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Steve2
Posts: 750
Joined: 10/11/2012
Location: Annapolis, MD
 User Profile |
52 winning trades vs 5 losing trades
Gotta love those RTM strategies when volatility picks up...
Steve
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Diamondjag
Posts: 123
Joined: 10/11/2012
Location: Brighton, Co.
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Just started live. Three trades last night...all winners although not for a whole lot of money. Thank goodness the market turned around.
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Ed Downs
Posts: 645
Joined: 2/7/2007
Location: Austin, Texas
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Great! Can you provide more details on your results?
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Ed Downs
Posts: 645
Joined: 2/7/2007
Location: Austin, Texas
User Profile |
DiamondJag -- Yes that's a good thing but these Strategies can perform quite well in a down market. Look at your OmniVest equity curves for the 2008 period. The Strategies can be profitable provided there are 2-3 day reversals, which typically happen. The only recent time when that did NOT happen was the Credit Downgrade the summer of 2011. In that case, the market started down and kept dropping day after day - an unusual situation but one in which this type of strategy will generate a draw down.
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Steve2
Posts: 750
Joined: 10/11/2012
Location: Annapolis, MD
User Profile |
My apologies but I miscounted the June trades (a hazard of manually trying to count in a scrolling window). The correct counts for the entire month of June were: 51 winners and 9 losers. Still pretty good.
Ed,
These counts are for the OV trade history in my live account which is using 5 RTM strategies which I prefer not to share at this point (although you guys can presumably see them). This does not reflect the actual trades that were performed. As discussed in the latest post in the General Discussion Topics > IB Slippage Data By Order Size and Trade Type thread, I'm submitting opening orders as day limit orders at the previous trading day's close. Because of this, some of the OV opening orders do not fill. My actual trade counts for June were 43 winners and 7 losers. The actual trades are attached to the post in that thread. The P/L for June was 9.69%. Also, there is a question for you in that post concerning the use of opening limit orders.
Steve
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Ed Downs
Posts: 645
Joined: 2/7/2007
Location: Austin, Texas
User Profile |
Steve,
Your experience suggests we should add a Limit feature so that people can specify Limit Orders you are doing. I'd like to get this into OmniVest and historically back test it. What you are doing makes a lot of sense and I will work to get this into the platform.
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