LSJ Legend  Posts: 515 Joined: 8/17/2006 Location: Citrus Springs, FL  User Profile | This futures test is in the early stages and amounts to a "feasibility" test given all the uncertainty of how the OT ATM gears mesh with futures, and how OT handles futures in general. Not a lot of attention was given to all the fine details. I don't find the results surprising as there is a lot of leverage built right in the futures contract. It would be similar to using a leverage of much greater than 2 in a stocks profile. For the continuous contracts I used mostly the Globex prices. When the futures symbol is added to the focus list (from my datafeed) and the exact symbol is not in the database, OT asks you to select the commodity from the database and then that symbol will be associated with the trading times for that exchange. All of this warrants a lot of verifying as N has not kept that database up to date since they dropped the Omnidata Futures feed. I have picked away at updating some of it. I sort of casually have avoided optimized strategies. After it was brought to my attention I went back through it and further "culled" optimization. The resulting Port Sim is still good but about 60% of the original. Examining the trades one-by-one, it is still apparent to me that the stops need work. For futures, I prefer to use a stop based on supply/demand levels identified on the chart with multi-time frame analysis. I don't see any way to automate this is in OT and probably will always use the results as prospects. Pivots, ATR's, %, reversals are all pretty dispassionate about the cost given the high leverage in futures. This is designed for the uniform $1/pt of stocks but just doesn’t work for futures IMHO. For a given trade my approach is to assess the R:R and if the risk side is too great, scratch the trade regardless of how good the signal looks. The strategy with the "FS" suffix is just a note to me that I have added a fixed stop where there may have only been a reversal or pivot point stop. My reasoning for this is the leverage in futures. A 2% move in one contract for Gold at current prices is $2400. That is equivalent to a 2% move in $120,000 stock position. You only have to plop down $3400 to take that gold trade. Also, if a pivot stop is used it could get expensive. Recently I looked and the eMini S&P 500 with medium term pivots and roughly speaking the pivots were about 100 points or $5000 apart. It is great to see this ball rolling. Hopefully I can say enough controversial or stupid things to keep it going. The feedback is very helpful. Here is the latest Port Sim with the above mentioned adjustments. The shares or contracts are capped at 5 so the % equity doesn’t get parabolic. The maximum margin for any future of the entire universe is $8800 for the CBOE Volatility Index but most are much lower. Assuming an average margin of $3500 using 10% equity then the max of 5 contracts would be reached at an account size of $175000. [Edited by LSJ on 9/8/2018 8:57 AM]  Attached file : Port Sim 2.jpg (155KB - 734 downloads) |
