I traded each day according to the rules and had 3 wins and 2 losses and ended up AUD 219 for the week. If that is a typical week then I would need to trade ten times bigger to make a decent "wage" from this. That would be 4 full futures contracts (AUD 670k notional value). But that would expose the account to a possible daily loss of AUD 50k during a market crisis like the March crash last year. I would feel that is just too much for even a AUD 1 million SMSF, though for our full portfolio it is reasonable theoretically. So, we would need to use a constant risk strategy to reduce the risk to AUD 10k every day. That also feels like a big risk in trading if it is a daily thing. So, I doubt we get up to that size of trading any time soon.
If this is a successful strategy I will likely pursue trying to build an automated system later this year. I previously explored Capitalise, but found they couldn't implement a system like this with variable position size based on risk. So, unless they have improved it'd probably mean learning Python, but that isn't a bad thing...
2 comments:
Python is a fun language to code in (less "housekeeping" than C++ for example), and is OK if the code doesn't have to run particularly fast (otherwise you'd probably using C++). If you've done some coding in other languages then its easy to pick up and just check the doco for syntax etc. And then just watch an example such as the youtube video I previously linked to in a comment. QuantConnect offers algorithmic trading using Python. Unfortunately CityIndex ATPro platform uses C#, .Net or Visual Basic. Which are OK if you're already familar with one of those languages, but I think are harder to get started quickly on (compared to Python) if you don't already know them (I've done uni courses on C# and did some coding at work using VB, but as I haven't used those languages for several years I've forgotten them and prefer Python to dabble in these days).
People that haven't ever done any coding at all might like the Coursera 'Coding for everybody' series of courses by Dr Chuck (Charles Severance). My sons quite liked the course when they first started to learn the rudiments of coding.
Thanks - yes QuantConnect is another platform I looked at. Once upon a time I learnt Fortran at uni. Nowadays I program mainly in an econometrics package called RATS and a little dabbling in Matlab and R. I previously did backtesting using RATS. Current backtesting is just in Excel for the moment.
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