Bot Trading - MCL Futures

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Curious as to whether anyone has been able to code a profitable trading bot specifically for CL or MCL futures? I have been working to accomplish this, and wanted to see if anyone else had a successful bot they were willing to share. Appreciate it!

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gftrader

Curious as to whether anyone has been able to code a profitable trading bot specifically for CL or MCL futures? I have been working to accomplish this, and wanted to see if anyone else had a successful bot they were willing to share.

Are you willing to share a percent of your profits from this bot ?
What's the number ? 50%, 80%, what ?
Coding and testing these "BOTS" are hugely time-consuming.

kevinkdog · (login for full post details)

Free, but many people do not like the only roughly 12 trades per year... Flat periods are just sitting on your hands...

I should mention all performance since Jan 1, 2022 is LIVE real time performance (strategy was developed in 2021).

Crazy simple stupid...

input: daysback(65),stopl(3000),fac(1.5);

if ADX(14)>10 and close-close[daysback] crosses above 0 then buy next bar at market;
if ADX(14)>10 and close-close[daysback] crosses below 0 then sellshort next bar at market;

SetStopPosition;
SetStopLoss(stopl);

SetProfitTarget(stopl*fac);

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@kevinkdog

Thanks for sharing the strat.

Could you explain the close-close(65) crosses > or < 0

Does the stopl mean 3000 dollars with a risk:reward of 1.5?

kevinkdog · (login for full post details)

trendisyourfriend

@kevinkdog

Thanks for sharing the strat.

Could you explain the close-close(65) crosses > or < 0

Does the stopl mean 3000 dollars with a risk:reward of 1.5?

If the previous bar close-close[65] was less than 0, and now the current bar close-close[65] is greater than 0, that is a cross above 0.

stopl=3000 and profit target=1.5*3000 = 4500, but these are not the only exits. There could be a reverse trade (long to short).

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You need to re-run the backtest with

Code

SetProfitTarget(stopl*fac)

removed.
Implement a trailing stop.....much better.

kevinkdog · (login for full post details)

syswizard

You need to re-run the backtest with

Code

SetProfitTarget(stopl*fac)

removed.
Implement a trailing stop.....much better.

A better backtest is not the end goal here.

But feel free to share your trailing stop code if you want (I hope it is not setdollartrailing or setperecenttrailing).

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kevinkdog

But feel free to share your trailing stop code if you want (I hope it is not setdollartrailing or setperecenttrailing).

Ok Kevin, here you go. This signal features a retracement percentage that can be adjusted.
Also features a fixed stop as well as a volatility stop. Note: both can be active at the same time,
but the fixed stop takes precedent.

Code


Inputs: 
	iBarsSince (4) // min # of bars in the trade before the stop logic is triggered
,	iProfitTicksMin (10) 
,	iPercentRetrace (25) 
,	iFixedStopTicks (-20) // set to zero to disable
,	iVolaTilLength (10)	// Set to zero to disable
,	iDebug(false)
,	iDebugDate("") // Format=2022/12/01
;	
Variables: 
	vProfitPts(0)
,	vProfitTicks(0)
,	vProfitTicksMax(0)
,	vProfitPctFromMax(0)
,	vMP(0)
,	vEP(0)
,	vBSE(0)
,	vVolaTilTicks (0)
,	vRetVal(-1)
,	vTicksPerPoint (1/TickSize) // ticksize for ES = 0.25
,	vDebugFile("D:\MultichartsData\debug\szylTrailTicksPctSig.txt")
;
vMP = MarketPosition; vEP = EntryPrice; vBSE = BarsSinceEntry;

vProfitPts = sign(vMP)*(Close-vEP);
vProfitTicks = Iff(vProfitPts <> 0 , Round(vTicksPerPoint * vProfitPts,0), 0) ;
vVolaTilTicks = Round(_szHIHILOLO(iVolaTilLength) * vTicksPerPoint,0);

If vMP <> vMP[1] Then // change in position
	vProfitTicksMax = vProfitTicks // initialize the max profit
Else if vMP <> 0 Then // recompute max profit
	vProfitTicksMax = Iff(vProfitTicks > VProfitTicksMax, vProfitTicks, vProfitTicksMax) 
;

if vProfitTicksMax <> 0 Then // Compute the retracement percentage
	vProfitPctFromMax = 100 * ((vProfitTicksMax - vProfitTicks)/vProfitTicksMax)
Else vProfitPctFromMax = 0;

if iDebug and (_szFormatDate()= iDebugDate or iDebugDate = "") then
	 Print(File(vDebugFile),"debug for MP=",vMP:2:0," vProfitTicks=",vProfitTicks,
	 " vProfitTicksMax=",vProfitTicksMax," ","vProfitPctFromMax=",vProfitPctFromMax," ",iDebugDate," ",NumToStr(Time,0));

// Profit retracement exit
If vProfitPctFromMax > iPercentRetrace	and vProfitTicksMax > iProfitTicksMin and vBSE > iBarsSince then
Begin
	if vMP > 0 Then
		Sell ("TrlPctXL") CurrentContracts Contracts This Bar at Close
	Else If vMP < 0 Then
		BuyToCover ("TrlPctXS") CurrentContracts Contracts This Bar at Close;
End;

// Fixed stop loss
if vProfitTicks < iFixedStopTicks and iFixedStopTicks <> 0 Then
Begin
	if vMP > 0 Then
		Sell ("FixedStopXL") CurrentContracts Contracts This Bar at Close
	Else If vMP < 0 Then
		BuyToCover ("FixedStopXS") CurrentContracts Contracts This Bar at Close;
End;

// Volatility stop loss
if vProfitTicks < -vVolaTilTicks and iVolaTilLength <> 0 Then
Begin
	if vMP > 0 Then
		Sell ("VolaTilStopXL") CurrentContracts Contracts This Bar at Close
	Else If vMP < 0 Then
		BuyToCover ("VolaTilStopXS") CurrentContracts Contracts This Bar at Close;
End;

kevinkdog · (login for full post details)

Thanks for sharing. How many of those inputs did you optimize to get a better curve?

I'm curious, for the strategy I gave, what did you see that made you want to make it better?

I should also mention your trailing stop code, with "sell/buytocover this bar on close" will NEVER work in real time with daily bars. Backtest is fine, but not live trading. Not sure if you realized this.

Just FYI, I did not do optimization of this, all values were a "best guess." Initial data was 02/2010 to 06/2019.

From June 2019- Jan 2022 (2.5 years was out of sample).

Jan 2022- present is all live, real time performance (as calculated by backtest engine).

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kevinkdog

Thanks for sharing. How many of those inputs did you optimize to get a better curve?

No optimization done. Testing done on a 600 tick chart.

kevinkdog

I'm curious, for the strategy I gave, what did you see that made you want to make it better?

Which strategy ?

kevinkdog

I should also mention your trailing stop code, with "sell/buytocover this bar on close" will NEVER work in real time with daily bars. Backtest is fine, but not live trading. Not sure if you realized this.

I am using intraday bars, but I would like to know the reason that it will never work on daily bars. Sheesh, I learn something every day.

Bot Trading - MCL Futures

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Bot Trading - MCL Futures