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Trading: Primarily Energy but also a little Equities, Fixed Income, Metals, U308 and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,060 since Dec 2013
Thanks Given: 4,410
Thanks Received: 10,230
I'm still here - and still planning on getting back to this - but for full disclosure purposes I did activate two systems today. These are not systems that I have specifically identified through analysis myself but systems that for one reason or another I have been watching for several months, and have now decided to activate.
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals, U308 and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,060 since Dec 2013
Thanks Given: 4,410
Thanks Received: 10,230
Last two weeks have been a disaster. Both systems went long the Wed 10th drop, both getting stopped out, one of the system reentering the same day for a second loser! One system was long for the Tue 16th rally but didn't make nearly as much as it lost the week before. Then both systems were long again on the Thur 18th drop! This is frustrating because this is obviously as much bad timing as it is bad systems. It's especially frustrating as I specifically picked systems that didn't get smashed in the Feb/Mar drop so am surprised by their results. First system is on track to have it's worst month ever (but has had worse days), but the absolute numbers are not that significant and based upon recent performance it could easily make it back quickly. Second system is on track for worst month ever, Wed 10th was it's worse day ever and is $2 (literally) away from exceeding it's previous max drawdown.
At the request of a friend I created some dataset's for him this weekend. At the same time I refreshed my own dataset and will hopefully do some analysis in the next few days.
iSystems currently has
1276 Systems of which 468 or 36.7% have been added in the last year
Average system has made $86,969 INCLUDING backtest
Average system has lost $4,066 when backtest is excluded
Average system has lost $743 in last 3 months
Average license cost is $67/month
Average required capital is $5,966
Average suggested capital is $59,072 (which is 9.9x the required capital)
Average maximum drawdown is $17,227
Average current drawdown is $12,686 (which is 74% of max drawdown)
Broker: TD Ameritrade (soon to be Schwab) & NinjaTrader
Trading: The indexes, ES, YM, NQ & RTY
Posts: 171 since Aug 2012
Thanks Given: 216
Thanks Received: 157
@SMCJB I just read through this entire thread and there's really good stuff here.
I developed a few of the strategies running on isystems but will not endorse those here, nor do I trade those. But I do trade 3 of the strategies live. They are using 3 different instruments, 3 different developers and only 1 out of the 3 are profitable. The strategy which is down the most had it's biggest drawdown last month. I'm hanging in there hoping to recover. The 2nd strategy is just below B/E and is 1 trade away from going back into the black. October last year was a big DD which it has almost fully recovered. The 3rd is performing as good as I could hope. It's on it's 17th month of tracked trading and appears to be matching it's back-testing results.
I sure wish there were a couple of other good ones to add, but seeing your results, I'm thinking it's like finding a needle in a haystack. I'm sure the fees, slippage & commissions, put a real test on these strategies since they take so much off of the bottom line.
I am not sure how much benefit the readers get without knowing the names of which iSystems are being traded.
Sure, some will be losers and some will be bad systems. It seems like trick is pick a system that is a consistant winner over time, and ride out the swings.
One important key would be to verify that the iSystems real trade prices are close to the posted trade log (green) of traders using the particular system with real money. If they are, then the real results should not be wildly different from the green track record.
I just statred trading the Swing 50Plus MiniDax FDXM on 1/23. So far, my 2 trades match the posted trade log within a tick.
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals, U308 and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,060 since Dec 2013
Thanks Given: 4,410
Thanks Received: 10,230
Thanks @dynoweb for the comments. Unfortunately my isystems journey was long and a little painful. I still have hope, and really want to get back to it. I think this dataset has to have value. I just need to find that value!
Thanks @ericthewellread. My goal wasn't to have a journal of the systems I picked but to journal my analysis journey. That is why I've actually intentionally not talked about specific systems. I've also not wanted to be seen to be favoring or dishing specific systems.
Ohhhh ... if it was that easy... from previous
Consistent winners, don't appear to perform much better than losers going forward!
They have a slippage calculation that shows that.
Reasonable looking equity curve. Live/Tracked performance is a completely different magnitude to the backtest though.