600 bars 15 min chart. Should go down then back up with less volatility. Cheer.
Ok I abandoned the old challenge because I wanted to try something more exciting. I am doing long horizon forecasting to test to see if there is alpha. I am using a deep learning algorithm and well try to see how the alpha looks after 50-100 trades. using 15 min charts and 600 bars.
trade number 2 $52 in account 0 trades closed so far.
New challenge using the model. 15 minute charts, 1.5% risk per trade. 100 bars forecasted In the future. Rules are I cannot close a trade early. Once a trade is open the PL will reflect what's on the chart. Going to shoot for 100 trades
model is showing lower BTC sadly. Been optimizing the model more and more which is nice.
seems to be a 4% short or so over the next few days. I am going to be trying something new with the model and I am not sure if I should publish it. Basically instead of forecasting 500 bars on a 5 min chart I'm going to go down to 1 or 2 minutes and see if there is still alpha.
27 wins 9 losses. model says long. account is scaling nicely.
Looks like we should short here as per the model. I would be watching the target I would prob take profit a little before target.
600 bars 5 min chart. Worked for hours on the optimizer today. Feeling more confident.
Spy is a pretty easy function to approximate on bigger time frames. Would be nice if this was correct but this is the approximation of the next 500 trading days.
on 5 min 500 bars. shows a pop then back down. Doing 1:1 still as per the testing
still working with long horizon on the 5 min chart. Going to see if the has alpha so expect about 50 trades. Forecasting 500 bars on a 5 min chart. Using 1:1. If no alpha we can alter R:R to see if it changes expected value but I doubt it.
since 15 min model has alpha but it takes a long time for those trades to play out I decided to start forecasting from the 5 min chart. Lets see how these go.
Got stopped out and added some contracts here. Max close of 0.0956 over next few days
bought some here. I could see this hitting 7.4240 by a few days. Its a possible run situation
model shows long. I also showed the predicted range. As you can see there's some downside but ultimately up the next few days. I am long here.
First short with the futures account. I figured soon enough there won't be any buys on the spot market so I opened a futures account as well.