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Sam028 EOD Robot
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Sam028 EOD Robot

  #1 (permalink)
Administrator: Retired Backtester
 Vendor: speedytradingservers.com 
Rennes France
 
Futures Experience: Advanced
Platform: NinjaTrader
Broker/Data: IB/Kinetick
Favorite Futures: Futures
 
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Posts: 3,366 since Jun 2009
Thanks: 3,572 given, 3,982 received

Sam028 EOD Robot

The idea of the robot is quite simple:
- try to get few ticks after the end of the regular session
- no overnight position
- very very basic MM, stop gain == stop loss (8 to 12 ticks)
- 2 contracts, on ES/NQ/TF/YM
- same strat for these 4 futures contracts, but some parameters value differs.
The backtests were quite good, maybe too good to be true, let's see what happens in the real life.

Day 1: good (490$ after commission)

Attached Thumbnails
Sam028 EOD Robot-2009-08-31_2356.png   Sam028 EOD Robot-2009-08-31_2359.png  

Last edited by sam028; August 31st, 2009 at 07:01 PM.
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The following 2 users say Thank You to sam028 for this post:
 
  #2 (permalink)
Elite Member
USA
 
Futures Experience: Master
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Posts: 155 since Jul 2009
Thanks: 45 given, 109 received

hello sam and good luck with this new strat. i was wondering if you have tried optimizing on van tharp system quality number [sqn] which i posted some time ago and if so if you would share with me the value. i have been trying to find someone with a good strat and compare the sqn values so i can try to see what a good value might be. most of my strats are between 3 and 5 for sqn value.

how long you backtested this for?

"Let us be thankful for the fools. But for them the rest of us could not succeed." - Mark Twain

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  #3 (permalink)
Elite Member
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Posts: 155 since Jul 2009
Thanks: 45 given, 109 received


so does strat trigger 2 contracts in each of four instruments simultaneously based on a single trigger or is the strat running separate on each instrument and may or may not trade each instrument?

nice first day good job.

"Let us be thankful for the fools. But for them the rest of us could not succeed." - Mark Twain

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  #4 (permalink)
Administrator: Retired Backtester
 Vendor: speedytradingservers.com 
Rennes France
 
Futures Experience: Advanced
Platform: NinjaTrader
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Favorite Futures: Futures
 
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Posts: 3,366 since Jun 2009
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caprica View Post
hello sam and good luck with this new strat. i was wondering if you have tried optimizing on van tharp system quality number [sqn] which i posted some time ago and if so if you would share with me the value. i have been trying to find someone with a good strat and compare the sqn values so i can try to see what a good value might be. most of my strats are between 3 and 5 for sqn value.

how long you backtested this for?

No, I didn't played with Van Tharp SQN, just basic backtest/optimization.
2 trades on the same contract but one trigger: I use two brokers, so I can see compare them. There is one strat by instrument by broker, so 8 "same" strat running.

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  #5 (permalink)
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Hi Sam
Any screenshots of trades/setups at all? Or are they secret?
Regards

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  #6 (permalink)
Administrator: Retired Backtester
 Vendor: speedytradingservers.com 
Rennes France
 
Futures Experience: Advanced
Platform: NinjaTrader
Broker/Data: IB/Kinetick
Favorite Futures: Futures
 
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Posts: 3,366 since Jun 2009
Thanks: 3,572 given, 3,982 received


vast View Post
Hi Sam
Any screenshots of trades/setups at all? Or are they secret?
Regards

Sorry Vast, it's secret, for various reasons.
But don't worry, I still convinced that something is wrong in the strat, the backtests results are too good, so if the strat may fail soon. About 75% profitable trades, avg win>avg loss, 1 (small) loosing week these last 3 months, works fine on different contracts, 3 max consecutive losers vs 12 consecutive winners , etc.
I've build a huge quantity of strategies, and never found something like that before, but this time, I'm unable to find what's wrong.
If a miracle happens, and the robot still profitable after few weeks, I'll find a way to share it.

day 2: -85$ before commission, and something strange, a trade take by one broker, but not by the other one (IB), nothing in the logs
day 3: +57.5$ before com


Last edited by sam028; September 2nd, 2009 at 05:17 PM. Reason: results day 3
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  #7 (permalink)
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Hi Sam thanks for your honesty.
Hope today went well.
Good luck with it and may the strat results serve you well.

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  #8 (permalink)
Administrator: Retired Backtester
 Vendor: speedytradingservers.com 
Rennes France
 
Futures Experience: Advanced
Platform: NinjaTrader
Broker/Data: IB/Kinetick
Favorite Futures: Futures
 
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Posts: 3,366 since Jun 2009
Thanks: 3,572 given, 3,982 received

I'm posting my yesterday's results with 2 screenshots, because I think I'll have to drop and recreate my NT database. I still have the famous "Loading data..." for longs minutes, have restarted NT few times, reboot the VirtualBox, same result, and nothing in the log files .

Day 4: +5$ before commission. But there is a bug somewhere, the robot went long on YM and NQ, but were supposed to go short, I need to add some "Print(...." in the strat...
The logical result should have been +245$ before com.

Attached Thumbnails
Sam028 EOD Robot-2009-09-03_2008.png   Sam028 EOD Robot-2009-09-03_2009.png  

Last edited by sam028; September 3rd, 2009 at 05:56 PM. Reason: Day 4
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  #9 (permalink)
Elite Member
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Posts: 155 since Jul 2009
Thanks: 45 given, 109 received


sam028 View Post
The idea of the robot is quite simple:
- try to get few ticks after the end of the regular session
- no overnight position
- very very basic MM, stop gain == stop loss (8 to 12 ticks)
- 2 contracts, on ES/NQ/TF/YM
- same strat for these 4 futures contracts, but some parameters value differs.
The backtests were quite good, maybe too good to be true, let's see what happens in the real life.

Day 1: good (490$ after commission)

thx for this i love strategies so love to see and learn from others and i especially like you posting the equity graph. now if you will do me the favor of optimizing it with the sqn and giving me the results of the optimization including length of period # of trades per day and the sqn itself i would really like that.

"Let us be thankful for the fools. But for them the rest of us could not succeed." - Mark Twain

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  #10 (permalink)
CL Assassin
Near Dallas, Texas, US
 
Futures Experience: Advanced
Platform: NinjaTrader
Broker/Data: ZenFire
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Posts: 1,070 since Jun 2009
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Sam,

What is the primary purpose for using 2 brokers simultaneously? Are you hedging?

Gary

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