i have a solid system. i'm looking for help - collaboration to trade it.

CHolmes said:
This is where risk management comes into play. You should know going into live trading what your worst case scenario is and trade accordingly. If your strategy has a 20% win rate and you risk 10% of your capital on each trade then you're a fool, and will be a broke fool very quickly. However, a 20% win rate will absolutely work if your winners are outsized and you risk say 1% of your capital.

"Profitable" and "robust" have nothing to do with win rate. You have a lot to learn...
More...

Exactly. If win rate (WR) was important in any way, trend following strategies wouldn't exist because none of the good ones go above 50% WR.

As a newbie, I had 85% win rate and lost money. Now I have something like 55% and it's profitable. It's as clear cut as can be.
 
rtw said:
i sent this by email to a friend, so here are some backtests for three symbols, for all of 2018 to date, trading one share in all cases. all three are profitable if they had been traded on options, and on aapl and nvda the largest individual losing trades were on positions held around earnings reports that a experienced trader would have never held.



qqq

TradeStation Performance Summary Expand
All Trades Long Trades Short Trades

Total Net Profit $19.00 $13.81 $5.19
Gross Profit $105.51 $56.95 $48.56
Gross Loss ($86.51) ($43.14) ($43.37)
Profit Factor 1.22 1.32 1.12
Roll Over Credit $0.00 $0.00 $0.00
Open Position P/L $1.53 $0.00 $1.53
Total Number of Trades 104 53 51
Percent Profitable 35.58% 43.40% 27.45%
Winning Trades 37 23 14
Losing Trades 67 30 37
Even Trades 0 0 0
Avg. Trade Net Profit $0.18 $0.26 $0.10
Avg. Winning Trade $2.85 $2.48 $3.47
Avg. Losing Trade ($1.29) ($1.44) ($1.17)
Ratio Avg. Win:Avg. Loss 2.21 1.72 2.96



aapl

TradeStation Performance Summary Expand
All Trades Long Trades Short Trades

Total Net Profit ($11.16) ($6.61) ($4.55)
Gross Profit $138.39 $78.55 $59.84
Gross Loss ($149.55) ($85.16) ($64.39)
Profit Factor 0.93 0.92 0.93
Roll Over Credit $0.00 $0.00 $0.00
Open Position P/L $15.97 $0.00 $15.97

Total Number of Trades 107 57 50
Percent Profitable 33.64% 35.09% 32.00%
Winning Trades 36 20 16
Losing Trades 71 37 34
Even Trades 0 0 0
Avg. Trade Net Profit ($0.10) ($0.12) ($0.09)
Avg. Winning Trade $3.84 $3.93 $3.74
Avg. Losing Trade ($2.11) ($2.30) ($1.89)
Ratio Avg. Win:Avg. Loss 1.83 1.71 1.97


nvda

TradeStation Performance Summary Expand
All Trades Long Trades Short Trades

Total Net Profit $47.85 ($7.88) $55.73
Gross Profit $314.58 $147.52 $167.06
Gross Loss ($266.73) ($155.40) ($111.33)
Profit Factor 1.18 0.95 1.50
Roll Over Credit $0.00 $0.00 $0.00
Open Position P/L $21.32 $0.00 $21.32

Total Number of Trades 102 55 47
Percent Profitable 35.29% 34.55% 36.17%
Winning Trades 36 19 17
Losing Trades 66 36 30
Even Trades 0 0 0
Avg. Trade Net Profit $0.47 ($0.14) $1.19
Avg. Winning Trade $8.74 $7.76 $9.83
Avg. Losing Trade ($4.04) ($4.32) ($3.71)
Ratio Avg. Win:Avg. Loss 2.16 1.80 2.65
More...

You don't know what you're doing if you think these backtests have any meaning.
Having 100-200 trade backtests for less than one year (!) AND single symbols are about as precise as throwing darts. You might have a rude awakening.
 
rtw said:
retail traders have a good chance to make good money with rather simple strategies on high enough time frames. as long as prices continue to be bought higher and sold lower in continued trends in the same way they have been for the last 50 years these systems will continue to work.

i'm a trained econometrist and statistician myself, i can tell you that your fear of the bogey phds is unfounded. some of them go on to develop winning systems but a lot of them never do.
More...
As a retail, I agree with your statements. We, perhaps due to lack of sophistication, tend to bet on the up trend in the market and in this bull market starting 2009, we are all geniuses.

I do worry about the coming bear market.
 
JSOP said:
Well I define "having a quantifiable and repeatable trading edge" as having a higher than 50% win rate. I mean if you can't repeat your wins half of the time, how is that a "repeatable" trading edge? Anyway...
More...
Sorry I cannot resist to comment. Expected return is what counts.

In options, one can make a nice living with win rate < 50%: Asymmetric payout.

Regards,
 
here are some more performance reports:


aapl 2005 - 2018

TradeStation Performance Summary Expand

All Trades Long Trades Short Trades
Total Net Profit $18,213.00 $16,284.00 $1,929.00
Gross Profit $70,892.00 $43,042.00 $27,850.00
Gross Loss ($52,679.00) ($26,758.00) ($25,921.00)
Profit Factor 1.35 1.61 1.07

Roll Over Credit $0.00 $0.00 $0.00
Open Position P/L $1,561.00 $0.00 $1,561.00

Total Number of Trades 1,279 701 578
Percent Profitable 35.42% 37.52% 32.87%
Winning Trades 453 263 190
Losing Trades 819 434 385
Even Trades 7 4 3

Avg. Trade Net Profit $14.24 $23.23 $3.34
Avg. Winning Trade $156.49 $163.66 $146.58
Avg. Losing Trade ($64.32) ($61.65) ($67.33)
Ratio Avg. Win:Avg. Loss 2.43 2.65 2.18
Largest Winning Trade $2,040.00 $2,040.00 $1,496.00
Largest Losing Trade ($1,044.00) ($1,044.00) ($548.00)

Max. Shares/Contracts Held 100 100 100
Total Shares/Contracts Held 128,000 70,100 57,900
Account Size Required $4,617.00 $2,608.00 $2,759.00
Total Slippage $5,116.00 $2,804.00 $2,312.00
Total Commission $2,558.00 $1,402.00 $1,156.00


the buy and hold returns of 100 aapl shares from 2005 to this day would be something like 16,000 usd in profit. however, buying and holding would have gone through a number of awful periods where aapl has been sold down significantly and a 100 share position would have given back more than 4,000 usd in paper profits each time. my strategy generates superior returns with far smaller largest losses to buying and holding even when it does not include the instructions for all positions to be closed before each earnings announcement.



but well, people who don't know anything about automated strategies or rules based trading but still feel like running their mouths could still not be convinced. the price of aapl was bought higher by almost 4,000% from 6 to 230+ usd which would have helped a lot of non performing strategies pass a superficial examination, but ¿what about symbols that have gone nowhere like ge?


ge 2005 - 2018


TradeStation Performance Summary Expand

All Trades Long Trades Short Trades
Total Net Profit $2,899.00 $140.00 $2,759.00
Gross Profit $8,647.00 $3,458.00 $5,189.00
Gross Loss ($5,748.00) ($3,318.00) ($2,430.00)
Profit Factor 1.50 1.04 2.14

Roll Over Credit $0.00 $0.00 $0.00
Open Position P/L $474.00 $0.00 $474.00

Total Number of Trades 136 73 63
Percent Profitable 36.76% 36.99% 36.51%
Winning Trades 50 27 23
Losing Trades 86 46 40
Even Trades 0 0 0

Avg. Trade Net Profit $21.32 $1.92 $43.79
Avg. Winning Trade $172.94 $128.07 $225.61
Avg. Losing Trade ($66.84) ($72.13) ($60.75)
Ratio Avg. Win:Avg. Loss 2.59 1.78 3.71
Largest Winning Trade $993.00 $421.00 $993.00
Largest Losing Trade ($336.00) ($336.00) ($298.00)

Max. Shares/Contracts Held 100 100 100
Total Shares/Contracts Held 13,700 7,300 6,400
Account Size Required $793.00 $824.00 $773.00
Total Slippage $272.00 $146.00 $126.00
Total Commission $272.00 $146.00 $126.00


my solid, robust, profitable strategy would have returned very handsome profits in ge, even when buying and holding would have been absolutely destroyed. ge went from 36 usd in 2005 to less than 8 today with very modest volatility over this period and my strategy was still able to ride the wave for a significant profit.




and here are some performance reports for other strategies i have developed:


aapl 2005 - 2018 strategy -"b"-


TradeStation Performance Summary Expand

All Trades Long Trades Short Trades
Total Net Profit $12,931.00 $11,057.00 $1,874.00
Gross Profit $18,415.00 $13,175.00 $5,240.00
Gross Loss ($5,484.00) ($2,118.00) ($3,366.00)
Profit Factor 3.36 6.22 1.56

Roll Over Credit $0.00 $0.00 $0.00
Open Position P/L $5,934.00 $5,934.00 $0.00

Total Number of Trades 30 13 17
Percent Profitable 50.00% 69.23% 35.29%
Winning Trades 15 9 6
Losing Trades 15 4 11
Even Trades 0 0 0

Avg. Trade Net Profit $431.03 $850.54 $110.24
Avg. Winning Trade $1,227.67 $1,463.89 $873.33
Avg. Losing Trade ($365.60) ($529.50) ($306.00)
Ratio Avg. Win:Avg. Loss 3.36 2.76 2.85
Largest Winning Trade $4,676.00 $4,676.00 $1,652.00
Largest Losing Trade ($1,698.00) ($1,698.00) ($1,286.00)

Max. Shares/Contracts Held 100 100 100
Total Shares/Contracts Held 3,100 1,400 1,700
Account Size Required $1,922.00 $1,764.00 $1,568.00
Total Slippage $120.00 $52.00 $68.00
Total Commission $60.00 $26.00 $34.00



aapl 2005 - 2018 strategy -"c"-


TradeStation Performance Summary Expand

All Trades Long Trades Short Trades
Total Net Profit $15,902.00 $17,156.00 ($1,254.00)
Gross Profit $57,321.00 $38,928.00 $18,393.00
Gross Loss ($41,419.00) ($21,772.00) ($19,647.00)
Profit Factor 1.38 1.79 0.94

Roll Over Credit $0.00 $0.00 $0.00
Open Position P/L $1,463.00 $0.00 $1,463.00

Total Number of Trades 684 415 269
Percent Profitable 42.25% 44.82% 38.29%
Winning Trades 289 186 103
Losing Trades 393 227 166
Even Trades 2 2 0

Avg. Trade Net Profit $23.25 $41.34 ($4.66)
Avg. Winning Trade $198.34 $209.29 $178.57
Avg. Losing Trade ($105.39) ($95.91) ($118.36)
Ratio Avg. Win:Avg. Loss 1.88 2.18 1.51
Largest Winning Trade $2,271.00 $2,271.00 $1,291.00
Largest Losing Trade ($1,246.00) ($1,246.00) ($610.00)


Max. Shares/Contracts Held 100 100 100
Total Shares/Contracts Held 68,500 41,500 27,000
Account Size Required $4,002.00 $2,669.00 $4,247.00
Total Slippage $2,736.00 $1,660.00 $1,076.00
Total Commission $1,368.00 $830.00 $538.00





like i initially wrote, i have several (10+) strategies, like these 3 i have showcased, that make money consistently while trying to ride the wave and keeping risk capped, even when evaluated on positions in shares, not options. i can't post so much text and images in a forum as it would require to document these methods extensively, but those are the materials i have been sending by email to the people who have contacted me.



in conclusion, i have been doing a lot of thinking this week and it seems to me that the best thing i can do will be to get a regular job, with the primary objective of getting used to performing consistently during the morning hours again. a number of programmers that have contacted me have assured me that it is possible to automate strategies on options, so i will be leaning on their expertise and learning how to adapt my strategies to much more demanding programming languages like python, c and c#. once i have managed to get used to a daylight schedule again, trading my strategies as a side hustle, either by hand or with a fully automated setup is something that won't be a problem at all.
 
rtw said:
but well, people who don't know anything about automated strategies or rules based trading but still feel like running their mouths could still not be convinced.
More...
Take it easy pal

There is nothing here to be excited about.

Your expectancy per trade is low,understandable you are trading scared at times.
I don't run any tests on stocks,but in futures that number can be from $200 to $1800 per trade with similar number of trades.

Where is max draw down and longest time in a draw down plus average time to recover?
Most of your stats are just a bite and if you had the stats you would be reluctant to post them in the open forum.
 
@rtw how does the system behave across ALL listed equities? Individually testing equities is almost always a bad thing. One notable exception is if you trade on the spread, like with say C in 2009 when the edge was very different from typical timing.

The most symbol fitting I've done in the past 10 years is excluding a sector (oil) when it was too volatile and correlated, causing massive volatility in the portfolio.

Out of the 10 or so strategies you said you have, realistically there's 1 or maybe 2 really good ones. I have a bunch that can show beautiful equity curves on many symbols -- throw the whole market at them and they fail miserably. Totally useless for practical purposes.
 
mr. @ajacobson , i appreciate your comment. however, you must be aware that as i see, your profile is restricted and it is impossible to privately message you.
 
You must log in or register to reply here.
Back
Top