@
kazz
I'm not sure where the learned a ton reference comes from so I can't respond directly to that. I'd be happy to do so if there was a reference you could share.
That said...true enough that I have learned a great deal since adopting a different approach.
When I came to
BMT I was trying to find coding help to automate (at the grey box level) a few low latency algorithms that could adjust to results and market conditions and as such allocate more or less to a specific strategy.
I did not find who or what I needed and while still somewhat focused, I began to drift a bit. Members here like to focus on very short time frames. My though is (and no offense to anyone) that the time frame focus was driven by two "issues", neither of which afflicted me. First, people trade intra day because the account is too small to carry futures trades. Second, many are deluded to thinking that it is easy to annualize a great single trade concept or individual trade...mostly SIM.
The recent change has me treating the /ES as a hedge against a basket of long stocks. So I can trade /ES from the
short side against the longs with a single click. To abbreviate...I make money short /ES when the market and my basket of stocks go down. It is the classic "hedge fund" approach. I sell puts so sometimes I buy stocks at expiration, but they are stocks I want and at a better price than when I got paid to sell the put. The basket gets bigger.
What that meant is that I started to look at my "operations" more like a hedge fund or family office. I stopped trying to short time frame futures and started to use them as a tool for profiting on down days. I am "basket"
delta neutral when I'm short between 23 and 25
contracts. I've never pushed it like that, but I would be comfortable "net neutral". The new approach allows me to trade a 1-5 lot short position with relative impunity. In a typical month I can net or save an extra 10M.
Hope that gets to the question.
Dan
So in 2018 I stopped trying to apply intra day strategies to /ES in favor of an approach