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by brobinson
2728 days ago
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Which broker are you using for execution? IB? Curious if there's a better one for futures/futures options since I've started getting into them recently on IB. If it's not revealing too much, what kind of stop loss distances are you generally using in your strategies (ticks)? Are you using any kind of "walk forward optimization" in your testing? You mention in another comment that you intentionally do not trade during _expected_ market volatility. Do you have parameters for sitting on the sidelines during _unexpected_ volatility, e.g., VIX over certain threshold, time since last Trump tweet according to Twitter's firehose API (serious), etc.? |
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I use a 8 tick stop and a variable profit target(a result of weekly re-optimizing). Last week the target was 24, and the week before the target was 16. The stop loss value I don't like to change, and 8 ticks has been enough for "good" entries. If I need more than 8 ticks, then I believe the entry price is my mistake - not the stop loss value.
I perform optimization every Friday, using that week as the training data to find the "best" thresholds for changes in depth before signaling a trade. Then the next Monday, I'll use those new values all week(and repeat the cycle that Friday). Basically - re-optimize every week. It's not a lot of work, just input the starting date, click optimize, and wait ~20m for the outputs. I like to keep track of each week's settings, with the plan to one day review their changes, and try to reason about why those changes happened(I haven't done this yet though, it's one of those one-day-I-ought-to ideas).
I don't have any algorithm parameters for unexpected volatility, the closest I have is a condition that turns the automatic entries off if the nearest 4 bids and asks(examining a total of 8 prices) contain more than 4 ticks of spread(no bids or asks), and both sides limit orders sum to less than 30. I didn't add that until sometime around Valentine's day 2018(that was not a good couple-of-days). When that happens, it disables entries and sends me an SMS.