That particular strategy has a maximum open position of 2 E-Mini contracts. It's portfolio basis (cash in the account we expect in order to trade any multiple of this strategy) is $40K for a margin account (we require enough cash in the account to MORE than weather the occasional drawdown, or if broker margin requirements increase. You could technically trade this strategy with <$30K currently, but we calculate DD and ROI at the portfolio level of $40K per multiple). So you can calculate DD $ (and P/L %) from that.
Is there anyone here who has a consistently profitable automated trading system?
- Thread starter Blitzjoker
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That particular strategy has a maximum open position of 2 E-Mini contracts. It's portfolio basis (cash in the account we expect in order to trade any multiple of this strategy) is $40K for a margin account (we require enough cash in the account to MORE than weather the occasional drawdown, or if broker margin requirements increase. You could technically trade this strategy with <$30K currently, but we calculate DD and ROI at the portfolio level of $40K per multiple). So you can calculate DD $ (and P/L %) from that.
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
Hi, not sure if you're just waxing philosophical, or referring to the specific trades I posted, but just so we're on the same page, everything I'm posting is live, not backtesting...
Hi, not sure if you're just waxing philosophical, or referring to the specific trades I posted, but just so we're on the same page, everything I'm posting is live, not backtesting...
Just general trading philosophy, chris.page,
I did not look at all your trades.
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Chris, there's a discussion going on another thread about how great SMA's are.
https://www.elitetrader.com/et/threads/sma-is-my-favorite.375407/
My humble opinion, they are nigh on useless like using a 20MA or 200 MA etc, however they can be used unconventionally in coding which is something I do.
https://www.elitetrader.com/et/threads/sma-is-my-favorite.375407/
What are your thoughts on using MA's for trading and possibly predicting.
My humble opinion, they are nigh on useless like using a 20MA or 200 MA etc, however they can be used unconventionally in coding which is something I do.
Well, that MA thread was a painful thread to read, but my experience (and application) with various MA's types is we use them for confirmation of generated signals, but NOT for signal generation itself. For example, one of our strategies has a safeguard in place that says, if the strat (using non-MA TA) generates a long signal, the signal is only allowed if our modified VWMA Trend function is trending Sideways or Up. That VWMA Trend function can block a long signal if the Trend is Down.
Using this VWMA Trend function as signal entry validation reduces our average per trade drawdown and increases our ROI/MaxDD ratio.
I think MA's have a place in signal validation, but less so in signal generation. Just my two cents worth. I'm sure SOMEONE is doing successful TA trading using primarily MA's, but again, I think if winning over time was a simple as combining 2-3 MA indicators, that EVERYONE would be doing it.
%%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.theguardian.com/news/20...private-wealth-fund-tax-haven-paradise-papers
...
TRUE.
But i'm sure his CPA or any with common sense would have a good tax plan.
Much more common is a business that requires more discretion; actually his[JS] business required a lot of discretion + years to set it up.
So I have to ask another question.
ANYbody here that has not done or @ least observed many, many businesses that profit with discretion?? Hint= drive down main street, in any city, or county
{90% win rate ? Easy to get 100% with small sample also, maybe less than 90% with time}
Hey there Murray, I'm assuming you're taking about the results I posted recently. I don't actually get hung up on win rate, as it is easily manipulated, which I covered in an earlier post:
"While we do have an almost 90% win rate, that is largely due to tight take profit targets. It is super easy for me to destroy our win rate, all I need to do is either a) get greedy with our take profit targets, or b) overtighten our stop loss exits/tolerance. Our tuning is a balancing act between the two to achieve (among other metrics) the best ROI/MaxDD ratio we can."
Also, your idea of a "small sample" must be different than mine, as our current win rate (around 88%) is since going live with 100% automated trading in May of 2022.
Since then (as we're currently up about 6% for Aug) we have returned right about 150% ROI to our clients/investors. that's not hypothetical or backtesting, that's live run forward on Interactive Brokers accounts (see multiple IB screenshots in an earlier post). And all of our trading is 100% automated.
I didn't post any of that to solicit clients (my real life job/company is nowhere on here), but rather, to demonstrate that "a consistently profitable automated trading system" IS possible.
I'm only here to share some general experiences and thoughts (I spent close to four years figuring out a thousand ways to NOT sustain profitability with an automated system) with others trying to do the same.
%%
ACTUALLY i got that 90% from Noah's note here ;
but thanks for noting it. 88% =almost the same LOL.
NOT sure if the ''small sample '' would be different from yours @ all;
since I'm [reasonabley]sure you did a lot of testing, ''4 years +'' before posting the 2022 results ,IBKR........
Congrats on your discretion on an auto system JAN 23 %; major trend change in SPY.
EASY to misunderstand someone one , for example ,TA is study of price + volume.
ANY business or exchange requires price + volume. LOL.
So would not have to study that, LOL WSJ did something about monkeys throwing darts@ stocks=joke.
Frankly 88% is long term average of SPY[S&P 500, 50 years ], JAN forecaster in Stock Traders Almanac; so no, i did not mean, or mean to imply that was not a helpful number =88%
Out of curiosity Chris, I'm curious to ask why the PnL of these trades is considerably less than the $19k day you posted a week ago. I'm guessing the answer is likely that its a different algo since you mention these results are from the "entry level" portfolio, so then I would like to follow up with how are the stats of the algo that made 19k?
Further, what would the 19k profit algo be doing different? If the essence of the AI system was simply to let it try millions of combinations of indicators, how would it arrive at an entry level one, but also a much superior one? Perhaps the one that is aggressive and made 19k has a smaller win rate or a bigger drawdown?
Just trying to figure out the differences between the different systems and the strengths/weaknesses. After going over the trades you posted, they are slow enough that I doubt they would be liquidity constrained. So a 90% winning system would I imagine be perfect for trading 50 or 100 contracts, and hence I wonder why the need for different systems. If this entry level one was able to make roughly $300 per trade, and trades about once per day, how does this compare with the system that made 19k? Thanks!
Simple, the trades I posted was an account that only trades one contract at a time. That $19K day you saw is for an account that trades a maximum of 23 contracts with I think close to $700K in it currently. Big difference.
Also, the "one contract" account is our most conservative PnL simply because, trading one contract, there's no possibility to scale into and out of positions. Trading a larger number of contracts allows our system to use tiered exit targets from conservative (what you see in the one contract account) to aggressive. One entry can have 3-5 profit target exits if the trade quantity allows it.
Lastly, that $19K day, around 3% ROI (also in that screenshot), is obviously not an average day, or the monthly ROI I'd be reporting would be closer to 50-60%, not 5-15%...