OmniTrader Upgrade Forums
Futures and Forex
Futures ATM Results
9 replies, 2036 viewings
|
OmniTrader Upgrade Forums
Futures and Forex
Futures ATM Results
|
Last Activity 10/1/2024 8:55 AM 9 replies, 2036 viewings |
|
|
|
| Printer friendly version |
LSJ Legend  Posts: 515 Joined: 8/17/2006 Location: Citrus Springs, FL  User Profile |
There are good reasons and here are some of my results. This is a $25K account over 5 years with no leverage. So far, I have adapted the MM market states using the Bloomberg Commodity Index in lieu of the SPY. There are additional values that can be used for filters such as seasonality and commitment of traders. I generally am looking for trend trades of a longer duration. In that scenario COT and seasonality can be powerful enhancements to trade probability. I have not yet fine-tuned the strategy list and there is room for a lot of adjustments in strategy selection and parameters. I have living proof of the the power of the leverage in futures. Many years ago I caught a trend with one contract in crude oil which netted $12,000.00. Because of power of money management I later managed to give it back in the swiss franc but the built-in leverage in futures cannot be duplicated with equities. I hope a few others might take the dive so the futrues/forex forum would liven up. [Edited by LSJ on 9/7/2018 10:02 AM]  Attached file : Futures Equity Curve.jpg (147KB - 1409 downloads) Attached file : Futures ATM.jpg (89KB - 903 downloads) Attached file : Futures Perf Report.jpg (280KB - 942 downloads) | ||
| John J Veteran   Posts: 272 Joined: 8/3/2010 Location: Leduc, AB User Profile |
What you have posted is incredibly valuable information!! It didn't even cross my mind that it would be possible to determine market state in Futures. You certainly have found a way (I should obviously have thought of this doh..)! Let me ask you, since these are Futures; 1. Do you trade both long and short contracts? 2. How many symbols and commodity groups make up the port sim results? 3. What symbols have you found best correlates with the Bloomberg Commodity Index? Those are the questions I have for now. Thanks again...! | ||
| LearnerGuru Member Posts: 29 Joined: 12/3/2009 User Profile |
I am not sure if you are aware or not, but to trade live futures/forex on OT beyond manual trades, you also need to purchase additional license fee for Futures / Futures Forex, Commodities, etc. to trade on OmniTrader from Nirvana. Most who own OT, own primarily the Stock license, hence, possibly not much jive talk or interest on topic. There are quite a bit of limitations without the OT Futures license fee. Nirvana sales can assist better. [Edited by LearnerGuru on 9/7/2018 12:25 PM] | ||
| LSJ Legend Posts: 515 Joined: 8/17/2006 Location: Citrus Springs, FL User Profile |
Yes, long and short on futures. Futures can be shorted in an IRA. The Port Sim was based on about 32 or 33 distinct symbols. All continuous contracts. Since individual contracts do not have enough history I tested 10 years of two types of continuous contracts to see the difference because these are "synthetic" constructs of price. Only one is in the Port Sim evaluation. Interestingly I found over 170 futures that have a 90% or greater correlation to the Bloomberg Commodity index and about 350 equities that have > 90%. The choices are enormous. Currently I am thinking that I want to get more granular and find correlated indexes for seven different classes of futures/commodities. LearnerGuru: I was using OT back when they had futures data. I spent a couple years day-trading futures and learned that, for me, EOD is preferable. If I were going to start futures I would only use EOD. The OT EOD package ($295) will do stocks and futures. Of course, you have to add a futures data feed. I'm getting very good EOD data for about $35/month. I also don't see autotrading or even placing trades through the broker connection as OT is right now. I have IB TWS running and will manually place trades in IB since I am translating and using some discretion to trade front month futures contract. I recently went back to futures so this is still all under test. ATM inspired me as a new way to analyse futures and it is the project dujour for now. The more the merrier! | ||
| Frank Birch Regular Posts: 84 Joined: 12/29/2003 Location: UK User Profile |
I am impressed with the equity curve u cant deny its impressive! If you don't mind I have a couple of questions? 1/ when in testing continuous contracts for futures are you using the full 24 hour session or just the daily 6 1/2 USA session?( I know you mentioned you traded daily) 2/if you are testing daily what time are you placing trades on US open or close in your trade plan? 3/ i think you need omnitrader professional to fully automate to IB for your trading call Scott in sales as pricing has changed and he will help out for all your needs on upgrading :). 4/in your perofmance report be careful for optimizition in your strategies entires and exits (equity curve), by the way way every strategy needs a trade plan to automate the trade to a broker. Regards Frank Birch [Edited by Frank Birch on 9/7/2018 5:36 PM] | ||
| John W Regular Posts: 87 Joined: 8/1/2011 Location: Sydney, NSW, Australia User Profile |
These type of strategies are not Mechanical and your backtest results may not live up to those results in real trading. Some examples are: Breakout (Futures) Money Zone Breakout (EOD) Reversal (Futures) Volume Systems I can't comment on the 2 strategies that end in "FS" I don't have them. I have 2 suggestions that may help improve your confidence that your backtest results will hold up in future: 1. Rerun your portfolio and take out any strategy that is not marked as Mechanical, check the results. 2. Keep the non-mechanical strategies but remove the orders plan or trade plan and replace it with a trade plan from a mechanical strategy that you like. Check the results. By the way, thank you for sharing and thank you for livening up this forum! | ||
| LearnerGuru Member Posts: 29 Joined: 12/3/2009 User Profile |
Nirvana has separate license for sale based on preference to trading Stocks v.s. Futures on any OT / VT platform. If you have Futures license, than you can trade both Stocks & Futures, but most N-customers have only Stocks license. OT immediately recognizes the "futures" symbols and blocks it if license is not available. Here are some of the limitations if you do not have OT Futures platform license instances: - cannot trade Futures on OmniPilot, ATM, etc. - cannot do AI training (even EOD) - cannot work with GA, NN, etc. in Strategy Blocks - which in turn, do not work with Strategy Wizard to tune individual symbols - etc... Everything (Futures symbol) works fine on OT, indicators, systems, strategies, OL, etc... but when you go to fine-tune your Futures strategy block(s), or use OP/ATM, you will quickly find the internal calcs for Futures symbol(s) do not work. To trade individual Future symbols, each (strategy(ies)) need to be trained separately due to their unique personalities (unlike trading Stocks) - Eminis not same as trading Aussies or (Yen, Pesos, Rands), v.s. Gold/Silver/Copper, or yet, trading Crude vs Heating Oil contracts, and better yet, Bitcoin futures. Basically, in short, without the license - cannot AI train a "custom" strategy, or use some of the Strategy Blocks, etc. for Futures / Commodities-based "Symbols". For example, I can trade the eminis manually, thru IB without any issue - but I cannot auto-trade or develop custom strategies without having the Futures license. | ||
| John J Veteran Posts: 272 Joined: 8/3/2010 Location: Leduc, AB User Profile |
It's not necessary to acquire a Futures license from Nirvana. It also supports the Metastock Xenith Data Feed and if you got OT Pro you're good to go. I was testing out the E-minis last year using their data feed, and it seemed to be working without a hitch... https://www.metastock.com/products/realtime/xenith/ Will be interesting to see whether LSJ was indeed using the none-mechanical strats right out of the box? If so, the ROI will be "way to optimistic" to say the least... | ||
| LearnerGuru Member Posts: 29 Joined: 12/3/2009 User Profile |
N needs to provide out of box specific strategies for individual Futures and Forex tuned to trade Futures/Forex symbols. For example, the eminis may do well with SP100 or SP500 since correlated, but attempting to use Futures (i.e., Crude, Copper, Gold, etc.) with strategies tuned for SP100 is another story for Port. Sim. and may not get desired results. And Futures (i.e., one-symbol) are always leading, than lagging Stocks - good example, can correlate Futures Crude Oil to all the Oil/Gas Stocks & ETFs inside a profile. Same would go for couple Bond Futures symbols v.s. tons of "interest sensitive" Stock / ETF symbols from same group. For this reasons, and multiple others - one must have the Nirvana Futures license if want to trade Futures to AI Train specific futures symbols, unlike tons of related Stock symbols. So yes, its important Stock traders MUST keep beady eyes on specific Future symbol(s) their Stock/EFT portfolios are built upon and would get heads up sooner than later for their Entries/Exits strategy(ies). But these are two different beasts to tackle... due to leverage, caution must be observed like everything else. And even if Stock traders do not trade Futures (highly liquid too), its highly recommended to keep Futures symbols in their portfolio (but not necessarily trade them based on comfort level). And lastly, Futures specific symbols can also help Stock Options Traders too and position their strategies accordingly.... lots of benefit for all types of traders -Stocks, Futures, and Forex (I have not even gotten into Forex Futures & Spot how it'd help Stock traders here too). Cheers. [Edited by LearnerGuru on 9/8/2018 6:54 AM] | ||
| 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 - 730 downloads) |
|
|
|
|
Administrator
Forum Moderator |
Registered User
Unregistered User |
 E-Mail this thread to a friend |
Toggle e-mail notification |
