iBankCoin
I turn dials and fiddle with knobs to hone in on harmonic rotations
Joined Oct 26, 2011
3,605 Blog Posts

ELROI The Algo

ELROY

I began talking about the drone strike algorithm ElRoi during my vacation not because I ever intend to share my coding with the good people of the internet, but instead to get your collective gears spinning about an exciting way of approaching the market.

Imagine earning an average return on your money without the uncertainty of overnight positions.  Take that thought and also consider what could be done with your newly minted free time.  You could learn an instrument, or travel, or stop being an absentee parent.  I, on the other hand, will use said time to trade more markets simultaneously.  Eventually my goal is to trade three unique markets with complete automation, and trade the /ES on a discretionary basis.  All the while collecting my favorite stocks, like baseball cards, to pass down to my kin.

I’ve been trading the ELROI signals since April to enter into the market, but I’ve been managing the exits manually based upon inputs like market profile that aren’t coded into the algo.  Prior to vacation, the system went through a drawdown, then a long (in Elroi terms) quiet period.  That’s when I made the decision to turn Elroi to full automation and hit the road.

It’s almost as if I had to unplug myself to keep from fiddling with the knobs.

The rest as they say is history as Elroi went on a four trade winning streak before taking its first losing trade late into today’s session.  Elroi only traded one contract per trade while I was away, but if someone possessed the capital to meet larger margin requirements, this system could trade much larger size in the /ES as it’s the most liquid financial instrument in the world.

This statistical arbitrage stuff gets me very excited, and promises to be a fun income stream that fits my fringe lifestyle.

I figured the Woodshedder crowd may enjoy a presentation of the following equity curve and data.  Here you go, Woodshedder crowd:

 

ESROI_EQUITYCURVE_AUGUST2013 ESROI_PERFORMANCERPT_AUGUST2013 ESROI_TRADEANALYSIS_AUGUST2013

Stay tuned for the two week performance results of my new cycle hypothesis, #BOSSRAM ALPHA.

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2 comments

  1. Zonkers

    Isn’t the futures market for e-minis open 24hrs a day during the week? Couldn’t your algo also run 24/7 during the week?
    Interesting stuff!

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    • raul3

      Indeed they can, but through my backtesting I found the algos don’t perform very well between 1800 – 2100 EST so they’re programmed not to trade those hours.

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