Search results

@globalarbtrader thanks for your input, I would say that strategies not performing would for me at a basic level mean, not profitable over lets say 100 trades which would be equivalent to around 12 month of trading, especially since i do not allow any strategies for live trading that has been...

@globalarbtrader , Thank you for taking the time to reply, .. perhaps i need to be more clear, i am not really after optimising performance, i am more after setting a process that is quantifiable to make sure i vet out strategies that is not performing .. "not performing" needs to be decided...

@fan27 sounds great, shall be interesting to see if/how/ i can test this in my process.. Btw, if you have time i would love to get your input on this closely related subject https://www.elitetrader.com/et/threads/best-language-structure-for-portfolio-opt.336408/

Need advice from you guys, i have an good infrastructure for my algo trading setup, that i am very happy with. I am limited of how i can control this, since its based on 3rd party software etc. I am running a multiple of strategies and my process involves ranking top strategies to use every...

" @fan27 Hope you are well, any news about this feature?

Multichart has its limitations when it comes to controlling and evaluating a large amount of strategies trading a single symbol and sub portfolios, in a live trading environment etc... anyway very much interested in the random feature as you describe.., cheers

@fan27 that sounds interesting, would for sure like to explore that and see if it can be a tool in my process, let me know.

@fan27 Thanks for your quick reply.., i could not do anything like this with Multichart, however i cant get it built i assume in python etc, and just base it on my price series derived from my plattform... when you say x number of backtests... do you mean that you make a monte carlo of your...

Hi @fan27 i am Using Multicharts for building, testing and execution of my algos, towards IB, then using MSA from adaptrade for evaluating my collected portfolios, Multicharts lacks lots in portfolio evaluation... i am looking into expanding my tests to include analysis of randomination of...

@fan27 thanks for sharing your work... i am facing some issues sometimes where sample size of trades are to few, same as you mentioning, around 100 trades .. so i am looking to create a tool to further test my strategies.. you are saying that you have created a tool to see how often your...

@globalarbtrader Yes, for example 50 runs of MC for your diversified portfolio, and a median of those Maximum drawdown at a 5% probability, and then you use that amount x2 as capital allocation for your portfolio. Regards Daniel

Hi Rob, Thank you for your input. You also believe this is the case if you use Max DD derived from a Monte Carlo test?

Thank you @nooby_mcnoob and @HobbyTrading, i hav Roberts book and read it a year back i think, might need to revisit it then.. and yes i agree that looking at max DD might not be optimal or the best best thing would off course be to subgroup some markets and risk to a subgroup correlating the...

Hi all, I have a a portfolio containing a multiple of strategies on 5 markets.. NG,CL, ES and S all intraday strategies, and then i have one strategy mean reversion sp500 stocks 1-5 days max hold. I cant decide on a portfolio funds allocation strategy, i am locked to a known stop per trade...

Hi, Thanks for your feedback. I am using Multicharts. What i am after is to define"Best performing strategy" and "Poorly performing strategies" Preferably i would like to automate this by blocking signals from poorly performing strategies and prioritising signals from best strategies is signals...

@fan27 Thank you for sharing your journey, i am also running algo based models, and at the moment i am looking into trying out a portfolio containing perhaps 30-50 different strategies on the same symbols but i would need to limit max protfolio size to for example 2x contracts per strategy and...