Harrumph; first test trade lost but two more in progress

The Trump Rally is hell on a neutral trade like the one I'm testing:

The trade pays off in that broad middle area when the market goes back and forth

in a relatively narrow range, as the graphic above shows. But instead the Trump Rally has been doing more like this:

So the result chart so far is like this (profit/loss is on the amount risked per trade; in this case about $1000, so the loss is $180.)

Trade Date	Result	Profit/Loss
02/06/2017	Lost	-18%
02/13/2017	Open
02/21/2017	Open

What goes up, must come down! This can't last and this sort of trade wins 77% of the time ... meaning we should win 8 in a row here sometime soon ...

Algorithm update: first test trade in progress

I put on the first small trade to test this strategy last Monday, February 6.

The algorithm design is to put on a similar trade every Monday, forever; backtesting shows this works nearly 80% of the time.

So the performance chart is so far like this:

Trade Date	Result	Profit/Loss
2017-02-06	Open

It should show +10% in the Profit/Loss column in another 11 or 12 days.

I will update this whenever I have a result, at very minimum.

Algorithm progress!

Finally I think I have a plan ...

One thing I have learned in reading is that these algorithms tend to stop working over time as more people get in on them. So it isn't in any of our interest for my to disclose all the details.

I can say that it's based on the tried-and-true iron butterfly:

Oops, not that one; this one:

Once again, I'm keeping this vague ... but I'll be ready to start testing this (in a small account of my own) within a week or so. I'll publish all the results here from the first trade onward and will probably do this for 6 months or so before rolling it out to others.

Best of luck to all of us!

Progress on the algorithm but ...

I found a technical indicator that works better than MACD on the tests I've done so far. It's call RSI (Relative Strength Index):

It doesn't generate as many trade signals as I had with the MACD test, and it does show a profit. BUT the profit only comes after a too-large drawdown of the account (over 60%) in the middle of the backtest sequence.

More research is needed! I'll update when I learn a bit more about the next step.

A book that looks helpful

I was googling around for help doing something in TradeStation's EasyLanguage and came across:

It comes with code in EasyLanguage and Python and I'm very much looking forward to taking advantage of it ... starting tomorrow!

Eyes back on the prize after a tough day ...

I goofed and increased my contract size to 2 on /NQ today and got clobbered. Fortunately I won 3 /NQ 2-tick trades (1 contract each) so cut my loss to $176.

And I found it stressful and annoying, staring at the /ZB DOM chart, even though I won all three.

I am going to stop setting my alarm to get up with the opening of the market but may still try and pick up a couple of ticks of /ZB now and then. But I need to focus back on algorithm development. I have a couple of ideas to try out over the next few days ...

A small loss today

Still testing with 1 contract: I quit with a profit of $18 but apparently had left one contract on ... the UI says I lost $57.50 for the day. Oh well. I should have looked at my list of positions to make sure I was flat on everything, but:

I went back to bed and I needed it ... setting alarm for 6:15 (PST) to make sure I'm ready for market opening. Probably jumped the gun on a couple of signals this a.m.

One thing I learned today: two ticks isn't enough for /NQ; I thought it was $10/tick but it's only $5/tick. Sheesh. I won, but only 12 cents or something on a couple of these.

More tomorrow ....