It has been a long time since i updated on any of my systems.
I have currently been trading my systems for nearly 8 months now and i thought i would update with some results and commentary.
I started with more strats, but i have removed 4 due to either flat performance or due to being to much as % of my portfolio.
I have added some new strategies which were much more rigorously backtested and all of them are performing very well.
The strats that trade the most have the least risk per trade. Ones which trade infrequently go for the bigger wins and hence have more risk on any given trade.
My aim was to obtain smooth equity curve by combining strategies.
Here is current equity curve (i started only with $10,000 allocated towards trading these) - these results do not include my discretionary trading.
Out of these 8 strats: 1 has performed amazingly, 1 has good gains, 5 have positive gains but many of these are near to flat. One is losing strategy which has to be reworked because i know it can make money but it might have been curve fitted as it was the first automated strat i developed (was not wise about the errors in back testing).
My next step is now to re-work two of these strategies by breaking them down to their simplest form and seeing if they still have an edge over 3 samples of data.
So far i am reasonably happy with the results, all the later strategies developed have performed the best and i think that may have to do with less curve fitting and better ideas.
I think the theme of the market is the most important factor when looking at the results. During the exceptionally low volatility we have had at certain periods over the last 8 months my strats performed the worst (as to be expected). During the volatility spikes they seemed to do very well. Traders need volatility to make money, cannot underestimate this point enough.
I have currently been trading my systems for nearly 8 months now and i thought i would update with some results and commentary.
I started with more strats, but i have removed 4 due to either flat performance or due to being to much as % of my portfolio.
I have added some new strategies which were much more rigorously backtested and all of them are performing very well.
The strats that trade the most have the least risk per trade. Ones which trade infrequently go for the bigger wins and hence have more risk on any given trade.
My aim was to obtain smooth equity curve by combining strategies.
Here is current equity curve (i started only with $10,000 allocated towards trading these) - these results do not include my discretionary trading.
Out of these 8 strats: 1 has performed amazingly, 1 has good gains, 5 have positive gains but many of these are near to flat. One is losing strategy which has to be reworked because i know it can make money but it might have been curve fitted as it was the first automated strat i developed (was not wise about the errors in back testing).
My next step is now to re-work two of these strategies by breaking them down to their simplest form and seeing if they still have an edge over 3 samples of data.
So far i am reasonably happy with the results, all the later strategies developed have performed the best and i think that may have to do with less curve fitting and better ideas.
I think the theme of the market is the most important factor when looking at the results. During the exceptionally low volatility we have had at certain periods over the last 8 months my strats performed the worst (as to be expected). During the volatility spikes they seemed to do very well. Traders need volatility to make money, cannot underestimate this point enough.
