Learning profitable automated trading

This is a discussion on Learning profitable automated trading within the General Trading Chat forums, part of the Reception category; The equity curve below is of the automated system I use for my own trading.It was updated yesterday. 134,311 pips ...

Reply
 
LinkBack Thread Tools Search this Thread
Old Apr 19, 2010, 8:13am   #111
Joined Mar 2007
Re: Learning profitable automated trading

oildaytrader started this thread The equity curve below is of the automated system I use for my own trading.It was updated yesterday.
134,311 pips over 7 .5 years of back testing , an average of 17,908 per annum on a 20,000 account.
This equates to an average 88% per annum from 2001 to mid 2008.

Already part of the above strategy is on live trading.

I really do not have to trade manually , when there are 2 computers doing the work for me , 24 hours a day with all the headaches of traders.
Attached Thumbnails
equity-curve.jpg  
oildaytrader is offline Trading arcade or proprietary trading company   Reply With Quote
Old Apr 20, 2010, 2:15pm   #112
Joined Jan 2009
Re: Learning profitable automated trading

This looks impressive, but I have a few questions.

1. How many trades does this entail, and have you included bid/ask/commission/slippage etc.
2. Have you simply divided total return by number of years? If so, that overstates the CAGR.
3. How has it performed since mid-2008, when volatility reached a peak?
meanreversion is offline   Reply With Quote
Old Apr 20, 2010, 2:27pm   #113
 
N Rothschild's Avatar
Joined Oct 2008
Re: Learning profitable automated trading

mean revision its not impressive at all. he is back testing up to 2008, you really think these systems would stand up to todays market? no chance.

any system can be tweaked to create returns from back testing, doesnt mean they work.

i dare ODT to post up actually live trading data with proof, trouble is, it doesnt exist.
__________________
"Let me issue and control a nation's money and I care not who writes the laws." Mayer Amschel Rothschild

Bullsh!t, Bearsh!t all smells the same to me!

"It is not cheap to develop automated systems , mine already cost over $1m. " oildaytrader
N Rothschild is offline   Reply With Quote
Old Apr 20, 2010, 2:39pm   #114
 
N Rothschild's Avatar
Joined Oct 2008
Re: Learning profitable automated trading

check it! just made my own system thats wipes the floor with odt..took all of 5mins!

back tested over a year

7 winning trades, no losses, 120% over a year..wow holy grail...oh no wait i kept adjusting it till it gave me the print out i wanted. shame it doesn't actually work
Attached Thumbnails
eurjpy.jpg  
__________________
"Let me issue and control a nation's money and I care not who writes the laws." Mayer Amschel Rothschild

Bullsh!t, Bearsh!t all smells the same to me!

"It is not cheap to develop automated systems , mine already cost over $1m. " oildaytrader
N Rothschild is offline   Reply With Quote
Old Apr 20, 2010, 3:00pm   #115
Joined Mar 2007
Re: Learning profitable automated trading

oildaytrader started this thread
Quote:
Originally Posted by meanreversion View Post
This looks impressive, but I have a few questions.

1. How many trades does this entail, and have you included bid/ask/commission/slippage etc.
2. Have you simply divided total return by number of years? If so, that overstates the CAGR.
3. How has it performed since mid-2008, when volatility reached a peak?
1 .16344 trades ,profit 133,411 = 8.16 pips per trade after allowing 1 pip slippage, 1 pip sound realistic.2133 trades per annum , using 32 systems = 66 trades average per system , per annum.Average one trade every 4 days.

2..Yes total return is divided by number of years.If compounding is applied to profits reused for bigger positions in a sensible way , returns would actually be estimated 300 % per annum.

3.After July 2008 the data supplier discontinued supplying data. in particular data on cable was discontinued much earlier.Volatility in pips decreased after sept 2008 and any other increase in volatility would be beneficial to the above systems, they trade wide stops and higher profits.

The worst years for trading these systems were 2,002, 2005 and 2007 i.e patches of low volatility.They do very well in high volatility periods.

O D T
oildaytrader is offline Trading arcade or proprietary trading company   Reply With Quote
Old Apr 20, 2010, 3:04pm   #116
Joined Mar 2007
Re: Learning profitable automated trading

oildaytrader started this thread
Quote:
Originally Posted by N Rothschild View Post
mean revision its not impressive at all. he is back testing up to 2008, you really think these systems would stand up to todays market? no chance.

any system can be tweaked to create returns from back testing, doesnt mean they work.
Systems designed by morons optimise on historical data, systems designed by traders to trade their own money look for a robust system to stand the test of time.
oildaytrader is offline Trading arcade or proprietary trading company   Reply With Quote
Old Apr 20, 2010, 3:07pm   #117
Joined Mar 2007
Re: Learning profitable automated trading

oildaytrader started this thread
Quote:
Originally Posted by N Rothschild View Post
check it! just made my own system thats wipes the floor with odt..took all of 5mins!

back tested over a year

7 winning trades, no losses, 120% over a year..wow holy grail...oh no wait i kept adjusting it till it gave me the print out i wanted. shame it doesn't actually work

7 trades ,you really are a 14 year old in a man's world.Please grow up.

Put it on test through the most difficult trading years and then post.
oildaytrader is offline Trading arcade or proprietary trading company   Reply With Quote
Old Apr 20, 2010, 3:12pm   #118
 
N Rothschild's Avatar
Joined Oct 2008
Re: Learning profitable automated trading

"Put it on test through the most difficult trading years and then post. "

says the man who doesn't back test past 2008, Jesus you crack me up. how anyone can take this guy seriously is beyond me.

im gona publish a book of all your "shoot myself in the foot" posts i think
__________________
"Let me issue and control a nation's money and I care not who writes the laws." Mayer Amschel Rothschild

Bullsh!t, Bearsh!t all smells the same to me!

"It is not cheap to develop automated systems , mine already cost over $1m. " oildaytrader
N Rothschild is offline   Reply With Quote
Old Apr 20, 2010, 3:12pm   #119
Joined Mar 2007
Re: Learning profitable automated trading

oildaytrader started this thread Here are the trades to calculate sortino , sharp and other dd ratios.
Attached Files
File Type: xlsx currencies.xlsx (459.9 KB, 71 views)
oildaytrader is offline Trading arcade or proprietary trading company   Reply With Quote
Old Apr 20, 2010, 3:13pm   #120
Joined Mar 2007
Re: Learning profitable automated trading

oildaytrader started this thread
Quote:
Originally Posted by N Rothschild View Post
"Put it on test through the most difficult trading years and then post. "

says the man who doesn't back test past 2008, jesus you crack me up.

Cant have a sensible debate with you?
oildaytrader is offline Trading arcade or proprietary trading company   Reply With Quote
Reply

Thread Tools Search this Thread
Search this Thread:

Advanced Search

Similar Threads
Thread Thread Starter Forum Replies Last Post
Is learning the trading business like learning any other business? Joe Ross General Trading Chat 1 Sep 11, 2010 9:17am
Learning tool - Time lapse Trading fibonelli First Steps 1 Sep 17, 2008 10:09pm
Any swing trading learning links please altrade2win Discretionary Trading 9 Jun 9, 2008 9:40am
Day trading is definitely more profitable and safer than Swing / Position trading victor123 General Trading Chat 75 Mar 16, 2008 7:47pm

Currently Active Users Viewing This Thread: 1 (0 members and 1 guests)