jburke75 

that was my first thought as well being a small time player I need low contract size for the time being. KJD is a heavy hitter so he cares more about liquidity and tradability.

For me, it makes sense to work with contracts with lower margin requirements, particularly if they are working well with my strategies. The benefit here is in the ability to have diversification in my portfolio. Example, this week on a strategy that I'm incubating:

• FX: +133
• Metal: -1044
• Energy: +6609

Last week, same strategy with same instruments and parameters:

• FX: +1396
• Metal: +1638
• Energy: +2739

Just trading the metals contract (in this case Copper HG), would have been discouraging, but with a balanced portfolio and $11,800 in margin, the past two weeks were okay. Compare that margin to $12,000 for a single ES contract, and it's a pretty easy choice for me. My equity curve gets smoothed in a big way.

I have been mulling this journal for the past week and I think I am going to put it to rest soon. It occurred to me that my journals were starting to look more and more like blog entries, and if I'm doing that, I might as well blog. Generally this journal has been my brain dump, but it is usually incomplete due to the fact that I won't share some of the finer details (e.g. proprietary code, etc.). I have a measure of time in every day and in this life, and I need more time to do some of the other things. Mainly, I have a ton of trading ideas to try to code and I am really behind on those, plus other stuff.

I have at least one more entry before I close this out, specifically with the strategies I have been incubating and how they performed over election week until today. After that, a blog is a real possibility, as I really enjoy writing about these algo adventures. Anyhow, there are one or two more entries that I will post, and I will be around FIO daily as I enjoy being in an online community of peers.

I purposely stayed out of the market during election week, but I kept incubating the strategy that I've been journaling about these past few weeks. I wanted to see what 6 trading days would look like, had I traded it (Monday before US Election Day to Monday after US Election Day).

Below are the totals for the past three weeks, with Week 3 being Election Week+1 day:


Analysis:
Profit factor for my energy contract (RB) took a beating in week 3, just due to the volatility. Yesterday was a $2k+ day, so it definitely boosted a torrid week for this strategy and instrument. My metal contract (HG) continued to struggle, though I suspected as much based on my backtest data. FX (EC) did well with this strategy. Out of the three, FX was easiest to trade, as I used 60 minute charts and ended up with 26 trades over 16 trading days.

My main objective, aside from purely incubating the strategies, was to see how well these three would work together as a diversified group. I will be doing some longer time horizons to see how well they would work over an extended period. As with week 2's analysis, my takeaway is that some diversification, even on a smaller scale, could prove to be important.

Which brings me to a counterpoint argument against diversification. I was listening to Jack Schwager last night on the Top Traders Unplugged podcast (https://www.toptradersunplugged.com/113-the-systematic-investor-series-ft-jack-schwager-november-9th-2020/), of Market Wizards book series fame, and he was asked about how market wizards view diversification. He cited one market wizard who believes diversification is a bad thing. There are a lot of opinions on diversification, over-diversification, and no diversification. For me, I think a moderate amount of diversification will be ideal to help smooth my portfolio's equity curve.

But then again....I'm no market wizard. Yet.

Anyhow, I'll have one more post to shut down this journal. Until then, stay safe and trade well!

So here is my last entry to this journal, at least for now and maybe forever. It has been a good run, almost 19 months and I don't know how many entries. I started this journey with VX futures and made my way from there. The algo journey continues, but I just need more time and I realize how much time journaling takes. I would much rather answer the occasional question and join other discussions around here. I still have kids who are home 3 days a week for schooling and other responsibilities, so time is becoming a very precious commodity.

I am strongly considering starting a blog, since I enjoy the writing part of the process and I can probably get myself into a rhythm and schedule required for such an endeavor. Loving futures trading helps a lot. I have domains and I have enough blogging experience to where this would be easy. I will decide if and when I do this, over the next couple weeks, as I start to align my other priorities and get organized.

Anyhow, I will be here daily, just check out other's journals. I give a shout-out to everyone who has read my journal and helped me in so many ways, including: @bobwest , @kevinkdog , @SMCJB , @snax , @Big Mike (for making FIO possible), my wife who lurks here on occasion and shall remain nameless (love you sweetie!) and all the rest. Thanks a million!

vmodus . . . out.

It has been great to watch your progress!!!

vmodus 

So here is my last entry to this journal, at least for now and maybe forever. ... vmodus . . . out.

Sorry to read this, as I, and many others, have enjoyed and profited from your journal.

I do understand journal fatigue. Frankly, I understand general forum posting fatigue , although it does have its good points.

Whatever you decide to do in the future, I will look forward to it.

Good luck, and good trading.

Bob.

@vmodus, sounds like you plan on sticking around which is terrific news, please don't be a stranger! I've gotten a great deal of enjoyment from reading this journal, and I understand the desire to switch things up. If you start a blog, please share the link with us! I wish you great fortune on your journey, friend.

Good luck to you @vmodus, it was a nice journal.

If you do start a blog you could always cross post it to here as long as you don't make it an advertisement/linked to your blog/self promotion.

Why aren't you going to Cleveland in April?

SMCJB 

Good luck to you @vmodus, it was a nice journal. If you do start a blog you could always cross post it to here as long as you don't make it an advertisement/linked to your blog/self promotion. Why aren't you going to Cleveland in April?

Yeah, I won't want to sound like a shill promoting my own thing.

I still need to decide on Cleveland. My April schedule is in flux right now, but I hope to have some clarity in the next couple weeks. Which weekend are you attending? I'd like a chance to meet you in person.

I can do either weekend