https://github.com/xilinjia/sp500_live
Updates live positions and trade results of automated trading of futures contracts of Micro E-mini S&P 500 Index
https://github.com/xilinjia/sp500_live
futures trading trading-strategies
Last synced: 23 days ago
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Updates live positions and trade results of automated trading of futures contracts of Micro E-mini S&P 500 Index
- Host: GitHub
- URL: https://github.com/xilinjia/sp500_live
- Owner: XilinJia
- Created: 2024-03-09T09:40:40.000Z (about 1 year ago)
- Default Branch: main
- Last Pushed: 2025-04-01T21:10:02.000Z (25 days ago)
- Last Synced: 2025-04-01T22:24:05.862Z (25 days ago)
- Topics: futures, trading, trading-strategies
- Homepage:
- Size: 2.55 MB
- Stars: 3
- Watchers: 2
- Forks: 0
- Open Issues: 0
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Metadata Files:
- Readme: README.md
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README
## About
This project is to update live positions and trade results of automated paper trading of futures contracts of [Micro E-mini S&P 500 Index](https://www.cmegroup.com/markets/equities/sp/micro-e-mini-sandp-500.html#venue=globex).
The strategies used are constructed using XJ-Strategist, a machine learning and AI system capable of constructing and validating sustainable trading strategies, as introduced and showcased [here](https://github.com/XilinJia/XJ-Strategist).
Position and returns data here are automatically updated daily just after the market close of CME directly from my trade server.
## Current positions
2025-04-02 20:57:00(UTC), MES M25.CME_Eq, Price = 558400, Position = 31
## Past trades and returns
Start of plot is 2023-10-19
*** Failed to login to broker platform on Mar 17 2025, positions and results are repaired based on back-filled data.
*** Due to instability issues at broker platform, positions and results during Feb 14-25, 2025 might be repaired based on back-filled data. ****
*** Due to issues with broker platform, positions and results during Aug 4-13, 2024 are based on back-filled data. ****
The following file contains dates (of trade opening), daily closing prices, positions at daily market close, daily returns, and cumulated returns.
The daily prices are of a continuous contract that is formed by rolling and stitching previous contracts with the current contract. The algorithm of forming the continuous contract can be found [here](https://github.com/XilinJia/Stitcher).
[CSV file](trades.csv)
## Trade positioning
A contract of Micro E-mini S&P 500 Index futures is valued at $5 times S&P 500 Index. At the trading platform of the brokerage, the quoted index of S&P 500 Index comes in as 100 times the actual S&P 500 Index, thus a contract is valued at $0.05 times the quoted index.
The maintenance margin requirement is 5%.
I use a maximum of $50,000 as margin to enter into trades. So the trade value (based on 5% margin) is equivalent to a maximum of $1 million.
As an example. if the quoted index is 400,000, then at maximum my position would be (50,000 / 0.05) / (400,000 * 0.05) = 50
"maximum" here means trades are not always using the full capital, but depend on an algorithm of position sizing at the time.
## Historical performance of the strategy
Performance in training period (2000-01-03 through 2009-02-23):
Performance on entire dataset, in-sample and out-sample, (2000-01-03 through 2024-02-29. Note the training section at the beginning of the data set):
