Stable fully automated Macro Strategy

[Jmedon]

Hi All,
This is my first post here. I am frequently read Elite Trader forum for a long time.
I am quant with near 10 years experience in developing strategies on many markets.
After several years I developed robust, fully automated strategy which performs well in many markets.
I would like to show my current macro strategy and REAL LMAX account.
I am run it with 1:10 leverage, after two weeks I have 16.5% profit with open positions.
My plan is to run this strategy minimum to end of the year (10% return without leverage / 100% with 1:10 leverage at end of 2017).
I linked my account to myfxbook with fully detail information (live trades, live orders) see below:

http://www.myfxbook.com/members/JMedon/macro-strategy-lmax-real/2138155

Short description of the strategy:
- It is long-term fully automated strategy
- Based on macro events news.
- Currently strategy trade on 8 markets, (AUDUSD, GBPUSD, USDJPY, NASDAQ, DJIA, EUROSTOXX, OIL, SILVER)
- It is slow long-term strategy, with wide SL/stop orders.
- it make10-15 trades per year depends on specific market.
- Trading on many markets it is the most important due to big diversification and stable profits
- Always long or short position in specific market
- Trading costs (spreads/commissions) are not important due to small amount of trades per year

Historical portfolio plot in percentage return since 2016, out of sample since 2017 (dot).
More than 10% percentage return without leverage in 2017 (4 months):

Intraday drawdown plot. Maximum DD is 2% during but in 2017 it is around 1%:

My future goals:
- Backtest strategy on every possible FX currency and other commodities (expand strategy to trade on 20-30 markets).
- Run intraday strategy with more frequent trades.

I will try to update this thread weekly or at the new portfolio setup.

Do you have experience with long term macro strategies?

Regards
Jakub

 

[globalarbtrader]

Hi All,
This is my first post here. I am frequently read Elite Trader forum for a long time.
I am quant with near 10 years experience in developing strategies on many markets.
After several years I developed robust, fully automated strategy which performs well in many markets.
I would like to show my current macro strategy and REAL LMAX account.
I am run it with 1:10 leverage, after two weeks I have 16.5% profit with open positions.
My plan is to run this strategy minimum to end of the year (10% return without leverage / 100% with 1:10 leverage at end of 2017).
I linked my account to myfxbook with fully detail information (live trades, live orders) see below:

http://www.myfxbook.com/members/JMedon/macro-strategy-lmax-real/2138155

Short description of the strategy:
- It is long-term fully automated strategy
- Based on macro events news.
- Currently strategy trade on 8 markets, (AUDUSD, GBPUSD, USDJPY, NASDAQ, DJIA, EUROSTOXX, OIL, SILVER)
- It is slow long-term strategy, with wide SL/stop orders.
- it make10-15 trades per year depends on specific market.
- Trading on many markets it is the most important due to big diversification and stable profits
- Always long or short position in specific market
- Trading costs (spreads/commissions) are not important due to small amount of trades per year

Historical portfolio plot in percentage return since 2016, out of sample since 2017 (dot).
More than 10% percentage return without leverage in 2017 (4 months):

Intraday drawdown plot. Maximum DD is 2% during but in 2017 it is around 1%:

My future goals:
- Backtest strategy on every possible FX currency and other commodities (expand strategy to trade on 20-30 markets).
- Run intraday strategy with more frequent trades.

I will try to update this thread weekly or at the new portfolio setup.

Do you have experience with long term macro strategies?

Regards
Jakub

I developed and ran some macro strategies for a large quant fund a few years ago. Too correlated with their existing business, so was shut down. Hard area to make money in.

GAT

 

[Jmedon]

I developed and ran some macro strategies for a large quant fund a few years ago. Too correlated with their existing business, so was shut down. Hard area to make money in.

GAT

You made macro strategies in futures or stocks?
How long real trading history this quant fund need to review your strategy?
My strategy is very flexible so I think about cooperate with some hedge funds and provide signal in the future but I need real trade account with good history.

 

[wintergasp]

Hi All,
This is my first post here. I am frequently read Elite Trader forum for a long time.
I am quant with near 10 years experience in developing strategies on many markets.
After several years I developed robust, fully automated strategy which performs well in many markets.
I would like to show my current macro strategy and REAL LMAX account.
I am run it with 1:10 leverage, after two weeks I have 16.5% profit with open positions.
My plan is to run this strategy minimum to end of the year (10% return without leverage / 100% with 1:10 leverage at end of 2017).
I linked my account to myfxbook with fully detail information (live trades, live orders) see below:

http://www.myfxbook.com/members/JMedon/macro-strategy-lmax-real/2138155

Short description of the strategy:
- It is long-term fully automated strategy
- Based on macro events news.
- Currently strategy trade on 8 markets, (AUDUSD, GBPUSD, USDJPY, NASDAQ, DJIA, EUROSTOXX, OIL, SILVER)
- It is slow long-term strategy, with wide SL/stop orders.
- it make10-15 trades per year depends on specific market.
- Trading on many markets it is the most important due to big diversification and stable profits
- Always long or short position in specific market
- Trading costs (spreads/commissions) are not important due to small amount of trades per year

Historical portfolio plot in percentage return since 2016, out of sample since 2017 (dot).
More than 10% percentage return without leverage in 2017 (4 months):

Intraday drawdown plot. Maximum DD is 2% during but in 2017 it is around 1%:

My future goals:
- Backtest strategy on every possible FX currency and other commodities (expand strategy to trade on 20-30 markets).
- Run intraday strategy with more frequent trades.

I will try to update this thread weekly or at the new portfolio setup.

Do you have experience with long term macro strategies?

Regards
Jakub

Very interesting strategy, what does the back test look like if you make it longer?

 

[globalarbtrader]

You made macro strategies in futures or stocks?
How long real trading history this quant fund need to review your strategy?
My strategy is very flexible so I think about cooperate with some hedge funds and provide signal in the future but I need real trade account with good history.

Futures.

You are trading very infrequently so you'd need quite a lot of history. Your backtest is less than 2 years - normally this kind of strategy you'd test it over multiple decades.

Also, to be frank, your historic account curve looks far too good for this kind of strategy and the number of markets. A hedge fund would take the initial point of view that you'd overfitted it.

GAT

 

[Butterball]

70% returns with a max intraday drawdown of 2% while always in the market, i.e. never flat with 15 trades a year across 8 markets? Your alarm bells should be ringing. You made a mistake in your backtest, most likely peeking at future data or aggressively overfitting your system to a short history (18 months).

 

[CurrencyTrader]

70% returns with a max intraday drawdown of 2% while always in the market, i.e. never flat with 15 trades a year across 8 markets? Your alarm bells should be ringing. You made a mistake in your backtest, most likely peeking at future data or aggressively overfitting your system to a short history (18 months).

Why does that seem far-fetched? It's a good system and there are others. At the risk of you calling alarm bells, and I don't want to sound like mine is bigger and better but, PM me and I'll show mine. I don't get why people get so surprised and alarm bells go off. I'm certain there are even better systems, I just think those people don't bother to post about it nor post anything on myfxbook. I suppose they're too busy making money. Fair warning, if you have something against demo accounts, don't PM because it's a demo

 

[Butterball]

Why does that seem far-fetched?

Because markets like Silver/Nasdaq and crude regularly have 4% intraday moves. Yet he claims a max. DD of half that while being invested 24/7.

10% intraday moves are not unheard of if you look at multi-year horizons. You're delusional (or a complete newcomer; or both) if you're hunting after "even better systems".

I don't get why people get so surprised and alarm bells go off.

It's because you're new to this and prefer to build overfitted backtest models that look good in theory rather than trade for a living.

 

[CurrencyTrader]

Because markets like Silver/Nasdaq and crude regularly have 4% intraday moves. Yet he claims a max. DD of half that while being invested 24/7.

10% intraday moves are not unheard of if you look at multi-year horizons. You're delusional (or a complete newcomer; or both) if you're hunting after "even better systems".

It's because you're new to this and prefer to build overfitted backtest models that look good in theory rather than trade for a living.

I guess I didn't consider the pair and whether or not it makes theoretical sense. His myfxbook is showing he's floating profit.

I'm curious if you think my 1:1 risk to reward system on the screenshot is also non-sense.

I'm not delusional nor a complete newcomer. Also not hunting after better systems. Just here to participate and learn a thing or two from the pros in the biz.

 

[Martinghoul]

Why not run your backtest on a larger out-of-sample period which includes more volatile regimes than what you have already? I, for one, would have no interest in any strategy where I can't see its performance in 2008, 2011 and a few other dates.