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

[newwurldmn]

Please see my previous posting (params used etc.).
Of course there is no way to systematically extract profits.

You are selling a system that systematically extracts profits.

 

[botpro]

Is that the time frame for decisions is based on 1-second bars?

What's the maximum days for a trade? 8 days ? 10 days?

In the tests, the minimum decision time is 1 bar. Since a bar in these tests is about 30 seconds, it follows that the shortest decision time is every 30 seconds.
But as said: one can decrease the bar time upto 1-sec, but then things take very long.
From a mathematical point of view it should not make much difference.
OTOH: the shorter the timeframe, the more is possible.

Each bot trades independently of the others, but they report after each bar their result.
The master (ie. system) coordinates the risks of the bots.
The bots reach their targets in about 5 days on average. This is highly dependent on the input params.
Of course the shorter this time is, the better it is.

 

[botpro]

You are selling a system that systematically extracts profits.

Hmm. you are taking this statement out of the context it was meant.

 

[botpro]

My point was that in year like 2008-2009, correlation was extreme and most likely your 5% DD target would look more like 35%. You yourself said that your model assumes normal markets and in normal markets, the correlation is much less.
It's the harsh market conditions that decide how good the system is.

I'm curious, why won't you test your method yourself using a smaller sum of money. As a programmer you probably have solid savings and could attract capital easily outside of ET if you have done your stuff properly.

In GBM harsh market conditions occur as well, and I spent much time to find a solution for this problem. Finally I solved it. But the difference is: it was single tickers who fall big, not all tickers at the same time, ie the whole market.

I would not offer this system if I only had the play money myself. So I need to find capital.
I thought this offer could be a good solution to the problem.

 

[newwurldmn]

Hmm. you are taking this statement out of the context it was meant.

I don't know what other context to take your statement. Unfortunately you are convinced that your system is not flawed. Good luck finding someone to lease it. More likely you will waste a lot of your time on something obviously wrong.

 

[OddTrader]

In the tests, the minimum decision time is 1 bar. Since a bar in these tests is about 30 seconds, it follows that the shortest decision time is every 30 seconds.
But as said: one can decrease the bar time upto 1-sec, but then things take very long.
From a mathematical point of view it should not make much difference.
OTOH: the shorter the timeframe, the more is possible.

Each bot trades independently of the others, but they report after each bar their result.
The master (ie. system) coordinates the risks of the bots.
The bots reach their targets in about 5 days on average. This is highly dependent on the input params.
Of course the shorter this time is, the better it is.

What's the maximum days for a trade? 8 days ? 10 days? Perhaps a distribution chart would be useful.

When a system can make decisions every 30-second, that means many of 30-second trade is possible.

I would think the maximum days for a trade must be very large, in order to produce an average 5 days per trade.

 

[botpro]

Something isn't right if you are able to algorithmically beat a random price sequence where the expected value should be zero.

According to the blacksholes framework, the E() should be zero. You are saying you can earn 1000% / annually by timing the random data where volatility = time decay of your options. This is impossible. There has to be a bug in your system.

Sorry, I can't give you a satisfactory answer. I just know it is very well possible.
According to your logic there should be not a single entity that makes some profits,
ie. an equilibrum in the markets, but this is not the case as you know.
Maybe take this example: you have say 50 tickers in your basket, each deviates up and down say 2% daily.
Now imagine you can capture say 1% every x days or so from most of them...

 

[botpro]

What's the maximum days for a trade? 8 days ? 10 days? Perhaps a distribution chart would be useful.

I'll try to make such a distribution table/chart, but will take some time, maybe tomorrow.

When a system can make decisions every 30-second, that means many of 30-second trade is possible.

True, but an instrument doesn't necessarily move much in that time.

I would think the maximum days for a trade must be very large, in order to produce an average 5 days per trade.

Not necessarily. If it really takes longer, then it closes this pos and tries another ticker
(BUT: it carries over the losses to the new pos...
As said: it tries to detect and avoid flat markets, ie. if a ticker does not make any movements over a period.

 

[OddTrader]

I think a simulation of trades based on minimum funding requirement would be interesting!

Good luck!

 

[marketsurfer]

Why don't you test this on actual market data?