Offering auto-trading long-only options system "sys13"

[Raphael]

100 years of forwardtesting:

Setup / Params   : conservative, ie. using less risky params
InitialAV        : 1000000 (ie. 1M)
MaxInitialPosSize: $10k, upto max $25k depending on actual AV
Runs             : 100x forwardtesting 1 year using 1-minute GBM data (ie. simulated data) and max 80 bots, totalling 100 years
The annual results are independent of each other.

    #         PL        PLpct      AV     avgRTT/d  MDDpct
  --------------------------------------------------------
    1     7079612.30   707.96   8079612.30   21.85   -1.81
    2     5923785.42   592.38   6923785.42   20.69   -2.05
    3     6818833.91   681.88   7818833.91   21.02   -4.77
    4     7707676.62   770.77   8707676.62   22.97   -6.64
    5     6306536.06   630.65   7306536.06   20.49   -5.55
    6     7402506.05   740.25   8402506.05   21.73   -2.08
    7     6421807.52   642.18   7421807.52   19.60   -3.50
    8     6698048.31   669.80   7698048.31   20.84   -2.79
    9     6720526.30   672.05   7720526.30   20.88   -4.69
   10     5678735.74   567.87   6678735.74   18.60   -4.05
   11     8629647.43   862.96   9629647.43   21.29   -2.00
   12     6532892.70   653.29   7532892.70   20.40   -1.76
   13     7064098.87   706.41   8064098.87   21.21   -2.37
   14     6467302.00   646.73   7467302.00   20.13   -5.73
   15     6141941.37   614.19   7141941.37   19.41   -3.04
   16     7655298.57   765.53   8655298.57   21.70   -3.34
   17     7254110.92   725.41   8254110.92   21.52   -2.23
   18     5946006.26   594.60   6946006.26   19.22   -4.11
   19     6579499.15   657.95   7579499.15   20.16   -2.14
   20    15565555.65  1556.56  16565555.65   24.21   -2.55
   21     6035354.54   603.54   7035354.54   19.38   -2.79
   22     7077880.79   707.79   8077880.79   21.77   -2.13
   23     5937467.60   593.75   6937467.60   19.05   -3.26
   24     6780222.78   678.02   7780222.78   20.75   -2.07
   25     6213696.11   621.37   7213696.11   19.91   -5.98
   26     6749543.22   674.95   7749543.22   20.10   -2.36
   27     6602897.92   660.29   7602897.92   21.05   -1.88
   28     7744025.93   774.40   8744025.93   22.96   -4.33
   29     6902696.71   690.27   7902696.71   19.73   -2.75
   30     5905292.49   590.53   6905292.49   19.19   -2.02
   31     6682134.91   668.21   7682134.91   20.23   -3.84
   32     5618654.77   561.87   6618654.77   18.98   -2.93
   33     5744518.32   574.45   6744518.32   19.26   -3.03
   34     6974346.24   697.43   7974346.24   20.68   -2.98
   35     6802635.63   680.26   7802635.63   22.15   -2.07
   36     6603454.52   660.35   7603454.52   21.39   -3.24
   37     6496165.87   649.62   7496165.87   21.33   -4.27
   38     7314204.54   731.42   8314204.54   21.77  -13.14
   39     5453109.60   545.31   6453109.60   18.86   -5.15
   40     6450739.30   645.07   7450739.30   21.44   -2.32
   41     6922173.23   692.22   7922173.23   21.81   -2.69
   42     7128564.99   712.86   8128564.99   22.13   -4.09
   43     5957294.67   595.73   6957294.67   18.33   -3.33
   44     6362365.09   636.24   7362365.09   20.54   -3.61
   45     6773122.24   677.31   7773122.24   20.77   -2.39
   46     6889195.15   688.92   7889195.15   21.07   -1.91
   47     6506844.24   650.68   7506844.24   19.60   -3.16
   48     7225741.66   722.57   8225741.66   22.76   -1.77
   49     5790021.81   579.00   6790021.81   19.98   -4.96
   50     6743790.28   674.38   7743790.28   21.03   -5.44
   51     7207566.14   720.76   8207566.14   21.58   -3.09
   52     7082298.59   708.23   8082298.59   21.39   -3.06
   53     5998732.78   599.87   6998732.78   20.71   -4.77
   54     7313818.12   731.38   8313818.12   21.58   -1.81
   55     5410240.75   541.02   6410240.75   19.14   -2.33
   56     7880122.79   788.01   8880122.79   23.29   -2.27
   57     6637636.63   663.76   7637636.63   19.98   -1.75
   58     7095856.47   709.59   8095856.47   22.56   -2.15
   59     6538266.57   653.83   7538266.57   20.59   -3.26
   60     6613773.14   661.38   7613773.14   20.03   -2.49
   61     6392005.48   639.20   7392005.48   20.22   -2.61
   62    12555392.45  1255.54  13555392.45   24.34   -2.67
   63     6830947.93   683.09   7830947.93   21.30   -4.43
   64     7295320.93   729.53   8295320.93   21.83   -3.02
   65     7211281.89   721.13   8211281.89   22.57   -2.88
   66     6002408.30   600.24   7002408.30   20.21   -2.81
   67     7719712.51   771.97   8719712.51   23.52   -3.67
   68     5975617.04   597.56   6975617.04   20.85   -2.42
   69     6255723.95   625.57   7255723.95   19.50   -2.70
   70     8130207.48   813.02   9130207.48   23.52   -2.53
   71     6426603.43   642.66   7426603.43   20.34   -4.01
   72     8060886.37   806.09   9060886.37   23.32   -3.72
   73     5991764.39   599.18   6991764.39   19.25   -2.79
   74     7147973.34   714.80   8147973.34   21.96   -2.02
   75     7717375.18   771.74   8717375.18   22.88   -2.14
   76     6685304.42   668.53   7685304.42   22.16   -3.37
   77     5476166.97   547.62   6476166.97   18.92   -5.33
   78     5639223.34   563.92   6639223.34   19.08   -2.29
   79     5933377.99   593.34   6933377.99   19.22   -2.31
   80     7481486.29   748.15   8481486.29   21.46   -1.91
   81     5340155.65   534.02   6340155.65   18.72   -2.83
   82     7300779.58   730.08   8300779.58   22.57   -2.36
   83     6073970.94   607.40   7073970.94   19.40   -2.29
   84     7754269.89   775.43   8754269.89   22.27   -4.60
   85     7660111.63   766.01   8660111.63   22.15   -2.86
   86     6438420.14   643.84   7438420.14   20.68   -1.99
   87     7117129.01   711.71   8117129.01   20.85   -3.00
   88     6311730.75   631.17   7311730.75   20.21   -2.23
   89     6540129.25   654.01   7540129.25   20.94   -2.82
   90     8025724.45   802.57   9025724.45   22.89   -2.45
   91     5427624.87   542.76   6427624.87   18.34   -2.81
   92     7356334.54   735.63   8356334.54   22.69   -6.62
   93     6555261.14   655.53   7555261.14   20.66   -3.99
   94     7155475.80   715.55   8155475.80   21.82   -4.12
   95     6944955.14   694.50   7944955.14   21.02   -6.05
   96     6919827.87   691.98   7919827.87   22.03   -2.88
   97     6198454.74   619.85   7198454.74   19.91   -2.87
   98     6262273.42   626.23   7262273.42   19.62   -5.03
   99     6774950.74   677.50   7774950.74   20.21   -3.10
  100     6479712.20   647.97   7479712.20   21.86   -3.78

Analysis:
  Mean:   6843269.60   684.33   7843269.60   20.92   -3.28
  StdDev: 1257842.27   125.78   1257842.27    1.36    1.54

You forward tested this for 100 years? You must be pretty old!

Are you sure you don't mean back testing?

This trading system sounds like something that was overfit / tuned to the data set its being tested on. That's data snooping and means your results are invalid.

 

[newwurldmn]

You forward tested this for 100 years? You must be pretty old!

Are you sure you don't mean back testing?

This trading system sounds like something that was overfit / tuned to the data set its being tested on. That's data snooping and means your results are invalid.

it's all done on simulated data. mathematical masturbation.

 

[botpro]

You forward tested this for 100 years? You must be pretty old!

I am ;-)

Are you sure you don't mean back testing?

Yes, I am sure it does forwardtesting; as said using GBM data.

This trading system sounds like something that was overfit / tuned to the data set its being tested on. That's data snooping and means your results are invalid.

No, nothing of fitting or snooping altogether, because the system doesn't know in advance of any data point;
it rather works bar by bar, as was explained in previous postings here.
This is a system with some novel ideas, it's not a simple thing.

 

[botpro]

it's all done on simulated data. mathematical masturbation.

Says someone who seems to have no idea of doing such a forwardtest using GBM.

 

[botpro]

Btw, the average Sharpe ratio is 5.44, avg MDD less than 3.3%, and does about 21 round-trip-trades per day, the results are annual (252 trading days):

Analysis:
  Mean:   6843269.60   684.33   7843269.60   20.92   -3.28
  StdDev: 1257842.27   125.78   1257842.27    1.36    1.54

  Sharpe:       5.44     5.44

 

[Magna]

OK guys, this thread has gone on long enough. The OP has had plenty of time to gather interest here and any further realtime testing/results/discussion will need to take place at a site like Collective2.