yet closed I'm not sure if it would have been stopped out or not, though, as of now it has filled in 10pts of the gap with 3.5pts of heat so those that went for partial gap fill probably made some money.
The FHGs came out with a slight edge for fading the lows of the 1st hour. I did so but with an improved entry to reduce my risk and increase my gain. I was filled and my target was hit in a few hours with little heat. I was concerned that my trade was contrary to gap fill, which had high probabilities, but the lower odds introduced by such a large gap negated those fears.
ES: +23 ticks
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Here is a mid-month review. I'm pleased I can get a pretty good profit factor even with only a 50% win rate.
I also started charting my P&L since Sept. I wish I had more to show for this account, but the line is above $0 most of the time. Still, that's a lot of work for a little bit of money.
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This AAPL put spread I sold a while ago has reached 82.2% of it's full profit potential, but they don't expire until November so I'm not sure I want to wait another month. I'm thinking I'll just hold it until expiration as the odds of hitting me to the downside are so low. Apple would have to get down to $343, which isn't going to happen with the iPhone 4S selling so well. Also this is a really small position so it's not tying up a bunch of capital that I need for something else.
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Monday, October 17th, 2011 - Tax payment day for us late filers!
The gap guides were very favorable and it was easy to take the trade but the market was just too bearish today and I got stopped out on a losing 7pt gap trade.
The FHGs came out. There was nothing terribly compelling but I wanted to get short, the market just felt really heavy. So I took a FHG low breakout trade but somehow executed it incorrectly and was long instead of short. Pretty quickly I got out for a -1tick loss. After that I re-examined the FHGs and didn't see any statistical reason for getting short, besides good numbers in the TF, but no other instruments confirmed it, so I passed.
I follwed the internals for a while and wanted to buy strength into this bear market day. As it approached the EMA(20) for the first time of the day I placed a limit order right on the EMA, then later cancelled it. That would have been a nice trade. Then I tried to get short again based on some TRIN patterns I've been studying but my limit order was never filled and the market just went down for the whole day. So, besides my gap trade, I had the right idea, just had some poor execution and unlucky breaks in unfilled orders.
ES: -29 ticks
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Tuesday, October 18th, 2011 - We had weak gap guides with small gaps so I did not take any gap trades this morning.
The strongest setup in the FHGs was the low breakout, but the high breakout in TF was pretty good too with some confirmation from the YM and the diamonds so I went long on a retrace after breaking the first-hour highs. Also, internals were bullish so I was going with the tide. It floundered between the pivot and the EMA(20) for a while then burst to the upside in my favor for some reason quickly hitting my target.
TF: +42 ticks
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Wednesday, October 19th, 2011 - The gap guides were pretty good but yesterday's outside day had me concerned that today would be a very indecisive and volatile day. Still, the gap guides favored gap fill pretty strongly so I set up to fade the gap and picked up a 4.75pt winner.
When the FHGs came out they showed a moderately good setup to take the high breakout. I saw price had poked through its highs and pulled back deeper than I would normally try to get in so I got in with a market order with a better than usual entry. However, I later realized that the highs had not actually been pierced, only touched, so technically the signal was not fired, although it did fire 20 minutes later so I just got a premature entry. Also, I forgot to check TRIN before entering the trade and when I did after I saw that the TRIN was bearish, so mistake #2. I was also concerned that my stop was above the pivot and that if we tried to get a test of the pivot I would be stopped out. At one point I was +11 ticks on the trade and I almost hit the "Close" button but hesitated and the next thing I knew I was back to -0.1 or so and convinced myself I would get out once we got positive again. TRIN got more bearish, then it didn't, then it did. Now I'm trading on hope and fear. I tried not think about my gap trade winnings I was about to lose and decided to trust in the data/probabilities. In the end, the bears did me in for a loss.
At one point while I was seeing even more bearish signals firing with the price action (resumption of move with the beginning of a 5th wave) I almost did a stop and reverse, which I've never done before so I didn't, but that would have been a nice reversal trade. It's been said good traders not only know when to get out but when to reverse. It seems like a nice way to lose your money twice as fast if you don't know what you're doing but I can see how it can be a useful skill to have if you can harness the power of it.
ES: +23 ticks TF: -51 ticks
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I like the "What programs have you bought? Confess" thread. It made me think about the history of my trading journey. I made my own list and keep updating when I remember things I forgot about. Add your own posting there as well. Come on, there's no need to be embarrassed.
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Thursday, October 20th, 2011 - There were semi-decent conditions for fading the gap, even for extended target trades. The market opened with a small gap up and I faded the gap's extended target for a 5+pt win.
I had to travel this morning so I didn't make any other trades. I checked later and saw that the market broke nicely below the first hour lows but the FHGs didn't indicate an edge trading in that direction.
I signed up for the Kinetick real-time feed to get access to some other sets of data that I can't get from ZenFire (market internals) so I don't have to rely on thinkorswim for those, and I can incorporate them into my backtesting. So we'll see how that goes.
ES: +21 ticks
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Friday, October 21st, 2011 - I didn't really like any of the gap guide data, and yesterday was pretty much a doji and it's options expiration day, I just avoided any gap trades. We did open higher above yesterday's highs, near the highs of 2 days ago, and I would have been stopped out for an 8pt loss if I had taken the trade, so sitting on my hands was the right thing to do.
I didn't do any other trading due to work constraints.
NO TRADES
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Tuesday, October 25th, 2011 - We had a nice gap down and the market just ran through my stop. It just didn't work out. Looking at the bearish pre-market action I was certainly going against the trend. I'm not sure if that is a filter I need to incorporate or not.
After yesterday's close I thought about going short the market because we had an unfilled up gap. This recently published study shows that selling the market at the end of a day of an unfilled up-gap can be a profitable strategy, though I didn't have a trade plan wrapped around this thesis nor had I researched it myself yet, so I stayed away. So far today it would have worked out nicely, at most for +16 ES points.
ES: -31 ticks
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Wednesday, October 26th, 2011 - We opened (1238.50) with large (12.5pts) up-gaps beyond my acceptable size. Plus, the gap guides for that zone were not very strong. However, the extended target setup was mildly attractive and I did initially set up to take that but later changed it not to due to lack of confirmation from other instruments. When all was said and done, the gaps did fill (1225.50) rather quickly due to bearish reports coming out of Europe for a winning trade I didn't take, also hitting it's extended target (1222.00).
NO TRADES
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Hey guys, looks like I'm in 10th place for the Thanks Contest, I don't know who is in 11th or how close they are so if you have found this journal useful or helpful drop me a thanks if you haven't done so already and maybe I'll get a book out of it. Thanks!
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Site Administrator Swing Trader Data Scientist & DevOps
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Experience: Advanced
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Go to the "Want your indicator created free" thread and tell people to send in their requests to you, knock a few out, and you'll likely get several thanks for that
Thursday, October 27th, 2011 - We had huge gaps to the upside into a favorable zone, but way beyond any sizable gap fade for me. Some MTG members took a partial gap fade for 8pts in the ES right before it turned back around to the upside for the rest of the day. However, that was not part of my plan.
NO TRADES
I've decided to abandon the MTG first hour guides. The gap trades make enough money for me, and are more easily automated. The FHG trades require more time, attention and discretion, which are not ideal for my situation. Also, they just add more volatility to my trading account and unnecessary market exposure and for the past 2 months have cost me money. I've had periods where I traded these more successfully, so it could just be a drawdown period, but I think for the other reasons mentioned it's hard to justify trading these setups for me. Also, I think they are somewhat flawed because they also don't consider the size of the first hour range, which I think is an important metric that is ignored currently in their guides.
I was up early and SIM traded for 90 minutes, trying different things, but lost SIM money. I've actually started a log of SIM trades so I can start tracking my discretionary trading like any other trading. SIM can't be considered just a playground, it has to be treated as much as a business like real-money trading is. I require 3 consecutive months of winning SIM trading before I discretionarily trade with live money so the log will measure my progress.
Also, using a papertrading account in Thinkorswim, I shorted the ES at the Globex open (intraday margin) because we had an up day with an unfilled up gap. The rules are to close the position at the end of tomorrow's cash session. It's an experiment of this.
I did more backtesting of the previously mentioned system, 3+ years back, studying best days and times of day to trade this, longs vs shorts, and also on other instruments like CL, NG, and GC. I have formalized my system research, more so than any time before. I used to test, change, test, change, test, then stop and come back to it later and I couldn't remember where I left off or what I found was working and not. Now, I take screenshots of results of every test, what was different about it, what I changed, my thoughts on the analysis and put it all in a single Word doc. It's a more scientific approach.
I'm finding fewer and fewer reasons why I shouldn't run this live. Seems to work best with short trades, especially when everybody goes "risk-off" and panics. Markets truly do move faster going down than up. It works on the long side, but not as well, and I'd rather have a more efficient system with less draw down to endure even if I can make more net profit with a less efficient system. Fridays perform worse. CL works best in the first 3hrs of RTH, gold works better during the London session, etc. CL has worked astonishingly well this month, this week especially. I'll go SIM next week. I have to write a new strategy that actually trades this, separate from the strategy that backtests, which has lots of code that works to overcome Ninjatrader's back testing weaknesses.
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Friday, October 28th, 2011 - In light of yesterday's powerfull bull move, I felt the market was over-bought and was a little leary fading a down gap, especially into a Friday. The gap of the cash session filled pretty quickly, but the globex gap didn't fill until the end of the day. I watched it in the last 90 minutes, looking to tighten my stop but in the end I left the strategy alone and it all worked out.
ES: +33 ticks
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The "short the market on an unfilled upgap" trade made +2 pts. It had an MFE of +7.75 pts (21% of the previous day's range and 27% of the 5-day ATR) and an MAE of -1.00pt
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Monday, October 31st, 2011 - We had large gaps down in unfavorable territory for gap trading so I stayed away. I avoided an 8pt loss.
NO TRADES
I spent a lot of time over the weekend getting my strategy ready for SIM trading. I put it in the live market last night and went to bed and woke up with no trades executed. I've been debugging the order entry logic most of the morning. It enters with stop orders so that makes the trade management more complicated and NT was doing weird things, like if I called CancelOrder() and then placed another order soon after the order wouldn't be accepted, probably because the other order wasn't cancelled yet. So then I put in a Thread.Sleep() to give it some time to get cancelled (multi-threaded hopes) but no matter how long I let it wait my subsequent entries wouldn't get placed until the next bar which sometimes was too late. I tried using the liveUntilCancelled signatures but if you don't SetStopLoss() and SetProfitTarget() in the right way the stop orders get cancelled even if you tell it not to. NT is a funky beast. Anyway, it looks like it's now doing what I expect it to do, but I'll let it run for a while on its own and get some other things done.
One thing I do to test in SIM is to run it with the same rules but with a very fast time frame (like 30 secs) and very fast parameters so signals can get fired frequently and often so I don't have to wait around a long time to wait for something to happen. I probably placed about 100 orders over a few hours. Make sure you're connected to a SIM account too!
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This month I didn't do any discretionary trading, at least with real money. I just did gap and first hour trades. I decided last week to not do first hour trades anymore because my obligations with work and getting my kids ready for school in the morning make it hard to trade these as effectively so I'm going to just be completely automated as far as trade execution goes and only trade gaps and any other automated strategies I decide to run.
My net P&L has a $25 (two ES ticks) discrepancy with my RCG statement, and I've narrowed it down to 2 trades that don't match their statement so I need to figure that out, but overall I'm pleased with the results.
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Tuesday, November 1st, 2011 - We had large gaps down thanks to Europe in favorable gap zones, but the gaps were way too large to fade. The gap never did fill, though we did achieve as much as 14+ pts of gap fill at the highs of the day so a 1:1 partial-fill gap trade would have been a 8.75pt winner with only 5+ points of heat.
I went live with a new strategy with real money which took 1 trade for a loss. I would have enjoyed a more positive christening but alas it wasn't meant to be.
CL: -28 ticks
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Wednesday, November 2nd, 2011 - We had pretty good-sized up-gaps but fading up-gaps on FOMC days are particularly risky so no gap trade was taken.
My automated day-trading strategy doesn't trade CL on Wednesdays and Fridays. I'm running it in SIM for further testing. Once I get it up on other instruments then maybe I'll take some Wednesday trades. I'm still testing it on NG and GC.
NO TRADES
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I've created a new journal that will focus just on my automated trading research and journey. I may continue to post here every now and then my musings about markets or trading, and maybe post a few stock/options trades, but my intellectual capital is now focused on automated trading systems so I have created a separate journal for that. Posting why I traded or didn't trade the gap doesn't seem very beneficial to me anymore as I've been doing this practically on autopilot for a while. If you have any questions about my gap trades you can ask here or PM me, otherwise I won't bother posting about them anymore just to save me the time of writing and publishing screen shots everyday.
This journal will track my progress in trading in an automated fashion.
History
Those that follow my other journal know that a good portion of my trading is already automated, based on historical probabilities I subscribe to from MasterTheGap ( and …
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Ha! Are you judging my age by my picture or immature trading methods? If by picture, that picture's about 5 yrs old and I've always had a baby face and look younger than my actual age (43) This one was taken a couple of week ago at the beautiful campus of Soka University.
Speaking of my wife, she's going in for surgery this Thursday for treatment of breast cancer, which she was diagnosed with last month, so I could use everybody's thoughts and prayers.
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Totally by the picture (thanks for the updated one), your methods appear sound and seem to fit your active family/working lifestyle very nicely. I envy your programming skills, as I'm sure many on this forum do. I believe you've found yourself a nice workable niche in your trading that allows you to enjoy all aspects of your life, that alone is a great accomplishment. I'm intrigued to witness your method unfold to the next level. Sorry to hear the news of your wife, I'm sure her/your concern is incredible. If I may, I'll offer two suggestions, one for you and one for both of you. For you, stop trading, for awhile anyway. And lastly, even if you don't believe in a mass/universal consciousness, act as if you do during the coming weeks. You will certainly have a mass of people from around the globe, wishing your wife, you and your children a positive outcome to all the events your family is about to endure. Probably, someone somewhere throughout the course of every hour around the clock, how comforting.
wow thanks for your kind words! we are religiously active Christians (Mormon) and are getting lots of spiritual and physical support from all around us. though, i just got hit with a bad case of carpal tunnel this weekend so i'm not very useful with my injured hand in terms of helping her or getting much programming / trading / researching done so i guess we're getting a double-dose of mortality reality this month. all we can do is press forward and hope for the best! since this is a trading journal and not a pity-fest, i'm going to continue trading but only automated, which is all i do anyways right now so i'll just keep doing what i have been doing and let the predetermined historical probability of success of each setup take its course.
My wife is doing great, the surgery went really well, it appears the cancer has not spread to her lymph nodes so odds of being cancer-free are very high! Now she just needs to rest and recover and do some more post-op treatments but the hardest part is over.
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I realized I miss journaling, and I should write it somewhere, so why not to the Elite FIO members? I could just keep a personal journal, but that would be too selfish. Plus, you guys can keep me honest, and perhaps collaborate to improving my trading. Instead of starting a new journal, I'm just going to start where I left off 8+ years ago here.
So lately I've been posting all of my trades in my Slack channel in near real-time. I'm not sure I need to do that here, but this will be more of a summary of the day of how things went, with reflections and what I am looking at going forward. So I don't get in trouble with the moderators by posting URLs to stuff I run, even though it's free, just DM me if you are interested in joining my Slack channel. It's part of the Meetup I run, which is also free (DM me for URL), and you are welcome to join. It used to be more locally focused, like most meetups, but because of COVID we are doing Zoom meetings now, so anybody anywhere in the world can join in. DM me if you would like that info as well.
Anyways, I have a handful of strategies I trade. I will not expose all of the technical details of each one of them, so I will still hold some things close to the vest, for proprietary reasons, but I think what I post can be of use to me and others.
Thanks for playing along! Posts to come...
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The algo closed out just below break-even after 24 stock trades.
This is something custom I coded in C#/.NET, using the IB API. It trades open range ATR breakouts on the top 20 stocks that meet a handful of liquidity and volatility characteristic I scan for (via SQL database) every day. It was a lot more work than writing it in Ninjatrader, but it's simpler to manage and operate on a day-to-day basis, and is more stable than Ninja's IB interface, at least in my experience.
Will probably close out my CL spread tomorrow, there's not much left in the spread so the risk/reward is getting too high at this point.
I'm stalking the VIX futures term structure, looking for +/- 10% contango on the front two contracts. If we start to get some big moves then I'll look to put on a calendar spread.
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My CL spread was completely closed this AM, so I closed the spread for a $4.5k per contract profit.
I won't be putting on another spread CL for now as the spreads are not very wide. However, we could see some wild volatility into the roll next week, as a follow-up from last month's craziness. But for now, the market seems like its old self again, so I woudn't be surprised if expiration rolls smoothly.
My NG spread is converging nicely, bringing in more profits as we near June contract expiration. TD Ameritrade gave me a nasty warning about not allowing traders to enter new trades on the June contract. You can only do closing trades now for the rest of the contract period. I've never seen that before. I usually do spread like this on in my IB account but I did it on TOS this time, playing with their built-in spread features.
The gold and silver ETFs continue to work nicely as well, as long as the Fed keeps printing trillions of dollars, Bitcoin and metals will be on the rise.
My stocks algo had a losing day. I haven't had a good winning day on this in a while.
It's net negative for the last few weeks. That's to be undertood in part as volatility has been compressing, but before I turn it off I'm going to do some homework on the fills and see how much slippage I am experiencing. It's not yielding close to historical norms at this point.
Yeah, yeah, I know, overfit..slippage & commissions...yada yada. I do think slippage is probably worse than what I had expected, at least on some instruments, and the compression of volatility in the equities markets is making it harder to reach it's volatility-based profit targets. There are also some other things I want to re-test as well.
Weekend homework...
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