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Defining Success
- Thread starter chuzek
- Start date
IMHO (and I am not just trying to state the obvious), part of the answer is that a successful automated trading strategy is a successful trading strategy that happens to be automated. A successful trading strategyâs success (on the basis of real trades, not backtests or paper trades) is most often defined in terms of metrics like Cumulated Profit, Sharpe Ratio, Max. Drawdown, Profit Factor, Win/Loss Ratio, etc.
Also, a successful automated trading strategy is a successful trading strategy that has been successfully automated and executed; i.e. it accurately follows the strategy rules as you have defined them; has been automated robustly enough to handle exceptions like delayed/partial fills, lost/unexpectedly cancelled orders, etc; and, all parts of your automated execution âplatformâ (trading computer, trading software, market data feed, internet connectivity, brokerage platform, exchange connectivity, etc) are operating at an adequate level (speed, reliability, availability, etc) to allow you to execute the strategy properly and with a material advantage over a non-automated trader trying to follow the same strategy.
Also, a successful automated trading strategy is a successful trading strategy that has been successfully automated and executed; i.e. it accurately follows the strategy rules as you have defined them; has been automated robustly enough to handle exceptions like delayed/partial fills, lost/unexpectedly cancelled orders, etc; and, all parts of your automated execution âplatformâ (trading computer, trading software, market data feed, internet connectivity, brokerage platform, exchange connectivity, etc) are operating at an adequate level (speed, reliability, availability, etc) to allow you to execute the strategy properly and with a material advantage over a non-automated trader trying to follow the same strategy.
Quote from abattia:
IMHO (and I am not just trying to state the obvious), part of the answer is that a successful automated trading strategy is a successful trading strategy that happens to be automated. A successful trading strategyâs success (on the basis of real trades, not backtests or paper trades) is most often defined in terms of metrics like Cumulated Profit, Sharpe Ratio, Max. Drawdown, Profit Factor, Win/Loss Ratio, etc.
Also, a successful automated trading strategy is a successful trading strategy that has been successfully automated and executed; i.e. it accurately follows the strategy rules as you have defined them; has been automated robustly enough to handle exceptions like delayed/partial fills, lost/unexpectedly cancelled orders, etc; and, all parts of your automated execution âplatformâ (trading computer, trading software, market data feed, internet connectivity, brokerage platform, exchange connectivity, etc) are operating at an adequate level (speed, reliability, availability, etc) to allow you to execute the strategy properly and with a material advantage over a non-automated trader trying to follow the same strategy.
good post. Especially, metrics. Most traders have no clue about the "Risk-Adjusted" part of RAR...
Quote from chuzek:
Just a rather open-ended question, but what would you define as a successful automated trading strategy?
It is successful when you get a call from your broker and you are asked if you would like to manage some money for a big client of his.
If you never get that call, you do not have one.