Reasons for failur in automatic trading systems
- Thread starter cohvi
- Start date
Hi cohvi, good thread. Most of my effort is swing trading, but always searching for yet another intraday strategy. I've had 4 pretty good systems, automated.
My definition of a system failure is the obvious, losing money, but in each case the early indicator was Max Consecutive losses on historical backtesting was exceeded. When that happened, I immediately pulled the plug but continued monitoring each of the systems. In each case, these were serious deaths and not just marginal results. I've been without a good system for 3 months, trying to find something comfortable with.
It still amazes me how efficient this market is at extracting money from ya. Ya would think that a system analyzing 1 year of 1 minute data would just about cover all market dynamics. Don't believe it.
Here's a snapshot of my current endeavor, 10 months of 1m data. To standardize, I use 1 ER2 contract. It's actually going Live tomorrow. I'm encouraged, Sharpe Long 3.4, Short 2.79. Not too impressed with the Win Ratio of 40% but it cut's losses quick and rides the trends. We'll see how long this one holds up
.--jeff
Trading systems to me seem to run into the 2 standard deviation theory, make money 19 out of 20 times, then invariably they hit that last 5% and give all the money back, minus commissions. Much like a Martingale system. I also think, that in many cases, the human factor kicks in in and stubborness takes over.
Kevin
Kevin
Too late, ive already found several in OHLC data. Backtests great for 10 years through all market conditions, and has been running live and exceeding backest simulations for over 3 years. (Exceeding because I use large slippage numbers as padding). Beats 99%+ of random testing.
The edges are out there. But the OHLC data is the most data mined data there is and therefore the most efficient. If you can find a remaining edge in OHLC data, you are doing very well. They are very tough to find and get thinner every year.
Ironically, my newest system went live today, full auto. Its based on OHLC data.
Since im still in live testing phase, I dont allow it to use my full fund, and it only takes small positions, 500 shares max to keep slippage down until I can collect real live slippage statistics.
It worked flawlessly, and its first day was good, beating simulated profits. Ironically, it made most of its money the first half of today, going long against the downtrend.
I sorted the profit from winners to losers.
67 trades todays. 65% winners.
Since im still in live testing phase, I dont allow it to use my full fund, and it only takes small positions, 500 shares max to keep slippage down until I can collect real live slippage statistics.
It worked flawlessly, and its first day was good, beating simulated profits. Ironically, it made most of its money the first half of today, going long against the downtrend.
I sorted the profit from winners to losers.
67 trades todays. 65% winners.