KJ Trading Systems Strategy Factory - futures io
futures io



KJ Trading Systems Strategy Factory


Discussion in Trading Reviews and Vendors

Updated
      Top Posters
    1. looks_one risingfire with 12 posts (82 thanks)
    2. looks_two vmodus with 12 posts (24 thanks)
    3. looks_3 SMCJB with 11 posts (34 thanks)
    4. looks_4 kevinkdog with 10 posts (12 thanks)
      Best Posters
    1. looks_one ilkan10 with 9.5 thanks per post
    2. looks_two risingfire with 6.8 thanks per post
    3. looks_3 SMCJB with 3.1 thanks per post
    4. looks_4 vmodus with 2 thanks per post
    1. trending_up 24,949 views
    2. thumb_up 229 thanks given
    3. group 33 followers
    1. forum 75 posts
    2. attach_file 7 attachments




Welcome to futures io: the largest futures trading community on the planet, with well over 125,000 members
  • Genuine reviews from real traders, not fake reviews from stealth vendors
  • Quality education from leading professional traders
  • We are a friendly, helpful, and positive community
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts
  • We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

(If you already have an account, login at the top of the page)

 
Search this Thread
 

KJ Trading Systems Strategy Factory

(login for full post details)
  #61 (permalink)
 SMCJB 
Legendary Market Wizard
Houston, TX
 
Experience: Advanced
Platform: Trading Technologies
Broker: Primary Advantage Futures. Also ED&F and Tradestation
Trading: Primarily Energy but also a little GE, GC, SI & Bitcoin
 
Posts: 4,356 since Dec 2013
Thanks: 3,692 given, 8,758 received


vmodus View Post
For my own systems, oddly enough the systems I have for full size or mini contracts do not work for the micros. So that is a problem I have on my side. Go figure.

Because of costs or due to other reasons?

Reply With Quote
The following 2 users say Thank You to SMCJB for this post:

Can you help answer these questions
from other members on futures io?
$0 trades
EasyLanguage Programming
Does anyone have the code for Anchored Vwap to use in Qu …
Traders Hideout
Google Keyword Search Alerts
Traders Hideout
Store value in variable when emas crossover easy language
EasyLanguage Programming
pay for programmer coding a custom indicator
Traders Hideout
 
Best Threads (Most Thanked)
in the last 7 days on futures io
Why dont people trade 150 ES contracts?
40 thanks
Spoo-nalysis ES e-mini futures S&P 500
36 thanks
Any long term success stories from funded traders in the …
26 thanks
Daytrading.Coach Review
17 thanks
How to work on strategy
17 thanks
 
(login for full post details)
  #62 (permalink)
 kevinkdog   is a Vendor
 
 
Posts: 3,132 since Jul 2012
Thanks: 1,666 given, 6,207 received


SMCJB View Post
Because of costs or due to other reasons?

That is a great question. When I test with @ES and then @MES, I always make sure the Net P/L of @MES is 10% of @ES, if the slippage and commission for @MES is set at 10% of @ES.

If it is, then I adjust @MES slip and comm to actual values.

If there is a mismatch, it is almost certainly a code issue, since most of the @MES history is really scaled @ES history. Either that or your strategy is REALLY sensitive to 1 or 2 tick differences in OHLC prices...

Follow me on Twitter Reply With Quote
The following user says Thank You to kevinkdog for this post:
 
(login for full post details)
  #63 (permalink)
 vmodus 
Systematic Algo Trader
Somewhere, Delaware, USA
 
Experience: Intermediate
Platform: MultiCharts
Broker: IB
Trading: Energies, Grains, Fixed Income
 
vmodus's Avatar
 
Posts: 1,132 since Feb 2017
Thanks: 2,613 given, 2,411 received



SMCJB View Post
Because of costs or due to other reasons?

Honestly I wish I new. I have not explored it deeply enough, but I can run one of my systems on RTY and M2K, for example, and RTY will pass and M2K will fail. It may be that I am over-estimating slippage or the micro trading costs are just high enough to bump it out. I have not had time to look into this, as my workload right now is at about 125% my capacity, but given your earlier comments, I really want to build a micro portfolio from my system inventory and see what that looks like. I probably won't get to it until late August, maybe September. Hopefully by the time of the Beyond Factory event.

~vmodus

Enjoy everything!
Follow me on Twitter Visit my futures io Trade Journal Reply With Quote
The following 2 users say Thank You to vmodus for this post:
 
(login for full post details)
  #64 (permalink)
 vmodus 
Systematic Algo Trader
Somewhere, Delaware, USA
 
Experience: Intermediate
Platform: MultiCharts
Broker: IB
Trading: Energies, Grains, Fixed Income
 
vmodus's Avatar
 
Posts: 1,132 since Feb 2017
Thanks: 2,613 given, 2,411 received


kevinkdog View Post
That is a great question. When I test with @ES and then @MES, I always make sure the Net P/L of @MES is 10% of @ES, if the slippage and commission for @MES is set at 10% of @ES.

If it is, then I adjust @MES slip and comm to actual values.

If there is a mismatch, it is almost certainly a code issue, since most of the @MES history is really scaled @ES history. Either that or your strategy is REALLY sensitive to 1 or 2 tick differences in OHLC prices...

The 10% rule is useful, but the problem with it is that it underestimates commission. This post in my journal is a bit dated (last year), but I looked at costs for ES versus MES last year, when I was trading MES and MNQ (the presentation is a little confusing, but the point is there):


I know the micro costs have gone up since I wrote that, but at the time, commission and fees for micro were 150% of the mini. I am guessing, at least in my testing, that this is where my micros are failing.

I understand how the data is built for the micros before inception. As for the code, the code is always identical. The only variables are commission and slippage (and of course, minor price differences between micro and mini). These difference can echo into optimizations for the systems I optimize. I could, in theory, optimize ES and use the same parameters for MES, or vice versa. But that is a topic for another day.

In any case, I don't have much interest in trading them at this point. I will explore the idea @SMCJB inspired, by building a micro portfolio, hopefully sooner rather than later.

~vmodus

Enjoy everything!
Follow me on Twitter Visit my futures io Trade Journal Reply With Quote
The following user says Thank You to vmodus for this post:
 
(login for full post details)
  #65 (permalink)
 kevinkdog   is a Vendor
 
 
Posts: 3,132 since Jul 2012
Thanks: 1,666 given, 6,207 received


vmodus View Post
The 10% rule is useful, but the problem with it is that it underestimates commission. This post in my journal is a bit dated (last year), but I looked at costs for ES versus MES last year, when I was trading MES and MNQ (the presentation is a little confusing, but the point is there):


I know the micro costs have gone up since I wrote that, but at the time, commission and fees for micro were 150% of the mini. I am guessing, at least in my testing, that this is where my micros are failing.

I understand how the data is built for the micros before inception. As for the code, the code is always identical. The only variables are commission and slippage (and of course, minor price differences between micro and mini). These difference can echo into optimizations for the systems I optimize. I could, in theory, optimize ES and use the same parameters for MES, or vice versa. But that is a topic for another day.

In any case, I don't have much interest in trading them at this point. I will explore the idea @SMCJB inspired, by building a micro portfolio, hopefully sooner rather than later.

The 10% is just to compare MES to ES directly. MES results SHOULD be 10% of ES.

If that is true, then you know that the strategy is set up correctly.

After that check, then you can adjust MES slippage and commission as appropriate.


I didn't explain it well, but doing this 10% exercise identifies/eliminates code issues (like maybe having SetStopLoss(X) instead of a contract size adjusted stop SetStopLoss(Y*BigPointValue).

Follow me on Twitter Reply With Quote
The following 2 users say Thank You to kevinkdog for this post:
 
(login for full post details)
  #66 (permalink)
 vmodus 
Systematic Algo Trader
Somewhere, Delaware, USA
 
Experience: Intermediate
Platform: MultiCharts
Broker: IB
Trading: Energies, Grains, Fixed Income
 
vmodus's Avatar
 
Posts: 1,132 since Feb 2017
Thanks: 2,613 given, 2,411 received


kevinkdog View Post
The 10% is just to compare MES to ES directly. MES results SHOULD be 10% of ES.

If that is true, then you know that the strategy is set up correctly.

After that check, then you can adjust MES slippage and commission as appropriate.


I didn't explain it well, but doing this 10% exercise identifies/eliminates code issues (like maybe having SetStopLoss(X) instead of a contract size adjusted stop SetStopLoss(Y*BigPointValue).

Thanks @kevinkdog, as always. In a few systems, I use a limit order based on a calculation from a prior bar's high or low. For the period in which the micro data is real (i.e. from inception), there are differences in bar highs and lows which would explain some of the differences in results. In the end it may all wash out, but it will require some more analysis on my end to see what is happening.

If I remember correctly, @SMCJB and I discussed using ES on data2 last year, trading MES on data1 based on the data2 signals. This would give us the perfect 1:10 ratio, commissions/fees aside.

~vmodus

Enjoy everything!
Follow me on Twitter Visit my futures io Trade Journal Reply With Quote
The following user says Thank You to vmodus for this post:
 
(login for full post details)
  #67 (permalink)
goodoboy
Houston
 
 
Posts: 242 since Dec 2016
Thanks: 166 given, 151 received


vmodus View Post
ha ha ha....

Seems like a trick question, but I'll bite. Assume we are strictly speaking futures, and not equities, options, or any derivatives. I suppose the minimum account size depends upon your trading goals and expectations. I need to trade a portfolio, so $50k is a reasonable starting point... for me. To trade the portfolio I want to trade, $100-150k is more reasonable. If I can pull in 30% returns, that is better than most CTA's. Of course, I want more, but I think that realistically, year in and year out, 30% is a good goal as a starting point.

So 30% on 50k is 15k per year. Pay some taxes on that, then I'm trading 63k, 30% on that is 18.6k. Repeat every year.

$20k is doable, but it limits what you can do, especially if you start with a drawdown, which could very well happen. So if you have a 5k drawdown, you have 15k in trading capital. Do you still have the discipline to stick with your system, or do you pull the plug? I think that if you are a very experienced and disciplined trader, you are okay with that if you trust your backtest (you should trust it if you did it right). If you are a less experience or even less disciplined trader, you pull the plug.

Recently I had a miserable couple weeks with a few of my systems. If I had panicked and pulled the plug, changed my portfolio, or fiddled with anything, I would have missed the subsequent two weeks of good recovery. I trust my systems, they test out well and they all have draw-downs, even my best ones. Earlier in my trading career, I would have interfered.

$20k is tight, because I've done it (I had one account start at $12k, very tight and just about impossible to be profitable with limited trading options). The margin rate for ES is $12,100 with my broker. The more you can start with, the better.

Hello vmodus,

Great write up.

Can a trader with $20K build a portfolio of algos trading the micro futures ?

Thanks,

Reply With Quote
The following user says Thank You to goodoboy for this post:
 
(login for full post details)
  #68 (permalink)
 SMCJB 
Legendary Market Wizard
Houston, TX
 
Experience: Advanced
Platform: Trading Technologies
Broker: Primary Advantage Futures. Also ED&F and Tradestation
Trading: Primarily Energy but also a little GE, GC, SI & Bitcoin
 
Posts: 4,356 since Dec 2013
Thanks: 3,692 given, 8,758 received

Big event this last weekend in Cleveland. Seventeen people (including multiple futures.io members) from 5 different counties, 3.5 days of advanced level algo designing, collaboration & discussion. Very unique experience. Thanks Kevin.


Reply With Quote
The following 10 users say Thank You to SMCJB for this post:
 
(login for full post details)
  #69 (permalink)
 vmodus 
Systematic Algo Trader
Somewhere, Delaware, USA
 
Experience: Intermediate
Platform: MultiCharts
Broker: IB
Trading: Energies, Grains, Fixed Income
 
vmodus's Avatar
 
Posts: 1,132 since Feb 2017
Thanks: 2,613 given, 2,411 received

Thanks for sharing @SMCJB. Now I can put names to a few faces (Kevin shared as well). I hope you were able to build some useful algos and have some fun at the same time.

~vmodus

Enjoy everything!
Follow me on Twitter Visit my futures io Trade Journal Reply With Quote
The following 3 users say Thank You to vmodus for this post:
 
(login for full post details)
  #70 (permalink)
 FastNCurious 
saint louis MO
 
Experience: Intermediate
Platform: TradeStation
Trading: NQ, ES, YM, CL, GC
 
FastNCurious's Avatar
 
Posts: 137 since Oct 2017
Thanks: 91 given, 157 received


Awesome event indeed! Really enjoyed meeting Kevin and so many others who will now play a critical roll in my development as a trader. I feel like a turtle after hanging with those guys. Super smart group of active traders…all with their own little EL script robots of various kinds.

I came away with more ideas to test than I have time to test. The CPU is the limiting factor now.

I will definitely go again!

Visit my futures io Trade Journal Reply With Quote
The following 3 users say Thank You to FastNCurious for this post:


futures io Trading Community Trading Reviews and Vendors > KJ Trading Systems Strategy Factory


Last Updated on November 11, 2021


Upcoming Webinars and Events
 

NinjaTrader Indicator Challenge!

Ongoing
     



Copyright © 2021 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada), info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts