Can I be confident with this strategy?

[Steve Alexander]

I had this 'problem' with my strategies - they'd work for various lengths of time (3-8 months). It was frustrating at first but then I learnt how to figure out when they stopped working early - before I lost all my gains and then moved onto creating a new strategy.

All strategies work until they don't. That doesn't meant to not bother using them, just means keep an eye on them.

I have over 200 strategies that have worked, off and on, over the past 15 years or so. The only one that has worked for longer than a year is this: Buy Home Depot every day except Tuesday near the close and sell it the following trading day about 9:45 Eastern time. This has returned about 20% ROI every year for the past 5 years. You're welcome.

 

[pstrusi]

Hi all,

I have been struggling with a question, hope someone can help here.

I have a strategy (let's say strategy A) that worked very well on first half year of 2016, yield a sharpe ratio of about 4.0+. It's an intra-day strategy trading futures. But after Aug, 2016, it suddenly stopped working, I lost half of my profit by the end of 2016.

I am working on another similar strategy (B), it works well through out the data of whole year 2016 (I guess I am not over-fitting), but it's not working for data of 2015, big difference.

The question is, should I be confident enough to continue to trade A or trade B with real money in 2017?

Thanks.

No easy answer cause it's an open question, however I'll give an approach. Predicting probabilities is proved that's more realiable and easy for very short-terms cause certainty ( as some HFT do ), therefore any classic predicting model based on typical timeframes more than 5 minutes are due for eventual failures sometimes, that's the reality and you must deal with it, so the only you can do is pick the best model and code a strict and commom sense money managment rules. The problem with very short timeframes is slipagge, commissions and we, retail, don't have the supervelocity access to prevent fall for unethical HFT "spoofing, quote stuffing...and other wrongdoing" that I hope some day dissapear of markets.

 

[SimpleMeLike]

I have over 200 strategies that have worked, off and on, over the past 15 years or so. The only one that has worked for longer than a year is this: Buy Home Depot every day except Tuesday near the close and sell it the following trading day about 9:45 Eastern time. This has returned about 20% ROI every year for the past 5 years. You're welcome.

Thank you Steve,

I have a serious question for you that's challenging me. I know you are into automated strategies.

How did you test these strategies? Manually or program then back test.

So, one trading strategy does not work forever? I often hear or read that it often takes testing lots of strategies before finding one that is worth live testing with real money. One webnair trader says he test nearly 100 trading ideas before putting 1 live.

If this is the case is nearly impossible to properly manually back test alot of strategies by hand.

Appreciate your input

Thanks