Ocean Auto Trading Journal - Futures and Commodities

[ocean]

I am going to start the "Ocean Auto Trading Journal for Futures and Commodities" in this thread. This is not my real trading but just an experiment on the software script I wrote that simulates the futures and commodities trading using the TradeStation platform.

My intent is not to sell anything here but just to show if this auto trading would work for me or not. If it works, then it may open the door for some future business opportunity when I retire. And if it doesn't work, I would quietly close this thread and collect my pension and TSP payments when I retire and continue to enjoy the financial investment as my hobby.

OK, after the disclaimer above, here you go ..

After I finished the autotracker late last year for Tom, I began to look at the auto trading technique in futures and commodities in my spare time. Two years ago I had looked at Forex briefly and I found it was not for me and did not pursue. Early this year, I did some research on the internet on system trading (auto trading), I found system trading in futures and commodities is fascinating because one does not need to baby sit the computer to monitor the trades all day long. It is purely mechanical and futures trading does not need a lot of initial investment.

To be continued ..

Ocean

[nnuut]

Very interesting!!4112

[tsptalk]

Looking forward to it!

[ocean]

I am planning to post the hypothetical results of two strategies weekly

1) E-mini Mid Cap (EMD) futures
2) Soy Beans commodities

The daily, weekly, monthly and yearly returns are based on the TradeStation performance report generated by its utility. The back-testing results are just pass results and be treated just that. Hope the forward simulated results could give some insights if I am on the right track or not.

My strategies were based on the markets available indicators such moving average, relative strength index, trend, momentum etc .. The associated commission and expected slippage were included in the calculation.

On more thing, I see this statement posted on a lot of the Futures related investment sites. So I will post it here as a disclaimer as well.

THE RISK OF LOSS IN TRADING INDEX FUTURES OR ITS MECHANICAL SYSTEMS CAN BE SUBSTANTIAL. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. THE HIGH DEGREE OFF LEVERAGE THAT IS OFTEN OBTAINABLE IN FUTURES TRADING CAN WORK AGAINST YOU AS WELL AS FOR YOU. THE USE OF LEVERAGE CAN LEAD TO LARGE LOSSES AS WELL AS GAINS.

FUTURES AND COMMODITIES TRADING INVOLVES SIGNIFICANT RISK AND IS NOT SUITABLE FOR EVERY INVESTOR. INFORMATION CONTAINED HEREIN IS STRICTLY THE OPINION OF ITS AUTHOR AND IS INTENDED FOR INFORMATIONAL PURPOSES AND IS NOT TO BE CONSTRUED AS AN OFFER TO SELL OR A SOLICITATION TO BUY OR TRADE IN ANY COMMODITY AND OR SECURITY MENTIONED HEREIN. INFORMATION IS OBTAINED FROM SOURCES BELIEVED RELIABLE, BUT IS IN NO WAY GUARANTEED. OPINIONS, MARKET DATA AND RECOMMENDATIONS ARE SUBJECT TO CHANGE AT ANY TIME. PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS.

OK, I think I've got everything covered now. Next post will show some charts / reports.

Ocean

[ocean]

I will post the results monthly instead of weekly because I just realized how much work needed to done to cut and paste and upload these files.

Here is the first results as of 6/21/2008 (back-test result began on 4/1/2008)

E-mini Mid Cap, 1 contract, average 1 trade per day, close all positions before the end of the day.

Ocean

[ocean]

Here is the Soy beans result as of 6/21/2008 (back-test dated 4/1/2008)

Initial hypothetical investment for E-mini Mid Cap (EMD) and Soy beans is $6K each for a total of $12K. Average of 1 trade per day for Soy beans as well.

Enjoy and will post results again by the end of July.

Ocean

[Bullitt]

I've been trying to learn Forex in my spare time so this is going to be neat thread I'm looking forward to following.

[Frixxxx]

I've been trying to learn Forex in my spare time so this is going to be neat thread I'm looking forward to following.

Been on Forex, actively trading, the last three weeks...I have a 235 day plan based on my trend analysis plays. On my plan I'm at day 21 (calendar), on my return plan I'm on day 85. 150 more days on plan and I'm independently wealthy....I am going to tell the working world good-bye for good.:cool:

[ocean]

Been on Forex, actively trading, the last three weeks...I have a 235 day plan based on my trend analysis plays. On my plan I'm at day 21 (calendar), on my return plan I'm on day 85. 150 more days on plan and I'm independently wealthy....I am going to tell the working world good-bye for good.:cool:

Sounds like a good plan.

I had tried Forex two years ago for a short time as an experiment with discretionary trade without success. I lost $350 out of my $500 Forex account.

This time I am trying to automate the trade using futures and commodities. It will take at least 6 to 18 months forward testing to see if my automated system works or not. I may need to tweak a bit along the way and it is OK since this is my hobby. This is another experimental project for me since I can't do much with my TSP anyway with 2 limits a month.

Ocean

[Frixxxx]

Sounds like a good plan.

I had tried Forex two years ago for a short time as an experiment with discretionary trade without success. I lost $350 out of my $500 Forex account.

This time I am trying to automate the trade using futures and commodities. It will take at least 6 to 18 months forward testing to see if my automated system works or not. I may need to tweak a bit along the way and it is OK since this is my hobby. This is another experimental project for me since I can't do much with my TSP anyway with 2 limits a month.

Ocean
Check out http://www.igforex.com/ They have an easier way to automate and you can right your own code to "bot" your actions. Forex just came out with some automation tools so I have to check their usefuless.

Woohoo 1400+ PIPs on the cable last night!:cool:

[ocean]

Hypothetical result for Soybeans (software had been modified to reduce trading activities)

Symbol: SN08
Date: 6/23/08 - 6/27/08
Contract: 1
Slippage and commission: $32 round trip
Gain/Loss: -$997.50


http://www.tsptalk.com/futures/SOY2008-06-27graph.jpg

[ocean]

Hypothetical result for MidCap (software had been modified to reduce trading activities)

Symbol: EMDU08.D
Date: 6/23/08 - 6/27/08
Contract: 1
Slippage and commission: $25 round trip
Gain/Loss: $430.00

http://www.tsptalk.com/futures/EMD2008-06-27graph.jpg

[ocean]

Hypothetical result for Soybeans

Symbol: @S
Date: 6/29/08 - 7/3/08
Contract: 1
Number of trade: 4
Slippage and commission: $32 round turn per trade

Gain/Loss: $409.50

Ocean

http://www.tsptalk.com/futures/SOY2008-07-04.jpg

FUTURES AND COMMODITIES TRADING INVOLVES SIGNIFICANT RISK AND IS NOT SUITABLE FOR EVERY INVESTOR. INFORMATION CONTAINED HEREIN IS STRICTLY THE OPINION OF ITS AUTHOR AND IS INTENDED FOR INFORMATIONAL PURPOSES AND IS NOT TO BE CONSTRUED AS AN OFFER TO SELL OR A SOLICITATION TO BUY OR TRADE IN ANY COMMODITY AND OR SECURITY MENTIONED HEREIN. INFORMATION IS OBTAINED FROM SOURCES BELIEVED RELIABLE, BUT IS IN NO WAY GUARANTEED. OPINIONS, MARKET DATA AND RECOMMENDATIONS ARE SUBJECT TO CHANGE AT ANY TIME. PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS.

[ocean]

Hypothetical result for MidCap

Symbol: @EMDU08.D
Date: 6/29/08 - 7/3/08
Contract: 1
Number of trade: 5
Slippage and commission: $25 round turn per trade

Gain/Loss: $755.50

Ocean

http://www.tsptalk.com/futures/EMD2008-07-04.jpg

FUTURES AND COMMODITIES TRADING INVOLVES SIGNIFICANT RISK AND IS NOT SUITABLE FOR EVERY INVESTOR. INFORMATION CONTAINED HEREIN IS STRICTLY THE OPINION OF ITS AUTHOR AND IS INTENDED FOR INFORMATIONAL PURPOSES AND IS NOT TO BE CONSTRUED AS AN OFFER TO SELL OR A SOLICITATION TO BUY OR TRADE IN ANY COMMODITY AND OR SECURITY MENTIONED HEREIN. INFORMATION IS OBTAINED FROM SOURCES BELIEVED RELIABLE, BUT IS IN NO WAY GUARANTEED. OPINIONS, MARKET DATA AND RECOMMENDATIONS ARE SUBJECT TO CHANGE AT ANY TIME. PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS.

[ocean]

Hypothetical result for Soybeans

Symbol: @S
Date: 7/7/08 - 7/11/08
Contract: 1
Number of trade: 5
Slippage and commission: $32 round turn per trade

Gain/Loss: -$1497.50

The performance of this strategy for Soybeans has been terrible and all 5 trades were negative this week. On the other hand, it would give me room for improvement. (just made a slight modification).

Ocean

http://www.tsptalk.com/futures/SOY2008-07-11.jpg

FUTURES AND COMMODITIES TRADING INVOLVES SIGNIFICANT RISK AND IS NOT SUITABLE FOR EVERY INVESTOR. INFORMATION CONTAINED HEREIN IS STRICTLY THE OPINION OF ITS AUTHOR AND IS INTENDED FOR INFORMATIONAL PURPOSES AND IS NOT TO BE CONSTRUED AS AN OFFER TO SELL OR A SOLICITATION TO BUY OR TRADE IN ANY COMMODITY AND OR SECURITY MENTIONED HEREIN. INFORMATION IS OBTAINED FROM SOURCES BELIEVED RELIABLE, BUT IS IN NO WAY GUARANTEED. OPINIONS, MARKET DATA AND RECOMMENDATIONS ARE SUBJECT TO CHANGE AT ANY TIME. PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS.

[ocean]

Hypothetical result for MidCap

Symbol: @EMDU08.D
Date: 7/7/08 - 7/11/08
Contract: 1
Number of trades: 7
Slippage and commission: $25 round turn per trade

Gain/Loss: $435.00

4 wins and 3 losses for this week

Ocean

http://www.tsptalk.com/futures/EMD2008-07-11.jpg

FUTURES AND COMMODITIES TRADING INVOLVES SIGNIFICANT RISK AND IS NOT SUITABLE FOR EVERY INVESTOR. INFORMATION CONTAINED HEREIN IS STRICTLY THE OPINION OF ITS AUTHOR AND IS INTENDED FOR INFORMATIONAL PURPOSES AND IS NOT TO BE CONSTRUED AS AN OFFER TO SELL OR A SOLICITATION TO BUY OR TRADE IN ANY COMMODITY AND OR SECURITY MENTIONED HEREIN. INFORMATION IS OBTAINED FROM SOURCES BELIEVED RELIABLE, BUT IS IN NO WAY GUARANTEED. OPINIONS, MARKET DATA AND RECOMMENDATIONS ARE SUBJECT TO CHANGE AT ANY TIME. PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS.

[ocean]

Here is another futures index I began to track and this is the most popular e-Mini futures with huge volume of trades every day.

Hypothetical result for eMini S&P

Symbol: @ESU08
Date: 7/7/08 - 7/11/08
Contract: 1
Number of trades: 6
Slippage and commission: $30 round turn per trade

Gain/Loss: $95.00

3 wins and 3 losses

Ocean

http://www.tsptalk.com/futures/ES2008-07-11.jpg

FUTURES AND COMMODITIES TRADING INVOLVES SIGNIFICANT RISK AND IS NOT SUITABLE FOR EVERY INVESTOR. INFORMATION CONTAINED HEREIN IS STRICTLY THE OPINION OF ITS AUTHOR AND IS INTENDED FOR INFORMATIONAL PURPOSES AND IS NOT TO BE CONSTRUED AS AN OFFER TO SELL OR A SOLICITATION TO BUY OR TRADE IN ANY COMMODITY AND OR SECURITY MENTIONED HEREIN. INFORMATION IS OBTAINED FROM SOURCES BELIEVED RELIABLE, BUT IS IN NO WAY GUARANTEED. OPINIONS, MARKET DATA AND RECOMMENDATIONS ARE SUBJECT TO CHANGE AT ANY TIME. PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS.

[ocean]

Hypothetical result for Soybeans

Symbol: @S
Date: 7/14/08 - 7/18/08
Contract: 1
Number of trade: 5
Slippage and commission: $32 round turn per trade

Gain/Loss: $952.50

4 wins and 1 losses

All three strategies had been modified to gain better results.

Ocean

http://www.tsptalk.com/futures/SOY2008-07-18.jpg

FUTURES AND COMMODITIES TRADING INVOLVES SIGNIFICANT RISK AND IS NOT SUITABLE FOR EVERY INVESTOR. INFORMATION CONTAINED HEREIN IS STRICTLY THE OPINION OF ITS AUTHOR AND IS INTENDED FOR INFORMATIONAL PURPOSES AND IS NOT TO BE CONSTRUED AS AN OFFER TO SELL OR A SOLICITATION TO BUY OR TRADE IN ANY COMMODITY AND OR SECURITY MENTIONED HEREIN. INFORMATION IS OBTAINED FROM SOURCES BELIEVED RELIABLE, BUT IS IN NO WAY GUARANTEED. OPINIONS, MARKET DATA AND RECOMMENDATIONS ARE SUBJECT TO CHANGE AT ANY TIME. PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS.

[ocean]

Hypothetical result for MidCap

Symbol: @EMDU08.D
Date: 7/14/08 - 7/18/08
Contract: 1
Number of trades: 5
Slippage and commission: $25 round turn per trade

Gain/Loss: $175.00

2 wins and 3 losses for this week

Ocean

http://www.tsptalk.com/futures/EMD2008-07-18.jpg

FUTURES AND COMMODITIES TRADING INVOLVES SIGNIFICANT RISK AND IS NOT SUITABLE FOR EVERY INVESTOR. INFORMATION CONTAINED HEREIN IS STRICTLY THE OPINION OF ITS AUTHOR AND IS INTENDED FOR INFORMATIONAL PURPOSES AND IS NOT TO BE CONSTRUED AS AN OFFER TO SELL OR A SOLICITATION TO BUY OR TRADE IN ANY COMMODITY AND OR SECURITY MENTIONED HEREIN. INFORMATION IS OBTAINED FROM SOURCES BELIEVED RELIABLE, BUT IS IN NO WAY GUARANTEED. OPINIONS, MARKET DATA AND RECOMMENDATIONS ARE SUBJECT TO CHANGE AT ANY TIME. PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS.

[ocean]

Hypothetical result for eMini S&P

Symbol: @ESU08
Date: 7/14/08 - 7/18/08
Contract: 1
Number of trades: 5
Slippage and commission: $30 round turn per trade

Gain/Loss: -$100.00

2 wins and 3 losses

Ocean

http://www.tsptalk.com/futures/ES2008-07-18.jpg

FUTURES AND COMMODITIES TRADING INVOLVES SIGNIFICANT RISK AND IS NOT SUITABLE FOR EVERY INVESTOR. INFORMATION CONTAINED HEREIN IS STRICTLY THE OPINION OF ITS AUTHOR AND IS INTENDED FOR INFORMATIONAL PURPOSES AND IS NOT TO BE CONSTRUED AS AN OFFER TO SELL OR A SOLICITATION TO BUY OR TRADE IN ANY COMMODITY AND OR SECURITY MENTIONED HEREIN. INFORMATION IS OBTAINED FROM SOURCES BELIEVED RELIABLE, BUT IS IN NO WAY GUARANTEED. OPINIONS, MARKET DATA AND RECOMMENDATIONS ARE SUBJECT TO CHANGE AT ANY TIME. PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS.

[ocean]

Hypothetical result for Soybeans

Symbol: @S
Date: 7/21/08 - 7/25/08
Contract: 1
Number of trades: 5
Slippage and commission: $32 round turn per trade

Gain/Loss: -$585.00

1 win and 4 losses

Ocean

http://www.tsptalk.com/futures/SOY2008-07-25.jpg

FUTURES AND COMMODITIES TRADING INVOLVES SIGNIFICANT RISK AND IS NOT SUITABLE FOR EVERY INVESTOR. INFORMATION CONTAINED HEREIN IS STRICTLY THE OPINION OF ITS AUTHOR AND IS INTENDED FOR INFORMATIONAL PURPOSES AND IS NOT TO BE CONSTRUED AS AN OFFER TO SELL OR A SOLICITATION TO BUY OR TRADE IN ANY COMMODITY AND OR SECURITY MENTIONED HEREIN. INFORMATION IS OBTAINED FROM SOURCES BELIEVED RELIABLE, BUT IS IN NO WAY GUARANTEED. OPINIONS, MARKET DATA AND RECOMMENDATIONS ARE SUBJECT TO CHANGE AT ANY TIME. PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS.

[ocean]

Hypothetical result for eMini S&P

Symbol: @ESU08
Date: 7/21/08 - 7/25/08
Contract: 1
Number of trades: 5
Slippage and commission: $30 round turn per trade

Gain/Loss: -$400.00

5 losses

Ocean

http://www.tsptalk.com/futures/ES2008-07-25.jpg

FUTURES AND COMMODITIES TRADING INVOLVES SIGNIFICANT RISK AND IS NOT SUITABLE FOR EVERY INVESTOR. INFORMATION CONTAINED HEREIN IS STRICTLY THE OPINION OF ITS AUTHOR AND IS INTENDED FOR INFORMATIONAL PURPOSES AND IS NOT TO BE CONSTRUED AS AN OFFER TO SELL OR A SOLICITATION TO BUY OR TRADE IN ANY COMMODITY AND OR SECURITY MENTIONED HEREIN. INFORMATION IS OBTAINED FROM SOURCES BELIEVED RELIABLE, BUT IS IN NO WAY GUARANTEED. OPINIONS, MARKET DATA AND RECOMMENDATIONS ARE SUBJECT TO CHANGE AT ANY TIME. PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS.

[ocean]

Hypothetical result for MidCap

Symbol: @EMDU08.D
Date: 7/21/08 - 7/25/08
Contract: 1
Number of trades: 4
Slippage and commission: $25 round turn per trade

Gain/Loss: $0.0 (even)

2 wins and 2 losses for this week

Ocean

http://www.tsptalk.com/futures/EMD2008-07-25.jpg

FUTURES AND COMMODITIES TRADING INVOLVES SIGNIFICANT RISK AND IS NOT SUITABLE FOR EVERY INVESTOR. INFORMATION CONTAINED HEREIN IS STRICTLY THE OPINION OF ITS AUTHOR AND IS INTENDED FOR INFORMATIONAL PURPOSES AND IS NOT TO BE CONSTRUED AS AN OFFER TO SELL OR A SOLICITATION TO BUY OR TRADE IN ANY COMMODITY AND OR SECURITY MENTIONED HEREIN. INFORMATION IS OBTAINED FROM SOURCES BELIEVED RELIABLE, BUT IS IN NO WAY GUARANTEED. OPINIONS, MARKET DATA AND RECOMMENDATIONS ARE SUBJECT TO CHANGE AT ANY TIME. PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS.

[ocean]

Hypothetical result for Soybeans

Symbol: @S
Date: 7/28/08 - 7/31/08
Contract: 1
Number of trades: 3
Slippage and commission: $32 round turn per trade

Gain/Loss: -$658.50

0 win and 3 losses

Ocean

http://www.tsptalk.com/futures/SOY2008-07-31.jpg

FUTURES AND COMMODITIES TRADING INVOLVES SIGNIFICANT RISK AND IS NOT SUITABLE FOR EVERY INVESTOR. INFORMATION CONTAINED HEREIN IS STRICTLY THE OPINION OF ITS AUTHOR AND IS INTENDED FOR INFORMATIONAL PURPOSES AND IS NOT TO BE CONSTRUED AS AN OFFER TO SELL OR A SOLICITATION TO BUY OR TRADE IN ANY COMMODITY AND OR SECURITY MENTIONED HEREIN. INFORMATION IS OBTAINED FROM SOURCES BELIEVED RELIABLE, BUT IS IN NO WAY GUARANTEED. OPINIONS, MARKET DATA AND RECOMMENDATIONS ARE SUBJECT TO CHANGE AT ANY TIME. PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS.

[ocean]

Hypothetical result for eMini S&P

Symbol: @ESU08
Date: 7/28/08 - 7/31/08
Contract: 1
Number of trades: 4
Slippage and commission: $30 round turn per trade

Gain/Loss: $142.5

2 wins and 2 losses

Ocean

http://www.tsptalk.com/futures/ES2008-07-31.jpg

FUTURES AND COMMODITIES TRADING INVOLVES SIGNIFICANT RISK AND IS NOT SUITABLE FOR EVERY INVESTOR. INFORMATION CONTAINED HEREIN IS STRICTLY THE OPINION OF ITS AUTHOR AND IS INTENDED FOR INFORMATIONAL PURPOSES AND IS NOT TO BE CONSTRUED AS AN OFFER TO SELL OR A SOLICITATION TO BUY OR TRADE IN ANY COMMODITY AND OR SECURITY MENTIONED HEREIN. INFORMATION IS OBTAINED FROM SOURCES BELIEVED RELIABLE, BUT IS IN NO WAY GUARANTEED. OPINIONS, MARKET DATA AND RECOMMENDATIONS ARE SUBJECT TO CHANGE AT ANY TIME. PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS.

[ocean]

Hypothetical result for MidCap

Symbol: @EMDU08.D
Date: 7/28/08 - 7/31/08
Contract: 1
Number of trades: 4
Slippage and commission: $25 round turn per trade

Gain/Loss: -$430.00

1 win and 3 losses for this week

Ocean

http://www.tsptalk.com/futures/EMD2008-07-31.jpg

FUTURES AND COMMODITIES TRADING INVOLVES SIGNIFICANT RISK AND IS NOT SUITABLE FOR EVERY INVESTOR. INFORMATION CONTAINED HEREIN IS STRICTLY THE OPINION OF ITS AUTHOR AND IS INTENDED FOR INFORMATIONAL PURPOSES AND IS NOT TO BE CONSTRUED AS AN OFFER TO SELL OR A SOLICITATION TO BUY OR TRADE IN ANY COMMODITY AND OR SECURITY MENTIONED HEREIN. INFORMATION IS OBTAINED FROM SOURCES BELIEVED RELIABLE, BUT IS IN NO WAY GUARANTEED. OPINIONS, MARKET DATA AND RECOMMENDATIONS ARE SUBJECT TO CHANGE AT ANY TIME. PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS.

[ocean]

Hypothetical result for 30 Year T-Bond

Symbol: @USU08
Date: 7/28/08 - 7/31/08
Contract: 1
Number of trades: 3
Slippage and commission: $36.25 round turn per trade

Gain/Loss: -$30.63

1 win and 2 losses for this week

Ocean

http://www.tsptalk.com/futures/US2008-07-31.jpg

FUTURES AND COMMODITIES TRADING INVOLVES SIGNIFICANT RISK AND IS NOT SUITABLE FOR EVERY INVESTOR. INFORMATION CONTAINED HEREIN IS STRICTLY THE OPINION OF ITS AUTHOR AND IS INTENDED FOR INFORMATIONAL PURPOSES AND IS NOT TO BE CONSTRUED AS AN OFFER TO SELL OR A SOLICITATION TO BUY OR TRADE IN ANY COMMODITY AND OR SECURITY MENTIONED HEREIN. INFORMATION IS OBTAINED FROM SOURCES BELIEVED RELIABLE, BUT IS IN NO WAY GUARANTEED. OPINIONS, MARKET DATA AND RECOMMENDATIONS ARE SUBJECT TO CHANGE AT ANY TIME. PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS.

[ocean]

http://www.tsptalk.com/futures/Result2008-07-31.jpg

I had continued to tweak the modules this week and added the 30 Year T-bond futures along with the other 3 indexes to make up the combined hypothetic portfolio as my experiment. The forward testing started at the end of June. The months of May and most of June results were back testing and listed here just for references.

I will freeze the modules for the listed four indexes here and post it monthly until the end of this year. By that time I probably know if my system would work or not. If it does not work, then I just wish my TSP account will continue to grow about the moderate 8 - 12 % returns annually (forget about this year). However if it does work, it probably will open a path for my next new career in the financial area in 2 to 3 years after I retire. Thanks again for reading my journal.

Ocean

[ocean]

Here are the Hypothetical results for August. BTW, the data (price quotes) from the data feed service seemed not consistent. As a result, the previous month performance data was not quite aligned with the current data. I think this is bearable just for testing.

eMini S&P, Symbol: @ESU08

http://www.tsptalk.com/futures/ES2008-08-29.jpg

Ocean

FUTURES AND COMMODITIES TRADING INVOLVES SIGNIFICANT RISK AND IS NOT SUITABLE FOR EVERY INVESTOR. INFORMATION CONTAINED HEREIN IS STRICTLY THE OPINION OF ITS AUTHOR AND IS INTENDED FOR INFORMATIONAL PURPOSES AND IS NOT TO BE CONSTRUED AS AN OFFER TO SELL OR A SOLICITATION TO BUY OR TRADE IN ANY COMMODITY AND OR SECURITY MENTIONED HEREIN. INFORMATION IS OBTAINED FROM SOURCES BELIEVED RELIABLE, BUT IS IN NO WAY GUARANTEED. OPINIONS, MARKET DATA AND RECOMMENDATIONS ARE SUBJECT TO CHANGE AT ANY TIME. PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS.
Reply With Quote

[ocean]

Hypothetical result for MidCap, Symbol EMDU08

http://www.tsptalk.com/futures/EMD2008-08-29.jpg

Ocean

FUTURES AND COMMODITIES TRADING INVOLVES SIGNIFICANT RISK AND IS NOT SUITABLE FOR EVERY INVESTOR. INFORMATION CONTAINED HEREIN IS STRICTLY THE OPINION OF ITS AUTHOR AND IS INTENDED FOR INFORMATIONAL PURPOSES AND IS NOT TO BE CONSTRUED AS AN OFFER TO SELL OR A SOLICITATION TO BUY OR TRADE IN ANY COMMODITY AND OR SECURITY MENTIONED HEREIN. INFORMATION IS OBTAINED FROM SOURCES BELIEVED RELIABLE, BUT IS IN NO WAY GUARANTEED. OPINIONS, MARKET DATA AND RECOMMENDATIONS ARE SUBJECT TO CHANGE AT ANY TIME. PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS.

[ocean]

Hypothetical result for 30 Year T-Bond, Symbol: @USU08

http://www.tsptalk.com/futures/US2008-08-29.jpg

Ocean

FUTURES AND COMMODITIES TRADING INVOLVES SIGNIFICANT RISK AND IS NOT SUITABLE FOR EVERY INVESTOR. INFORMATION CONTAINED HEREIN IS STRICTLY THE OPINION OF ITS AUTHOR AND IS INTENDED FOR INFORMATIONAL PURPOSES AND IS NOT TO BE CONSTRUED AS AN OFFER TO SELL OR A SOLICITATION TO BUY OR TRADE IN ANY COMMODITY AND OR SECURITY MENTIONED HEREIN. INFORMATION IS OBTAINED FROM SOURCES BELIEVED RELIABLE, BUT IS IN NO WAY GUARANTEED. OPINIONS, MARKET DATA AND RECOMMENDATIONS ARE SUBJECT TO CHANGE AT ANY TIME. PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS.

[ocean]

Hypothetical result for Soybeans, Symbol: @S. Modified the script and achieved better result.

http://www.tsptalk.com/futures/S2008-08-29.jpg

Ocean

FUTURES AND COMMODITIES TRADING INVOLVES SIGNIFICANT RISK AND IS NOT SUITABLE FOR EVERY INVESTOR. INFORMATION CONTAINED HEREIN IS STRICTLY THE OPINION OF ITS AUTHOR AND IS INTENDED FOR INFORMATIONAL PURPOSES AND IS NOT TO BE CONSTRUED AS AN OFFER TO SELL OR A SOLICITATION TO BUY OR TRADE IN ANY COMMODITY AND OR SECURITY MENTIONED HEREIN. INFORMATION IS OBTAINED FROM SOURCES BELIEVED RELIABLE, BUT IS IN NO WAY GUARANTEED. OPINIONS, MARKET DATA AND RECOMMENDATIONS ARE SUBJECT TO CHANGE AT ANY TIME. PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS.

[ocean]

Result for August. MidCap, ES (emini SP500), Soybeans and 30 yr T-Bond

http://www.tsptalk.com/futures/Result2008-08-29.jpg

Ocean

[ocean]

Here are the Hypothetical results for Sep 2008. Again, the back test data feed (price quotes) from the data feed service seemed not consistent. The previous month's performance was not quite aligned with the current data that was provided. The result should be treated for testing only.

eMini S&P, Symbol: @ES

http://www.tsptalk.com/futures/ES2008-09-30.jpg

Ocean

FUTURES AND COMMODITIES TRADING INVOLVES SIGNIFICANT RISK AND IS NOT SUITABLE FOR EVERY INVESTOR. INFORMATION CONTAINED HEREIN IS STRICTLY THE OPINION OF ITS AUTHOR AND IS INTENDED FOR INFORMATIONAL PURPOSES AND IS NOT TO BE CONSTRUED AS AN OFFER TO SELL OR A SOLICITATION TO BUY OR TRADE IN ANY COMMODITY AND OR SECURITY MENTIONED HEREIN. INFORMATION IS OBTAINED FROM SOURCES BELIEVED RELIABLE, BUT IS IN NO WAY GUARANTEED. OPINIONS, MARKET DATA AND RECOMMENDATIONS ARE SUBJECT TO CHANGE AT ANY TIME. PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS.

[ocean]

Hypothetical result for MidCap for Sep 2008, Symbol @EMD

http://www.tsptalk.com/futures/EMD2008-09-30.jpg

Ocean

FUTURES AND COMMODITIES TRADING INVOLVES SIGNIFICANT RISK AND IS NOT SUITABLE FOR EVERY INVESTOR. INFORMATION CONTAINED HEREIN IS STRICTLY THE OPINION OF ITS AUTHOR AND IS INTENDED FOR INFORMATIONAL PURPOSES AND IS NOT TO BE CONSTRUED AS AN OFFER TO SELL OR A SOLICITATION TO BUY OR TRADE IN ANY COMMODITY AND OR SECURITY MENTIONED HEREIN. INFORMATION IS OBTAINED FROM SOURCES BELIEVED RELIABLE, BUT IS IN NO WAY GUARANTEED. OPINIONS, MARKET DATA AND RECOMMENDATIONS ARE SUBJECT TO CHANGE AT ANY TIME. PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS.

[ocean]

Hypothetical result for 30 Year T-Bond for Sep 2008, Symbol: @US

http://www.tsptalk.com/futures/US2008-09-30.jpg

Ocean

FUTURES AND COMMODITIES TRADING INVOLVES SIGNIFICANT RISK AND IS NOT SUITABLE FOR EVERY INVESTOR. INFORMATION CONTAINED HEREIN IS STRICTLY THE OPINION OF ITS AUTHOR AND IS INTENDED FOR INFORMATIONAL PURPOSES AND IS NOT TO BE CONSTRUED AS AN OFFER TO SELL OR A SOLICITATION TO BUY OR TRADE IN ANY COMMODITY AND OR SECURITY MENTIONED HEREIN. INFORMATION IS OBTAINED FROM SOURCES BELIEVED RELIABLE, BUT IS IN NO WAY GUARANTEED. OPINIONS, MARKET DATA AND RECOMMENDATIONS ARE SUBJECT TO CHANGE AT ANY TIME. PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS.

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Hypothetical result for Soybeans for Sep 2008, Symbol: @S.

http://www.tsptalk.com/futures/S2008-09-30.jpg

Ocean

FUTURES AND COMMODITIES TRADING INVOLVES SIGNIFICANT RISK AND IS NOT SUITABLE FOR EVERY INVESTOR. INFORMATION CONTAINED HEREIN IS STRICTLY THE OPINION OF ITS AUTHOR AND IS INTENDED FOR INFORMATIONAL PURPOSES AND IS NOT TO BE CONSTRUED AS AN OFFER TO SELL OR A SOLICITATION TO BUY OR TRADE IN ANY COMMODITY AND OR SECURITY MENTIONED HEREIN. INFORMATION IS OBTAINED FROM SOURCES BELIEVED RELIABLE, BUT IS IN NO WAY GUARANTEED. OPINIONS, MARKET DATA AND RECOMMENDATIONS ARE SUBJECT TO CHANGE AT ANY TIME. PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS.

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Result for Sep 2008. MidCap, ES (emini SP500), Soybeans and 30 yr T-Bond

http://www.tsptalk.com/futures/result2008-09-30.jpg

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Here is the screen shot of my simulations using the TradeStation platform. Basically I am experimenting with different Emini futures indexes with various logic to observe the daily result. The result shown here was the simulation taken on Oct 3, 2008. The bottom indicator of each sub window showed the gain/loss of each day for each index. Apparently there are some winners and losers and there are more work ahead for me to further improve my system. Thanks for viewing.

http://www.tsptalk.com/futures/TSscreen2008-10-05.jpg

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What a month of October !! The intent of my trading systems supposed to work either in the up or down markets. But it just did not and all 4 indexes that I tracked here were down mostly the last two months. It tells me the algorithms that I used should not be continued. Here are the October results ...

Hypothetical result for emini S&P:

http://www.tsptalk.com/futures/ES2008-10-31.jpg

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Hypothetical result for MidCap for Oct 2008, Symbol @EMD

http://www.tsptalk.com/futures/EMD2008-10-31.jpg

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Hypothetical result for 30 Year T-Bond for Oct 2008, Symbol: @US

http://www.tsptalk.com/futures/US2008-10-31.jpg

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Hypothetical result for Soybeans for Oct 2008, Symbol: @S

http://www.tsptalk.com/futures/SOY2008-10-31.jpg

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I felt fortunate that the recent erratic down markets did give a good test of my systems and it showed the strategy did not adjust accordingly and to be considered as unsuccessful. It prompted me to re-develop another similar strategy using different setup and parameters this week.

I used the new strategy and tested on two indexes, ES (emini S&P) and EMD (emini Mid-cap). The results showed that this new strategy was able to adjust the current markets for the last 6 months. I know it will take another year or so to forward test it. But at least I am happy with the new results so far.

At this point, I think I will make this Trading Journal into an inactive mode and revisit it in about 6 months or so and report my continuing development.

Thanks for visiting and the next two posts are the results from the new strategy.

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New hypothetical result for MidCap from May to Oct 2008, Symbol @EMD
Results based on $5/round-turn commission with no slippage

http://www.tsptalk.com/futures/EMDNEW2008-10-31.jpg

Ocean

FUTURES AND COMMODITIES TRADING INVOLVES SIGNIFICANT RISK AND IS NOT SUITABLE FOR EVERY INVESTOR. INFORMATION CONTAINED HEREIN IS STRICTLY THE OPINION OF ITS AUTHOR AND IS INTENDED FOR INFORMATIONAL PURPOSES AND IS NOT TO BE CONSTRUED AS AN OFFER TO SELL OR A SOLICITATION TO BUY OR TRADE IN ANY COMMODITY AND OR SECURITY MENTIONED HEREIN. INFORMATION IS OBTAINED FROM SOURCES BELIEVED RELIABLE, BUT IS IN NO WAY GUARANTEED. OPINIONS, MARKET DATA AND RECOMMENDATIONS ARE SUBJECT TO CHANGE AT ANY TIME. PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS.

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New hypothetical result for emini SP from May to Oct 2008, Symbol @ES
Results based on $5/round-turn commission with no slippage

http://www.tsptalk.com/futures/ESNEW2008-10-31.jpg

Ocean

FUTURES AND COMMODITIES TRADING INVOLVES SIGNIFICANT RISK AND IS NOT SUITABLE FOR EVERY INVESTOR. INFORMATION CONTAINED HEREIN IS STRICTLY THE OPINION OF ITS AUTHOR AND IS INTENDED FOR INFORMATIONAL PURPOSES AND IS NOT TO BE CONSTRUED AS AN OFFER TO SELL OR A SOLICITATION TO BUY OR TRADE IN ANY COMMODITY AND OR SECURITY MENTIONED HEREIN. INFORMATION IS OBTAINED FROM SOURCES BELIEVED RELIABLE, BUT IS IN NO WAY GUARANTEED. OPINIONS, MARKET DATA AND RECOMMENDATIONS ARE SUBJECT TO CHANGE AT ANY TIME. PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS.