Improving an automated system

This is a discussion on Improving an automated system within the Trading Systems forums, part of the Methods category; Originally Posted by tomorton Just to say a 25% annual return is not to be sneered at - assuming no ...

Reply
 
LinkBack Thread Tools Search this Thread
Old Jul 19, 2017, 10:40am   #9
Joined Jun 2011
adrianjm started this thread
Quote:
Originally Posted by tomorton View Post
Just to say a 25% annual return is not to be sneered at - assuming no serious DD as stated above.

If you only invested $10k, after 8 years you're getting back more than your $10k in profit if you compound all gains to that point. Another 3 years of compounding and you're getting back over $20k a year.
Yes. 25% for an automated, 5 minute-a-day system is good imo. Probably why I have invested those 5 minutes every single day since 2014!
__________________
"Visible information and Opportunity are inversely related"

- James Dalton
adrianjm is offline   Reply With Quote
Old Jul 19, 2017, 10:41am   #10
Joined Jun 2011
adrianjm started this thread
Quote:
Originally Posted by ImranQ View Post
adrianjm, have a look into equity curve trading. That may help you get a better overall equity curve and avoid massive drawdown.
Are you using intraday or daily data?
I have never been much of a fan of trading my own equity curve. Perhaps I am not doing it right, but like any MA system, it lags too much to be useful.

I trade EOD
__________________
"Visible information and Opportunity are inversely related"

- James Dalton
adrianjm is offline   Reply With Quote
Old Jul 29, 2017, 8:05pm   #11
 
Quantt's Avatar
Joined Jul 2017
If you tested everything properly and you are making double digit returns, next step is to get as much money you can and put into your own system, 2nd mortgage (interest rates are very low and much lower than your profits), friends and family members, you should be able to get 6-7 digit account for trading...
__________________
"If you don't find a way to make money while you sleep, you will work until you die." Warren Buffett, CEO of Berkshire Hathaway.

My number 1 trading rule: EDUCATE YOURSELF!

Before you trade even single penny on the stock market, please spend the time and educate yourself by back testing different trading strategies and ideas - go to eBay and search for "historical stock market data", you can buy 20 years of data for less than $100 - that's all you need to start.
Quantt is offline   Reply With Quote
Old Jul 30, 2017, 2:24am   #12
Joined Jul 2015
Quote:
Originally Posted by Quantt View Post
If you tested everything properly and you are making double digit returns, next step is to get as much money you can and put into your own system, 2nd mortgage (interest rates are very low and much lower than your profits), friends and family members, you should be able to get 6-7 digit account for trading...
And if you read the thread properly you would realize that the whole issue here is with gaining full confidence in the system. Gradually increasing risk is the way to go.

Going as big as possible all at once is only good if you want to start breaking your systems rules because you aren't prepared for drawdowns orders of magnitude greater than what you are used to. Seriously...this is your advise to him?
Dr. Toad is offline   Reply With Quote
Old Jul 30, 2017, 2:49am   #13
 
Quantt's Avatar
Joined Jul 2017
Quote:
Originally Posted by Dr. Toad View Post
And if you read the thread properly you would realize that the whole issue here is with gaining full confidence in the system. Gradually increasing risk is the way to go.

Going as big as possible all at once is only good if you want to start breaking your systems rules because you aren't prepared for drawdowns orders of magnitude greater than what you are used to. Seriously...this is your advise to him?
I said precisely if you tested the system properly which implies live with real money, once you are confident you should go full force, why would you start to break it if you have confidence in it? If you don't have confidence you should go back to the testing board...
__________________
"If you don't find a way to make money while you sleep, you will work until you die." Warren Buffett, CEO of Berkshire Hathaway.

My number 1 trading rule: EDUCATE YOURSELF!

Before you trade even single penny on the stock market, please spend the time and educate yourself by back testing different trading strategies and ideas - go to eBay and search for "historical stock market data", you can buy 20 years of data for less than $100 - that's all you need to start.
Quantt is offline   Reply With Quote
Old Jul 30, 2017, 3:21am   #14
Joined Apr 2016
It's not possible to gain full confidence. The market is controlled by people you have no influence over.

Going large increases the incentive for those people in control. Then they have more reason to come grab your money.

Market is about taking risk. If you want more, you'll just have to put in more money. There is no guarantee. If you can't handle the uncertainty, then you are better off not be in the market.

Is lack of confidence coming from past experience of system failure ? A curve fitted system will fail at some point. The stocks have been in a long steady up trend for the past few years. The fitted curve will fail when the trend stops.
EnlightenedJoe is offline   Reply With Quote
Old Jul 30, 2017, 8:00pm   #15
 
2 Posts
Joined Dec 2005
Adrian,

1. It seems you have had only 2-3 years of testing period in your equity curve. For me that is too short to have enough confidence, even for a 5min daytrading system. Please try to include the market from at least 2002, then we can see how the system performs during the volatility drought (2003-2006), the financial crisis, and the Fed-pumped bull market. Longer is better. If you are going to adjust its parameters every few months, you are prone to overfit the system because you are introducing more variables (e.g., the interval of re-optimization) which is hard to justify.

2. A suggestion: I assume you are trading emini S&P futures (ES), have you tested with similar markets like EMD, TF, YM? The system should be at least profitable in similar markets if the edge is not market-specific.

Just my 2 cents.
gong22715 is offline   Reply With Quote
Reply

Thread Tools Search this Thread
Search this Thread:

Advanced Search

Similar Threads
Thread Thread Starter Forum Replies Last Post
Automated System┐ horace Forex 6 Jul 29, 2010 9:21am
Any successful automated system out there? pelefoot Forex 2 Sep 29, 2005 12:39pm
Automated System Development rogerha Trading Systems 10 Apr 5, 2005 6:46pm

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