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Sam028 EOD Robot
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Sam028 EOD Robot

  #11 (permalink)
Administrator: Retired Backtester
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@Gary: 2 brokers for multiple reasons, but here the main one is because I want to sleep in peace. The robot is buying/selling 4 different contracts, and is flat before the european night. So, no overnight allowed. If, bad luck, broker A have a problem, and the robot is unable to close these positions, I can manualy hedge with broker B.

@Caprica:I don't have all my historical data right now, I've just checked the strat with 09/09 contracts, 1 trade/day/contract/broker, SQN from 4.07 (on YM) to 5.95 (on NQ). I'm not sure it's the infos what you want...

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  #12 (permalink)
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Day 1: +520$
Day 2: -85$
Day 3: +57.5$
Day 4: +5$ (+245$ without bug)
Day 5: +480$
Week 1: +977.5$ (+1217.5) before com.

Good first week, without yesterday's bug (found it), the results is +1217.5$ (so +977.5$ with the bug).
Until now, the results looks similar to the backtests (win/loss ratio, average winning/losing trade, etc).

Attached Thumbnails
Sam028 EOD Robot-2009-09-04_2359.png   Sam028 EOD Robot-2009-09-05_0000.png  
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  #13 (permalink)
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Great job Sam!!! I like the results.

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  #14 (permalink)
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Agreed nice work Sam. Keep up the posts

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  #15 (permalink)
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Day 6: no trades
Day 7: -50$ before com


Last edited by sam028; September 8th, 2009 at 05:51 PM.
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  #16 (permalink)
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Day 8: +430$ before com

Week 1: +977.5$ (+1217.5) before com
Week 2: +1357.5$ (+1647.5) before com

Attached Thumbnails
Sam028 EOD Robot-2009-09-09_2221.png   Sam028 EOD Robot-2009-09-09_2223.png   Sam028 EOD Robot-2009-09-09_2225.png  

Last edited by sam028; September 9th, 2009 at 05:37 PM. Reason: add current week status
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  #17 (permalink)
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Day 9: -85$ before com.

Not good, but if losses stays small, and profits much bigger than losses, and win/loss ratio > 70%, fine.
I've also found the EMD contract (E-mini S&P MidCap 400), which seems to be a good contract for this robot. The first backtest without any optimization looks really good (see screenshots).
As the YM is not on the podium in backtests and in real life, I think I could replace it by EMD. I'm just a bit scared by the volumes (and the spread) of the EMD.


Week 1: +977.5$ (+1217.5) before com
week 2: +295$
before com
From the beginning: +1272.5$ (+1562.5) before com



Attached Thumbnails
Sam028 EOD Robot-2009-09-10_2338.png   Sam028 EOD Robot-2009-09-10_2339.png  
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  #18 (permalink)
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I thought for sure this would have been a big UP day for the bot as there was a pretty big move at the close.. Maybe I dont understand the method.. I will re-read..

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  #19 (permalink)
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sam can you tell me somethink

only the basics ...

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  #20 (permalink)
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wh View Post
sam can you tell me somethink

only the basics ...

lol

I am guessing it compares the close to the open, high and low of the day and then takes some action. Might also be based on a gap.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
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4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
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6)
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