Trading Blog Coming Soon

• 11/21/2019 at 11:48 AM #113311
  deletedaccount100622

  Just as an FYI I am building out a prorealtime trading blog with articles on how I build and use strategies etc and will be posting results of the strategies and portfolio results over time

  It should be ready for the 1st December

  Do anyone have any ideas for topics that they would like to see discussed?

  Thanks

  Ruark

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  Curre68

  

  deletedaccount100622

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  11/21/2019 at 2:21 PM #113320
  Edmond

  Hello Robo Futures Trader,

  Cool project! I’ll read your blog with great interest!

  Some random ideas :

  – what makes you decide to run live a strategy?

  – in your opinion, what characteristics contribute to make a robust strategy and do you run any test robustness?

  – if relevant : your favorite timeframes? according to your nickname, you seem to trade futures, what makes you trade futures instead of cfd?

  – do you trade markets like materials? if yes which one and why?

  – if you use any fliter, what are your favorites, for what kind of strategies/markets?

  Have a nice day!

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  11/21/2019 at 10:23 PM #113371
  jebus89

  Heres some topics i would have loved to read more about:

  Whats your thoughts on mean reversion vs trend following in general? Do you think all markets are more one then the other?

  How do you personally diversify your portfolio of strategies?

  How many strategies are enough strategies?

  How many of the same type of strategy can you have in the same market? An analysis of the correlation of different systems “doing the same thing” in the same market. Can it be done? (for example 3 different mean reversion strategies in daily timeframe S&P 500, too much/not enough?)

  Have you calculated the correlation between your strategies and if so, what are the numbers and whats your take on those numbers?

  Different portfolios for different timeframes? (Can you mix a 15m strategy in the same portfolio as a daily strategy? Obviously the average holding time would be very different.)

  Stocks vs forex vs indicies. How and why do they behave differently.

  Why some things work in 1 market but not in others

  How big institutional traders trade

   

  Hoping that whatever you decide to talk about contains reflection on your own experience, but also research and good source material! I also think transparency and honesty is very important! Good luck 🙂

   

  Edit: Almost forgot an important point! Ive been struggling alot lately trying to figure out how to construct the most optimal portfolios! Would love some knowledge and research done on that point! Theres so much to think about and im kind of paralyzed just trying to wrap my head around it. Im thinking about all the things you need to consider: Timeframe, market, holding time, risk/reward, amount of daily/weekly/monthly trades, max drawdowns, correlation, sharpe ratio -> the portfolios sharpe ratio… The list goes on! Btw if anyone reads this and got tips on how to construct a good portfolio of strategies, please let me know hehe.

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  11/21/2019 at 10:37 PM #113373
  Vonasi

  jebus89 wrote:

  how to construct the most optimal portfolios! Would love some knowledge and research done on that point! Theres so much to think about and im kind of paralyzed just trying to wrap my head around it. Im thinking about all the things you need to consider: Timeframe, market, holding time, risk/reward, amount of daily/weekly/monthly trades, max drawdowns, correlation

   

  Maximum expected draw down for any one strategy is the big deciding factor as to whether to go live or not with it – can you afford to run it? If you have mega bucks to risk then big draw down is not an issue. If you are starting with a just a few thousand then you have to compare your risk of losing it all (how much draw down and how often in back tests – then double that!) compared to your potential reward – if it all goes well and drawdown does not wipe you out then do you make more than you could get elsewhere in a less risky investment?

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  11/22/2019 at 8:31 AM #113385
  jebus89

  @Vonasi i hear you! But im currently running 18 strategies, and i would want to optimize a portfolio of the least correlated strategies, so when 1 strategy fails, another wins that same day (i dont have any -1 correlated strats hehe sadly)

   

  And within that portfolio you need to think about stuff like i mentioned, max drawdown, avg holding time, avg amount of trades etc.

   

  Like i got a few Daily strategies. They dont take trades as often as a 1h strategy and the avg holding time can be from 5-20 days! Thats a whole other ballpark than an hourly strat taking trades almost every day with avg holding time like 8 hours. Maybe i should have 1 account running daily strategies only and one running the 1h timeframes. etc.

  

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  11/22/2019 at 12:04 PM #113408
  deletedaccount100622

  Hi Jesus

  The topic you highlight is one that I have on my articles list as it was something that I really struggled with, fortunately I bumped into Kevin Davey and Derek Wong who helped give me a framework for my trading, the sites has a framework but not much content yet besides resources I have collected but this my help https://robofuturestrader.com/the-qaunt-trading-podcast-that-brought-it-all-together-for-me/

  I don’t really worry about drawdowns anymore, I use a portfolio of diversified strategies, allocate capital such that the strategy has enough cash to pay for the margin plus 75% of the max drawdown from back testing. I also use money management rules such that the system will turn itself off when the drawdown portion of the capital is gone. Generally I found that if you are worried about drawdowns you are trading too big of a size and with money that you can’t afford to lose. It is always really nice though if you are green from the get go and have a buffer of prfoti to drawdown into

  Plus it can be more complicated if you take the attached chart of the daily open straddle system from the strategy library, it has made £865 and only ever been £50 underwater but peak to trough has a drawdown of nearly £1,800. So which drawdown matters? Being green as a system or the drawdown when the system was live? Would you find the £1800 tolerable?

   

  

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  11/22/2019 at 3:29 PM #113427
  jebus89

  Re-listened to the podcast episode you mentioned, i absolutely agree in the way of thinking when talking about a portfolio of strategies. When it comes to drawdown and the example you mention i think its paramount that the -1800 drawdown is included when your talking about max drawdown within a system. If your system (live or not) is down -1800 at a point of time, and your other say 5 systems are also facing a large drawdown at the same point of time you could be margin called and game over. Of course this depends on your account size and trading size.

  When i am thinking about constructing a portfolio i think its very important to look at the correlations of drawdowns to try to put together a portfolio of strategies that in history at least have gone into drawdown at different points in time.

  Every system sees periods of drawdowns, and at least for me, backtests show that they usually come when the underlying market is doing the same thing as it was doing during the last drawdown period. For example looking at a trend following system, the drawdown periods are usually biggest when the market is very choppy and trending downwards. In a mean reverting system, the drawdown periods are usually in a trending market with few reversals.

  I would argue a portfolio consisting of 1 mean reverting + 1 trend following system, in the same market, using the same timeframe, would most probably give you a very diversified drawdown correlation and therefore give your portfolio a very even equity line with few major drawdowns. In my eyes this is very important because it allows you to take bigger risk and allocate more capital to each trade. But at least for now i do not have the luxury of having multiple different strategies in the same markets at the same timeframes, so im forced to try to calculate the correlations and other statistics to try to construct a portfolio with little volatility and as small as possible max drawdown. I havnt really been successful so im currently just running all my strategies in 1 big “portfolio” i guess you could call it.

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  11/23/2019 at 11:00 AM #113466
  bullbear

  @jebus89

  A little curious about which of your algos has the lowest timeframe.

  I have long tried to make an algo with timeframe for 1 minute, mainly because I want as active algo as possible.

  Don’t have as big an account as you have (you have 18 algos live I read)

  There are some difficulties with a low timeframe as you know.

  Optimal for my part would be to have an algo that has TP of ex 15 points and SL at the same.

  If you release algon on DAX or DOW you can get 5-10 trades / day.

  Do you consider it more or less impossible with TF in 10-30 sec.

  Now I don’t stick to the topic of the thread maybe but ….

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  bullbear

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  11/23/2019 at 2:28 PM #113473
  deletedaccount100622

  I have no doubt that this is not the best/most efficient way to do it but it is the way that I do at the moment. For correlations some are obvious so a volume breakout and ATR strength are going to have the same triggers just through a different measure, you also have correlations between indicies that are global sentiment and for example if the Euro weakens the Dax usually rises

  One example of analysis that I did undertake beyond just monthly P/L was with some code I picked out of the library for the Grinder and for Donchian channel reversals, following some modifications I had a new Grinder 5 minutes EUR/USD and Donchian Channel Reverse Strategy that worked well on 5 minutes and 2 minutes. I found that with the varying time frame if the market was trending the 2 and 5 minute Donchians would synchronise but if it was mean reverting the 2 minute tended to act as a hedge to the 5 minute, however with the size I was trading at the time this could have led to 15 contracts being active at once all trading in the same direction

  So I built and Excel sheet that had a row per day and 5 columns for each strategy (5 trades per day was the most taken) I then summed the P/L from the strategy and the overall P/L of the three combined

  Following this i compared the correlations of P/Ls and th performance of the three combined

  It look a while as I could not find a way to easily export the trades (I keyed the from the report of the back tests) but it gave me a really clear insight into how they performed together on a daily level and the performance, by adding a formula for size  in further columns I could vary the relative sizes of the strategies to minimise drawdown etc

  

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  11/23/2019 at 11:43 PM #113491
  jebus89

  @bullbear my lowest trading timeframe is 30 min, i have a couple of profitable algos on 15m as well but im not trading them for the moment. A very low timeframe is indeed hard to trade, alot of noise, alot of chaos and crazy trading. its hard to discover trends and mean reversion trades before its too late. Ive found 15m to work if i make the trading time “short”, like 8-12 hours max. For me at least, “night time” trading signals are more chaotic than trading during open hours. I dont actually have a big account btw, i just trade small contracts. Some of the systems are daily timeframe so they dont trade that often, therefore they dont need alot of capital allocated on a day to day basis. If i where to give myself some advice i would say that im overtrading a bit. If everything goes to shit and every system goes into deep drawdown at the same time im kind of screwed. At the same time im active in 4 different indicies, 2 different forex markets and using 4-5 different timeframes i feel like its quite uncorrelated.

  My worst drawdowns happened october 2018 during the huge drop in most indicies, in fact i went “live” with all my strategys like 02. october, just days before the biggest drop. I was down roughly -35% total portfolio at the worst point, and this was right after the huge volatility and market swings we saw in februar 2018 when i was running 5-6 systems and already was having a hard time trying to stay true to my systems! That was rough but im honestly very glad it happened! Im still fairly new to this game and seeing these huge downturns in the markets, combined with volatility we havnt seen since 2008 and 2016 made me terrified. Luckily tho i can say that most of my systems actually survived that acid test!

  When i see voaltility spikes in the markets now it just feels so much easier to handle compared to what it felt like before that 2018 october drop. It feels like i can have more confidence in my systems as well as confidence in my process of how i make the systems. I try to build all my systems to be able to face anything from a huge -20% drop to a flat choppy market and huge uptrends. The drawdowns i saw back then was more or less exactly what i expected to see, when i was looking at what the markets where doing.

  My point to all of this is that i think its a blessing that i activated all my systems in october because even tho this was my worst drawdown period, i had profitable systems in this period as well! Had i not had any profitable system my drawdown would have been even worse, maybe even above -50% which is pretty close to game over. The uncorrelated systems in the portfolio actually might have saved me.

  Sorry if this was off topic.

  
  @Robo Futures Trader i think i understand what you mean and i have a software that kind of does the similar thing, i can look at weekly changes in equity per algorithm and i can use that change to calculate the correlation between all the systems from week to week or month/quarter/half year/year. As i mentioned before i think this is very important when it comes to constructing a portfolio that should be able to handle ups and downs and tries to smooth that line as much as possible.

  

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  11/24/2019 at 11:09 AM #113494
  deletedaccount100622

  Hi @Jebus89 I will expand on this in a fuller article but if I understand you correctly do you have all of your systems running all of the time with some being mean reverting and others being trending systems and the hedge each other?

  I used to do that but found that although you had a smoother curve you were accepting that in a set of market conditions that you would lose money on one system type but make more on the other ie if the market is trending the trending system would lose money but the mean reverting system would lose money. The approach that I changed to was for systems that would outperform in either mean reverting or trending market conditions I added indicators so that they would only trade in those conditions taking the optimal trades rather than both trading and making a gain but expecting that one system would generate a loss

  

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  11/24/2019 at 7:11 PM #113514
  bullbear

  Thanks for a very detailed answer 🙂

  I also find it very difficult to get to an algo that performs well with short TF.

  However, I am determined to make it work.

  It may help with the PRT V11. But you have your own head to think with too 🙂

  It is not always necessary to have 10 years of backtesting to find a successful strategy.

  I myself Scalps manually DAX on 100 tick TF.

  An important help for me is of course the order book which an algo cannot take into account but what I mean is a bit so if you have a strategy that works manually on 1 min TF then you can make it work auto also if you get to TP and SL in a good way.

  If you know from the beginning that the strategy works manually you do not need 10 years of back testing, therefore I think you should be able to get a 1 min algo to work.

  

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  12/16/2019 at 2:25 PM #114982
  deletedaccount100622

  Hi Guys

  Sorry for the delay in updating this post

  The Alpha Portfolio is now better than ever and trading live, I will probably be turning the systems off between the end of the week and the New Year due to the volatility I saw last year

  For regular updates of blog posts, articles and progress reports on the Live Alpha portfolio and in development Beta portfolio please sign up for the newsletter using the link below

  I will be working on automated trading and the website full time in the New Year and hope it will bring value to you and answer the illusive question of does anyone make money on this and if so how

  Thanks

  Ruark

  https://robofuturestrader.com/newsletter-sign-up/

  

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