Stable fully automated Macro Strategy

[Van_der_Voort_4]

OP,run a back test on 17-20 years of data and at least 8 markets and come back to us.Then reverse data on some years and do out of sample test and shows with a dot years when this happened.

At least you are real person,I kind of think at your previous employers you did long term testing and validation
Cracow nice city,been there few times and University of Economics is a good school from what i heard.I know people at PWC who are former graduates

If something is good people will tell you straight away when they see it.

Best of luck and greetings from Budapest.

 

[Jmedon]

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

On the below portfolio equity since 2007 without leverage, without SL orders so with SL its better results.

On the below market results, the sae like above, without leverage and SL orders.

How you count proportions of specific market in the portfolio?

When I have 8 markets its 12.5% of portfolio per each, but I standarize it by ATR so in real portfolio OIL and XAGUSD have smaller proportions in portfolio.

 

[Jmedon]

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

When you look at one market there are more drawdowns, but when I have portfolio of markets diversification make results much better.

15 trades in one specific market per year it is not too often but this is calculation without SL order. I think in real trading it will be 20-25 trades per year in one market.

I checked several time results so calculations are fine.
I am working on "adaptation" / walk forward test of strategy now, so it will be better analysis.

 

[Jmedon]

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.

More volatile markets have greater draw down but I scale down it use less weight in portfolio.

This is why I started present results in myfxbook and started this thread. We will se how it work in the future.

 

[Jmedon]

OP,run a back test on 17-20 years of data and at least 8 markets and come back to us.Then reverse data on some years and do out of sample test and shows with a dot years when this happened.

At least you are real person,I kind of think at your previous employers you did long term testing and validation
Cracow nice city,been there few times and University of Economics is a good school from what i heard.I know people at PWC who are former graduates

If something is good people will tell you straight away when they see it.

Best of luck and greetings from Budapest.

Hi Van_der_Voort_4,
Thanks for a reply,
I have macroeconomic data since 2007 and intraday market data from IQFeed where historical data starts since 2007-2008 depends on market. Maybe someone know where I can find older macroeconomic data but it must be with hour/minute timestamp without revisions and other updates included in data.

Yes, I made master studies in Cracow University of Economic and will try to start my PhDs studies there.
Unfortunately it is hard to find "quant" job in Cracow so nobody cares about my passion to build strategies and 10 year of experience in the business.

Regards
Jakub

 

[Van_der_Voort_4]

Unfortunately it is hard to find "quant" job in Cracow so nobody cares about my passion to build strategies and 10 year of experience in the business.

This could be a plus side,being isolated you are forced to think on your own,good for creativity

I will refrain from comments about your strategy,i could be a competition some day.
Nice to see people from Eastern Europe doing well

Wish you succeed

Best regards

 

[Jmedon]

Small update.
Strategy actually have 17.5% profit.
In last week made only 1 trade (SL).
I'm preparing out of sample test to show you more realistic backtest.
I'll move to UK vps to have better excecution and latency.

 

[Jmedon]

 

[Jmedon]

Hi All,
In last week my strategy made new equity high 22% profit from start but unfortunately finished on 13% equity profit.

Actual positions:
xagusdm.lmx sell 0.3
xtiusd.lmx sell 0.04
ws30m.lmx buy 0.3
gbpusd.lmx sell 0.05
stoxx50.lmx buy 0.1
ndx100m.lmx sell 0.1
usdjpy.lmx sell 0.05
audusd.lmx buy 0.07

In the next week I will expand my strategy to new markets with new adaptative alghoritm

 

[Jmedon]

Hi All,
At the end of the month strategy has 5.5% profit after 3 weeks of trading.
In the monday I will expand my strategy to new 40-50 markets (!) (new currencies, indexes, commodities), so I can tell that my strategy works on near every market.

On the below I show OUT OF SAMPLE test percentage equity of my strategy since 2008 (include crisis) with around 50 markets in portfolio, with cost and stop orders included.

On the below you can see maximum drawdown plot. You can see that in the further years maximum drawdown is smaller due to longer period of training data.

Last picture is the equity since 2017, you can see stable profits.

I will expand my leverage to 1:15-1:20.

I will trade on markets on the below:

Currencies:

AUDCAD
AUDCHF
AUDJPY
AUDUSD
CHFJPY
EURCAD
EURJPY
EURPLN
EURTRY
EURUSD
GBPCHF
GBPJPY
GBPUSD
NZDCHF
NZDJPY
NZDUSD
TRYJPY
USDCAD
USDCHF
USDDKK
USDJPY
USDPLN
USDSGD
USDTRY
XAGUSD
XAUUSD

Indexes:

LF
MT
FRXEUR
EX
XG
@NQ
@TFS
@YM
AEX

Commodities:

@S
@CC
QCL
QGC
QHG
QNG
QPA
QPL
QSI
@DX
BD

Next steps is to add more and more macroeconomic variables (actually I have 700 macroeconomic variables) and expand it to the new markets.

Do you know best source of historical macroeconomic data ?