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@Gary: 2 brokers for multiple reasons, but here the main one is because I want to sleep in peace. The robot is buying/selling 4 different contracts, and is flat before the european night. So, no overnight allowed. If, bad luck, broker A have a problem, and the robot is unable to close these positions, I can manualy hedge with broker B.
@Caprica:I don't have all my historical data right now, I've just checked the strat with 09/09 contracts, 1 trade/day/contract/broker, SQN from 4.07 (on YM) to 5.95 (on NQ). I'm not sure it's the infos what you want...
Day 1: +520$
Day 2: -85$
Day 3: +57.5$
Day 4: +5$ (+245$ without bug)
Day 5: +480$
Week 1: +977.5$ (+1217.5) before com.
Good first week, without yesterday's bug (found it), the results is +1217.5$ (so +977.5$ with the bug).
Until now, the results looks similar to the backtests (win/loss ratio, average winning/losing trade, etc).
Not good, but if losses stays small, and profits much bigger than losses, and win/loss ratio > 70%, fine.
I've also found the EMD contract (E-mini S&P MidCap 400), which seems to be a good contract for this robot. The first backtest without any optimization looks really good (see screenshots).
As the YM is not on the podium in backtests and in real life, I think I could replace it by EMD. I'm just a bit scared by the volumes (and the spread) of the EMD.
Week 1: +977.5$ (+1217.5) before com week 2: +295$ before com From the beginning: +1272.5$ (+1562.5) before com
I thought for sure this would have been a big UP day for the bot as there was a pretty big move at the close.. Maybe I dont understand the method.. I will re-read..
