Automated strategies risk/return profiles examples

Hi StateWX!
There is an application called portfolio wizard that help you choosing the best signal for your predefined risk profile, It shows you a signal performance comparison will appear displaying information to make your own judgment and compare between signal. I hope that this will help you to stop being poor soon! :cool:

Good luck!!
 
I've been browsing this application and the results that you get are always good..., but are these results good when you invest with real money?
What signals have you got? What are your settings for each?

Thank you
 
You have to consider that those results have a little delay, so I used to select signals that don't make scalping...I select signals that pursue to get lots of pip in their operations.

Of course this is forex, so you wouldn't never have guarantees, but I think people who take care and don't risk too much, will have profits. :)

have a good trading!
 
ok, now everything is clearer.

Have you achieved to compose a signals portfolio profitable? If yes, please share it with us or suggest us any setting to take success.

Thank you!!!:)
 
Quote from Bowgett:

Here is one of mine systems

Out of sample results:

Type: Long/short US equities
Annual return: 48.42%
Trades number: 15,739
Max draw down: 23.80%
Max draw down period: 7 month
Max positions in portfolio: 44
Margin: 70%
Sample: 18 years
More...

Thanks for sharing! I assume it concerns you that you've already encountered a drawdown in your live 2010 results that exceeds your max drawdown over 18 years of out-of-sample testing by quite a margin (44% drawdown).

That, for me, would set off alarm bells that the backtesting is not reliable for future results.
 
Quote from Kohanz:

Thanks for sharing! I assume it concerns you that you've already encountered a drawdown in your live 2010 results that exceeds your max drawdown over 18 years of out-of-sample testing by quite a margin (44% drawdown).

That, for me, would set off alarm bells that the backtesting is not reliable for future results.
More...
There are lots of concerns. Of course this is one of them but I do not think you can develop perfect system. You need to create good enough system and adjust it to future market changes as you trade live with it.
 
Quote from Bowgett:

There are lots of concerns. Of course this is one of them but I do not think you can develop perfect system. You need to create good enough system and adjust it to future market changes as you trade live with it.
More...

I agree that you cannot develop a perfect system (holy grail), but I think this situation is different.

My philosophy is that for automated trading, backtesting is paramount. Without backtesting, why are we trading the strategy? How do we know it is profitable? Even if it is temporarily profitable, how will we know that it won't ruin us in the near future?

Personally, if a system of mine starts to show results that do not fall within the statistics of backtesting, it means I know almost nothing about the system (except what I can learn from the live results) and I'd feel very uneasy trading it (with significant capital).
 
Quote from Kohanz:

My philosophy is that for automated trading, backtesting is paramount. Without backtesting, why are we trading the strategy? How do we know it is profitable? Even if it is temporarily profitable, how will we know that it won't ruin us in the near future?
More...

Hi Kohanz,

Have you got or have you found any system profitable after do your backtesting???

Share with us if you have any!!!!!
 
Fully automated or purely mechanical, which are allowed? Because there is a difference. I trade a purely mechanical method manually.
 
Quote from Bowgett:

Here is one of mine systems

Out of sample results:

Type: Long/short US equities
Annual return: 48.42%
Trades number: 15,739
Max draw down: 23.80%
Max draw down period: 7 month
Max positions in portfolio: 44
Margin: 70%
Sample: 18 years
More...

First, good work.. However, the curve is flat in the last 3 years
Any comment?
 
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