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Hmm, I might have found something. I copy/pasted my trades, but there wasn't a trade every day, so there are some blanks.
You'll see. I'm sending two copies of different strategies.
In the meantime, I'm rebuilding the strategies to ensure I didn't fudge something here.
EDIT!
It was the blanks, guys. When entering trade results, don't leave any blanks, even if there was no trade. The monte carlo algo will stop pulling data at the blank.
The ratio was initially used by a publication called the Managed Accounts Report which was tracking CTAs. See here for some history of the MAR - MAR Ratio Definition | Investopedia.
If you are interested in some further reading on system development and some interesting thoughts by Ed Seykota, then refer to this link - https://www.seykota.com/tribe/TSP/index.htm. The System Math document (under resources) is still one of my references. Unfortunately he has not updated the TSP site in 10 years, and I don't think we will see updates any time soon.
As you determined in a later post, that was actually due to an error in your code. The best CTAs with a long history tend to have MARs of about 0.5. I would regard 0.5 as exceptional for a trend-following system on daily bars. Most funds struggle to get even close to that.
Kevin seems to use 2 as a good measure for his work, therefore in order to be safe, you could consider reviewing any system with a MAR over 2 very carefully for either errors in the code, errors in your logic, or a system that has been curve fit to the dataset.
I'm reading your book and I have to say that is the best I have read so far on algo trading systems.
I'm looking forward to the next one
I have three AMA questions for you:
1) For those who cannot attend your workshops, do you plan to sell video of those?
2) I know that you use Tradestation, but do you know successful traders that perform live automatic trading with Amibroker?
3) What is the minimum capital to swing trade 2-4 uncorrelated automatic strategies with e-mini futures without the risk to blow up the account (the goal).
You guys can use this thread to discuss the book. I also highly recommend watching the webinars on futures.io …
To answer your questions:
1) For the workshop, traders who attend gets copies of the full recording. Plus, they can re-attend future live workshops for free. So, you have plenty of opportunity to repeat or listen again.
2) I don't personally know many Amibroker traders, but I am sure there are successful one out there. I don't know about the automation part though, and how well it works with Amibroker.
3) Account sizing is always a tough question, since it depends a lot on the trader's temperament (can you only handle 10% drawdown, or is 40% OK?). It also depends a lot on the strategies you choose to trade and how they work together (good strategies complement each other, and smooth the equity curve). I actually provide an account sizing video as part of the workshop, since it is a topic worthy of a lot of thought. Sorry I can't get more specific...
I joined the strategy factory course in July 2015. Kevin don't just give you the correct method of testing and creating a strategy. What I think the course is most valuable is he provide 6 months post course email support. you can email him any question and you will get professional reply from a real trader. It is a must join course for everyone who want to become a successful algo trader.
I have never done any research. I test it like any other day.
If you knew exact dates and times of all historical scheduled announcements, etc, you could trade just those days or exclude just those days if you cared to. A lot of work to do it though...