Matt Trivisonno's Blog

Ziggy is the name of my futures daytrading program because it attempts to zig when the market zags, and zag when it zigs. It trades the 1-minute chart and almost always has a position, constantly switching from long to short and back again. Here is a chart of last week’s version running on the TradeStation simulator. It made $2,149 trading one futures contract (ESU09) since June 11th (click chart to enlarge):

After a week of fanatical, around-the-clock coding, here is the latest version:

This version made $4,306, so I was able to double the profits. And I have a long list of ideas for optimizations to test, so I expect to continue making improvements.

Ziggy back-tests well, but only back to October. Prior to that, it was a losing strategy. Something changed in the market after the TARP crash last year. I have some ideas about what that might be, but haven’t studied it in depth yet. Perhaps it was all the quants re-coding their black boxes, but whatever it was, it was rather dramatic.

I could tell you how Ziggy works, but then I’d have to kill you. However, I can tell you that if you want to attempt a strategy like this you should start out by optimizing it as a range-trader. The market spends much more time ranging than it does trending, so while a range-trader like Ziggy will have big losses on trend days, it more than makes up for it on range days simply because there are lots more range days to work with. Right now, I am working on making Ziggy handle trends as well as it does ranges, and that’s where the future improvements will come from.

Hopefully, Ziggy will work just as well in real trading as it does in simulated trading. I’ll find out in a couple of weeks.

(Note: if you have never traded futures, shorting is just as easy as going long. There are no shares to borrow, no dividends to be responsible for, etc. You just bet on red or green. It’s that simple. Also, my tests above were done with one “contract”, which is like one share of a very expensive stock. As you may have guessed, Ziggy would make ten times as much money trading ten contracts, etc.)

This entry was posted on Sunday, July 12th, 2009 at 12:29 pm and is filed under Investing. You can follow any responses to this entry through the RSS 2.0 feed. Both comments and pings are currently closed.