IBKR Production Trading System

📋 Overview

Automated trading system for SMH (semiconductor ETF) using EMA crossover strategy with:

• Signal: EMA 25 > EMA 125 = BULL (enter long)
• Leverage: 3.0x - 3.75x based on VIX
• Stop Loss: -2% daily equity
• Entry: 5 minutes before market close (3:55 PM ET)
• Exit: Bear signal or stop loss

⚙️ Setup

1. Install Dependencies

pip install ib_insync pandas pytz

2. Configure IBKR TWS

• Open TWS Paper Trading
• Go to: Edit → Global Configuration → API → Settings
• Enable: "Enable ActiveX and Socket Clients"
• Set Port: 7496 (paper) or 7497 (live)
• Add Trusted IP: 127.0.0.1
• Click OK and restart TWS

3. Login to TWS

• Start TWS and login with paper trading credentials

🚀 Running the System

Test Mode (Immediate Entry)

python ibkr_production.py

• Enters position immediately
• Good for testing

Production Mode (3:55 PM Entry)

system.run(test_mode=False)  # Change True to False

📊 How It Works

Daily Cycle

| Time | Action | |------|--------| | 9:30 AM | Records day start equity | | Continuous | Monitors -2% stop loss | | 3:55 PM | Enters if BULL signal + no position | | 4:00 PM | Updates EMAs, checks bear exit |

When You Add Money

• System recalculates at 4:00 PM (market close)
• Updates EMAs with today's close price
• Checks signal: BULL or BEAR
• If BULL → enters position at 3:55 PM next day
• Position sized on new total equity

Stop Loss

• Monitors equity every 5 seconds
• If daily loss ≥ -2% → exits immediately
• Can re-enter same day at 3:55 PM if BULL signal remains

Leverage Scaling

| VIX Level | Leverage | |-----------|----------| | VIX < 12 | 3.75x | | VIX < 13 | 3.5x | | VIX < 14 | 3.25x | | VIX ≥ 14 | 3.0x |

Note: Paper trading uses default 3.0x (VIX not available)

📈 Console Output

✅ Connected to IBKR Paper Trading (Port 7496)
✅ EMAs Initialized: 25=399.87 | 125=356.11
   Signal: BULL
📅 Day Start Equity: $1,001,295.25
✅ ENTERED: 7355 shares @ $408.39 (Leverage: 3.0x)

Status Messages

| Symbol | Meaning | |--------|---------| | ✅ | Success | | 🛑 | Stop loss triggered | | 🚪 | Position exited | | 📊 | Signal changed | | ⏹️ | System shutdown |

🔧 Configuration

Edit these variables in ibkr_production.py:

# Connection
IBKR_PORT = 7496  # 7496 = paper, 7497 = live
Strategy
EMA_FAST = 25
EMA_SLOW = 125
STOPLOSSPCT = 0.02  # 2%
Leverage
LEV_BASE = 3.0
LEVVIX14 = 3.25
LEVVIX13 = 3.5
LEVVIX12 = 3.75
Timing
ENTRYTIME = dttime(15, 55)  # 3:55 PM ET

🛡️ Safety Features

• -2% Hard Stop - Cannot lose >2% per day (except gaps)
• Bear Exit - Exits when EMA turns bearish
• Auto-reconnect - Handles disconnections
• Position verification - Checks actual IBKR position
• Paper trading default - Safe testing environment

🔄 Position Management

Entry Conditions

• ✅ No current position
• ✅ EMA 25 > EMA 125 (BULL)
• ✅ Time = 3:55 PM ET
• ✅ Valid price available

Exit Conditions

• ❌ Daily loss ≥ -2% (stop loss)
• ❌ EMA 25 < EMA 125 (bear signal)

Re-entry

• Can re-enter same day at 3:55 PM if:

📝 Logs & Monitoring

Real-time Monitoring

• Entry/exit confirmations
• Stop loss triggers
• Signal changes
• Errors

Position Check

# In TWS: Portfolio → Positions
Should show: SMH shares = script output

🚨 Troubleshooting

"No security definition found"

• Fix: Check symbol and exchange (SMH on ARCA)

"Market data requires subscription"

• Fix: System uses delayed data (automatic)
• 15-minute delay is acceptable for end-of-day strategy

"Cannot convert NaN to integer"

• Fix: Updated script handles this automatically
• Waits for valid price before entering

Position not entering

• Check time (must be 3:55 PM ET in production mode)
• Check signal (EMA 25 must be > EMA 125)
• Check TWS is connected and logged in

📊 Expected Performance

Based on backtest (July 2022 - Jan 2026):

• CAGR: 99.30%
• Max DD: 20.84%
• Sharpe: 1.64
• Trades/Year: 2.8
• Win Rate: 40%

🎯 Going Live (Real Money)

Checklist

• ✅ Test in paper trading for 1 week
• ✅ Verify all entries/exits working
• ✅ Confirm stop loss triggers correctly
• ✅ Check position sizing is correct

Switch to Live

• Change port to 7497

IBKR_PORT = 7497

• Login to TWS Live (not paper)

• Start with small capital (test $10k first)

• Monitor daily for first week

• Gradually increase to full capital

⚠️ Risk Warnings

• Gap Risk: Overnight gaps can exceed -2% stop
• Leverage: 3x amplifies gains AND losses
• Bear Markets: Strategy exits during downtrends (misses upside)
• Slippage: Real executions may differ from backtest
• Technical: System failures, disconnections possible

🛑 Emergency Shutdown

To stop the system:

• Press Ctrl+C in terminal
• System exits gracefully
• Does NOT close position (manual close in TWS if needed)

• Open TWS
• Go to Portfolio → Positions
• Right-click SMH → Close Position

📞 Support

Issues?

• Check TWS connection
• Verify API settings
• Check console for error messages
• Ensure market hours (9:30 AM - 4:00 PM ET)

📄 Files

• ibkr_production.py - Main trading script
• DEPLOYMENT_GUIDE.md - Setup instructions
• README.md - This file

Strategy validated. System ready. Trade safe. 🎯