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Tundi's ATS
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Tundi's ATS

  #1 (permalink)
Senior Member
Fullerton, CA
 
Futures Experience: Intermediate
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Tundi's ATS

I decided to further test the system on the following instruments: CL (2 versions), FDAX. EMD, 6E, NG, ZB, ZW, ZS, and TF during RTH.

Live trading in sim will begin today and run no longer than a month to learn which are the best instruments for cash trading. I have joint ventured this project with a brilliant computer scientist who will test 7 major currency pairs.

All trades are now entered at Limit and exited at Market

My results will be posted daily during this test.

 
  #2 (permalink)
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  #3 (permalink)
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January 10, 2011


Here are today's results trading one contract and excluding commission. At the end of the month, I'll have a better feel if it make sense to lease an exchange seat based on the average daily volume in instruments that make the final cut for cash trading.

I added NG last night because it backtested really well, Today, in live trading, it suffered badly from slippage. If it continues like this the rest of the week, I'll drop it early from the test.

CL and FDAX continue to act well as they have since inception of the strategy.

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  #4 (permalink)
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Hi Tundi,

Where are the rules? Another post?

 
  #5 (permalink)
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The rules: When indicators A (undisclosed) and B (Double ZeroLag EMA) are both green or red, it buys or sells, respectively, using limit orders. Trades are closed at market when Indicator A reverses color.

All calculations are based on COBC=True.

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  #6 (permalink)
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Tundi,

Can you share how you arrived at the settings for indicator A and B ?
Did you use the optimizer and backtest or some other method ?
I'm always curious how other traders identify the optimal settings for their needs.

Thanks,
gulabv

 
  #7 (permalink)
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Tundi View Post
The rules: When indicators A (undisclosed) and B (Double ZeroLag EMA) are both green or red, it buys or sells, respectively, using limit orders. Trades are closed at market when Indicator A reverses color.

All calculations are based on COBC=True.

Are you willing to share some charts, so that we could get an idea, what the indicators look like?

 
  #8 (permalink)
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Fat Tails View Post
Are you willing to share some charts, so that we could get an idea, what the indicators look like?

I'd be happy to share charts that include indicator B (which is available here), but not A due to confidentiality considerations. What charts would you care to see?

 
  #9 (permalink)
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Tundi View Post
I'd be happy to share charts that include indicator B (which is available here), but not A due to confidentiality considerations. What charts would you care to see?

This thread has little value, if you do not intend to post any charts or explain the rules. I understand that you do not want to disclose proprietary information, but showing results generated

- from undisclosed indicators
- with undisclosed rules
- and without charts

is not very informative.

Why did you start the thread, if you do not want to disclose anything?

 
  #10 (permalink)
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Fat Tails View Post
This thread has little value, if you do not intend to post any charts or explain the rules. I understand that you do not want to disclose proprietary information, but showing results generated

- from undisclosed indicators
- with undisclosed rules
- and without charts

is not very informative.

Why did you start the thread, if you do not want to disclose anything?

If the thread has no value to you, which is a personal decision, don't read it.

I disclosed one of the two indicators.

I disclosed all the rules.

I told you I would post charts if you told me the instrument. (see https://futures.io/index-futures-trading/7136-hft-high-frequency-trading-us-dollar-index-2.html#post82121)

Lastly, this is MY journal. Here is the description of the Trading Journals forum:

"Trading Journals are powerful tools to improve your day trading. This forum well help traders do that by tracking your own trades as well as following the trades and journeys of others."


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