CapaciTrader_MX trading results, starting march 31st 2011

check out our results with the new CapaciTrader with the same pair as last year: 3 eMini-Nasdaq-futures vs 2 eMini-S&P500-futures, but now the CapaciTrader_MX-way with overnight positions and the orders are submitted as layers. Our objective is to profit from every 0.5% convergence repeatedly, which will result in a pnl of ca. $450.00 every time.

Layer 1: 0.6 -> 0.1 - Layer 2: 1.1 -> 0.6 - Layer 3: 1.6 -> 1.1 - Layer 4: 2.1 -> 1.6

Required margin approx. $15.000 (besides a reserve to cover for an eventual -allways virtual- negative pnl), estimated # trades a week: 1 - 4. 

product setup
symbol localsymbol sectype expiration exchange currency description baseprice
NQ NQU1 FUT 201109 GLOBEX USD  E-MINI NASDAQ 100 STK IDX  2235.6250
ES ESU1 FUT 201109 GLOBEX USD  E-MINI S&P 500  1252.6250

 

The trades so far:

 
From above trades we focus only on the ES/NQ pair, for the other pairs you can see the results at www.collective2.com. (The trading times displayed below are UTC +01:00)
 

03-31-2011 20:15:01 1 0.6->0.1 open  realized pnl: $ 0      virtual pnl: $ 0

04-04-2011 15:43:00 2 1.1->0.6 open  realized pnl: $ 0      virtual pnl: $-450

04-04-2011 19:55:00 3 1.6->1.1 open  realized pnl: $ 0      virtual pnl: $-900

04-05-2011 02:57:00 3 1.6->1.1 close realized pnl: $ 450    virtual pnl: $-450

04-05-2011 09:37:00 3 1.6->1.1 open  realized pnl: $ 450    virtual pnl: $-900

04-11-2011 16:15:01 4 2.1->1.6 open  realized pnl: $ 450    virtual pnl: $-1350

04-12-2011 15:34:00 4 2.1->1.6 close realized pnl: $ 900    virtual pnl: $-900

04-13-2011 16:51:00 3 1.6->1.1 close realized pnl: $ 1350   virtual pnl: $-450

04-15-2011 15:34:01 3 1.6->1.1 open  realized pnl: $ 1350   virtual pnl: $-900

04-18-2011 16:04:01 4 2.1->1.6 open  realized pnl: $ 1350   virtual pnl: $-1350

04-18-2011 20:11:01 4 2.1->1.6 close realized pnl: $ 1800   virtual pnl: $-900 

04-20-2011 15:33:00 2 1.1->0.6 close realized pnl: $ 2700   virtual pnl: $ 0
 
04-20-2011 22:37:00 1 0.6->0.1 close realized pnl: $ 3150   virtual pnl: $ 0 
All layers (and therefore open positions) are closed now, net profit $3886.48 
capacitrader trade results
 
 
New layers opened, series started 04-29-2011: 
 
 04-29-2011 15:25:01 1 0.6->0.1 open realized pnl: $ 0     virtual pnl: $ 0
 05-02-2011 15:55:00 2 1.1->0.6 open realized pnl: $ 0     virtual pnl: $ -450
 05-03-2011 07:07:00 2 1.1->0.6 close realized pnl: $ 450  virtual pnl: $ 0
 
 
05-03-2011 18:53:00 2 1.1->0.6 open  realized pnl: $ 450  virtual pnl: $-450
05-04-2011 15:39:00 2 1.1->0.6 close  realized pnl: $ 900  virtual pnl: $ 0
05-05-2011 15:34:01 1 0.6->0.1 close  realized pnl: $ 1122.40  virtual pnl: $ 0
 
All layers (and therefore open positions) are closed now,  profit $1122.40
total net profit $5008.84 
 
 

New layers opened, series started 05-16-2011, pnl $0.00: 

05-16-2011 16:49:01 1 0.6->0.1 open realized pnl: $ 0     virtual pnl: $ 0

05-16-2011 18:54:01 2 1.1->0.6 open realized pnl: $ 0     virtual pnl: $ -450

05-24-2011 16:08:01 3 1.6->1.1 open realized pnl: $ 0     virtual pnl: $ -900

05-31-2011 19:08:01 3 1.6->1.1 close realized pnl: $ 450  virtual pnl: $ -450

06-01-2011 15:39:01 2 1.1->0.6 close realized pnl: $ 900  virtual pnl: $ 0

06-08-2011 rolled over M1 -> U1

06-08-2011 17:18:00 2 1.1->0.6 open realized pnl: $ 900   virtual pnl: $ -450

06-09-2011 16:05:00 3 1.6->1.1 open realized pnl: $900    virtual pnl: $-1350

06-15-2011 12:18:02 4 2.1->1.6 open realized pnl: $900    virtual pnl: $-1800

06-23-2011 18:11:02 4 2.1->1.6 close realized pnl: $1350  virtual pnl: $-900

06-27-2011 01:00:02 4 2.1->1.6 open realized pnl: $1350   virtual pnl: $-1350

06-27-2011 16:24:02 4 2.1->1.6 close realized pnl: $1800   virtual pnl: $0

06-27-2011 20:55:01 3 1.6->1.1 close realized pnl: $2250   virtual pnl: $1800

06-29-2011 15:42:01 3 1.6->1.1 open  realized pnl: $2250   virtual pnl: $1350

07-01-2011 09:22:01 3 1.6->1.1 close realized pnl: $2700   virtual pnl: $2250

07-05-2011 17:47:02 2 1.1->0.6 close realized pnl: $3150  virtual pnl: $0

07-07-2011 17:03:03 1 0.6->0.1 close realized pnl: $3600  virtual pnl: $0

All layers (and therefore open positions) are closed now,  profit ca. $3600.00

total net profit ca. $8600.00 in 3 months and 1 week.

  

New layers opened, series started 07-11-2011, pnl $0.00: 

07-11-2011 00:20:03 1 0.6->0.1 open realized pnl: $ 0         virtual pnl: $ 0

07-12-2011 15:48:01 1 0.6->0.1 close realized pnl: $ 759.90 virtual pnl: $ 0

All layers (and therefore open positions) are closed now,  profit ca. $760 in 2 days.

New layers opened, series started 07-15-2011, pnl $0.00: 

07-15-2011 01:45:01 1 0.6->0.1 open realized pnl: $ 0         virtual pnl: $ 0

07-15-2011 15:44:01 1 0.6->0.1 close realized pnl: $ 660.00 virtual pnl: $ 0 

All layers (and therefore open positions) are closed now,  profit ca. $660 in 1 day.