Is there anyone here who has a consistently profitable automated trading system?
- Thread starter Blitzjoker
- Start date
Absolutely... So if the loss is bigger than the average win, but using a smaller stop would negatively impact the PnL, does this mean many trades end up going into drawdown first before turning around?
And if this is the case, how is it that the algo only puts on roughly 1 trade per day if it's looking for many parameters to line up, and yet it goes against you first.
Don't get me wrong, your PnL is incredible, and if the stats show that average win is much smaller than average loss, and that many winners first go against you, then this is very helpful to be aware of what it takes to win because it goes against the common narrative of cutting losers quickly and making your wins bigger.
No dreams on my part... Just looking for hard facts. I can see how anything he says can easily be a diversion. Heck, many of the hired employees could have also been a smoke screen.Blessed naivety! You have to understand that "trading activity" can be a cover-up for many other "activities" that have nothing to do with actual trading methodologies. Anyway, I am not going to burst your dreams
https://www.afr.com/policy/tax-and-...ns-and-the-us15-billion-trust-20171107-gzg7ql
https://www.nytimes.com/2021/09/02/business/renaissance-irs-robert-mercer-james-simons.html
https://www.theguardian.com/news/20...private-wealth-fund-tax-haven-paradise-papers
...
Can't read most of the links but I get the gist.
Don't take a word from that [Simons] guy. LOL!
Last I checked, Rentec was running > $100 billion, probably more by now. How much AUM are you, after trolling for MM clients here on ET and LinkedIn for the last decade or longer, running?
Are you using a special software for that genetic algo approach ? There are some softwares around that are doing this kind of stuff. Or did they built everything from scratch on their own custom software ? I mean you could do this with Bryant, PhD his Adaptrade software or maybe BuildAlpha software package.
Nice "argument from money" or "from dick length".
Well, the fact that you one would be dealing with, or money laundering, a large sum of $$$ in an armored black box, just reinforces what is obvious to anyone with common sense and minimal knowledge of what can be done by actual trading activity.
It would not make it less likely.
The "argument from money" does not work, or work totally against it. Dick, maybe ...
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The way our dynamic stop losses work is they are recalculated every minute, and barring a sharp spike in price movement against our position, CAN allow an open position to go into a pretty significant drawdown. Hence my earlier comment in another post about periodic drawdowns in the 10% range (though not in a while).
More detail than I planned to post, but for our most conservative "entry level" portfolio of strategies, here are the live trade prices, MaxDD of the open position, and P/L (after fees) per contract traded going back to late May:
As you can see:
- Most trades experience a <1% MaxDD,
- 4 trades experienced a >2% MaxDD,
- With our dynamic SL (which is calculated every minute based on a number of factors including volume, ATR, and other values) you can see that in one instance, we had an open MaxDD of almost 7% that then closed in profit, and yet in another instance, we have a losing trade that stopped out with only a 0.98% MaxDD.
- We have found that using a non-dynamic SL GREATLY reduces ROI/MaxDD, one of our key metrics.
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Thank-you for this. I plan to plot some of these trades over the weekend to get a sense of how you guys are entering to see if what I'm doing matches up in any way. Although I'm sure that even if someone is doing the total opposite, there is a way to make that work as well given the right combination of stop and target. (ie. I often see traders say they like to chase breakouts... My initial reaction is to always fade a breakout, such as a poke above a previous day high, always short that! But as I alluded to earlier, since this simple stuff only ever works 40-60% of the time, I'm sure money can be made no matter what direction you play as long as you have a solid strategy for taking profits or taking a loss)
Since the DD is shown as a percentage (of the account size I assume), can you give me a reference so I can better understand it in relation to your profit? Given that the average profit is around $300-400, what percentage is this? (I plotted the most recent trade and see it went roughly 16 points against you before you got the 8pt profit.... so that gives me a good ballpark figure)
Actually, having gone over some more trades now, I can see that it would be very difficult to come up with any rationale for how the algo is taking the trades. They are generally in the direction of the trend, but the entry criteria doesn't seem to be as precise as what I'm trying to do. (I often find I'm looking for too much perfection, and in the process completely missing the goal of overall profitability) Very interesting to see, but I think your secret is safe!
Thank-you for this. I plan to plot some of these trades over the weekend to get a sense of how you guys are entering to see if what I'm doing matches up in any way. Although I'm sure that even if someone is doing the total opposite, there is a way to make that work as well given the right combination of stop and target. (ie. I often see traders say they like to chase breakouts... My initial reaction is to always fade a breakout, such as a poke above a previous day high, always short that! But as I alluded to earlier, since this simple stuff only ever works 40-60% of the time, I'm sure money can be made no matter what direction you play as long as you have a solid strategy for taking profits or taking a loss)
Since the DD is shown as a percentage (of the account size I assume), can you give me a reference so I can better understand it in relation to your profit? Given that the average profit is around $300-400, what percentage is this? (I plotted the most recent trade and see it went roughly 16 points against you before you got the 8pt profit.... so that gives me a good ballpark figure)
Actually, having gone over some more trades now, I can see that it would be very difficult to come up with any rationale for how the algo is taking the trades. They are generally in the direction of the trend, but the entry criteria doesn't seem to be as precise as what I'm trying to do. (I often find I'm looking for too much perfection, and in the process completely missing the goal of overall profitability) Very interesting to see, but I think your secret is safe!
Keep in mind that, when you see a system perform better with short trades (showing large profits), it is a clear indication of a "look-ahead bias", the most common fallacy of "backtesting".
When actually traded, such systems will quite soon urge you to understand what was actually going on
There was a university professor on LinkedIn showing several charts of systems deeply plagued by that. I can spot that with a simple look at the equity curve, and I attempted to explain it to him.
But sometimes people, still good people in good faith and making an authentic (but naive) effort, really want to believe and dream, no matter your efforts to warn them. They will never believe you, but will rather think you are envious, get offended, and hate you.
In the end, anyone has to make his own journey to understand how the market really works, what is real and what is a delusion, and very few can understand something they are not yet ready to actually "see" (for lack of experience).
It is always the market that is the ultimate teacher and judge.
A quote by Sir Edward Bulwer Lytton says: “The easiest person to deceive is one's own self.”
And he is quite right.
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