Diversified Algo Portfolio Allocation vs SP500 Index

[MKTrader]

LOL, now you go into real estates and lending space. These are just another bets, there is no sure double digit return guaranteed anywhere. I hope you understand the real estate market deeply and the other markets you mentioned. It seems you have no trust in whatsoever published results anywhere (on internet). He is looking for higher returns he already said, so having no risk is no fun as always. And you are just mentioning other lower correlations bet. You should not do that, it might only confuse SimpleMeLike with no further improvement for him.

I've made low double-digits for 10+ years with pretty much hands-off private lending. I tried many algos (and understand them and system design/parameters well) and lost money. I kind of know what I'm talking about.

It sounds like you don't understand hindsight bias and how backtested results never play out in real time. Ditto for strategies that work for a while in certain markets (like buying dips/selling puts in bull markets) and work well until they don't.

 

[TrAndy2022]

I have a summary and full essay written on over 150 bias (not only hindsight or any backtesting fallacies). And your 10+% return for a decade gets you nowhere. You do not get rich by that, maybe wealthy after 40 or 50 years, that's it. What you said for looking consistent returns above SP500 since 2009 (for every year or so) is not available and you might know it or do not know it better. Then just stop posting. Anything else does not make sense here in this thread. You have no courage for higher returns, and it is pity for you that had no luck in your past. I made total different experiences.

 

[SimpleMeLike]

He is looking for higher returns he already said, so having no risk is no fun as always. And you are just mentioning other lower correlations bet. You should not do that, it might only confuse SimpleMeLike with no further improvement for him.

Hello TrAndy2022,

Exactly, we are only talking about algo trading and who is making the money.

A portfolio of algos that will cost +$100K is not the way for me with little returns.

Look at Marek Chrastina here results in 2 years. +100% year after year. This is where I am betting my money on this guy. He is top notch algo trader to me. Very easy decision and good investment here. https://www.worldcupadvisor.com/#advisors

 

[quiper]

Look at Marek Chrastina here results in 2 years. +100% year after year. This is where I am betting my money on this guy. He is top notch algo trader to me. Very easy decision and good investment here. https://www.worldcupadvisor.com/#advisors

You are talking just about returns. But look at the risk too. This guy had more than 40% drawdown. So if you subscribe to such a strategy, you have to be ready to loose at least half of your account in next few month as this is quite possible.

 

[MKTrader]

I have a summary and full essay written on over 150 bias (not only hindsight or any backtesting fallacies). And your 10+% return for a decade gets you nowhere. You do not get rich by that, maybe wealthy after 40 or 50 years, that's it. What you said for looking consistent returns above SP500 since 2009 (for every year or so) is not available and you might know it or do not know it better. Then just stop posting. Anything else does not make sense here in this thread. You have no courage for higher returns, and it is pity for you that had no luck in your past. I made total different experiences.

Let's see your essay and real-time results: account statement, 3rd party audited, etc. Otherwise you're full of hot air and the ET version of Walter Mitty.

 

[SimpleMeLike]

You are talking just about returns. But look at the risk too. This guy had more than 40% drawdown. So if you subscribe to such a strategy, you have to be ready to loose at least half of your account in next few month as this is quite possible.

Hello quiper,

Thanks for pointing this out to me. I am comfortable with up to 50% drawdown if I can get +80% a year. Perfectly fine with this.

I only look at the futures market to make ALOT of money quickly with calculated risk.

 

[SimpleMeLike]

I've made low double-digits for 10+ years with pretty much hands-off private lending. I tried many algos (and understand them and system design/parameters well) and lost money. I kind of know what I'm talking about.

It sounds like you don't understand hindsight bias and how backtested results never play out in real time. Ditto for strategies that work for a while in certain markets (like buying dips/selling puts in bull markets) and work well until they don't.

Hello MKTrader,

Thank you for your input. Great job on the returns.

 

[MKTrader]

Hello quiper,

Thanks for pointing this out to me. I am comfortable with up to 50% drawdown if I can get +80% a year. Perfectly fine with this.

I only look at the futures market to make ALOT of money quickly with calculated risk.

Just remember, max drawdowns will be exceeded at some point in the future. In the case of backtested systems, this is especially true. I've seen systems with 20% hypothetical drawdowns get margin called pretty quickly when traded with real money.

 

[SimpleMeLike]

I don't expect him to come up with 50 algos when he started in 2012...though it's possible to. But he's not showing real-time results for ANY algos except in 2022. Did all of his earlier attempts fail?

Hello MKTrader


This is my biggest argument I have as well. All these quant, algo developers , algo teachers, etc. etc. They ALL say the obvious "get a low drawdown algos with edge and uncorrelated and do not over leverage"

Yet, none of them shows any real time money making results for historical years what they are teaching retail traders to do, but they want you to pay for their course and trading tools and books.

As my grandfather would tell me "Boy, I see better than I hear"

https://www.quantifiedstrategies.com/how-have-our-trading-edges-performed/#The_bear_market_of_2022-2

https://www.quantifiedstrategies.com/shop-quantified-strategies/

https://www.quantifiedstrategies.com/membership-signup/

 

[SimpleMeLike]

. I've seen systems with 20% hypothetical drawdowns get margin called pretty quickly when traded with real money.

Hello MKTrader,

Having capital in the algo of twice the drawdown of historical hypothetical drawdowns is good to have, I believe.

Or wait until the algo is drawdown to invest in it.