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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: 5,059 since Dec 2013
Thanks Given: 4,410
Thanks Received: 10,226
Been Traveling
It was supposed to be the single highest but if there were multiple systems with the same score then it took all of them. I didn't check to see how prevalent that issue was. I did run a chart of the "Top 5" systems that had the highest/lowest/nearest performance in the previous 12 months when compared to the backtest, and the Top 5 was NOT as good as the Top 1.
Very True. One thing to remember is each system does have a fee and commissions. So if we say the average system charges $100 and trades 10 round turns a month of $12.50 per side, we would expect the performance of a system doing the opposite of what it actually does, to be about $450/month worse. So a system would need to be consistently losing at least $450/month before we could make money trading the opposite of it.
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals, U308 and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,059 since Dec 2013
Thanks Given: 4,410
Thanks Received: 10,226
Still here, and still working on this, although much of most recent work has been rewriting code as my R is much better than it was when I started this almost 2 years ago. The two major changes are moving everything into tibbles and using tidyverse and also using recursive functions like map from purrr. Another big change is to run the web scrape once per month and store the results in a (large) file. So now I just load that file and run data requests against it rather than have to rescrape the webpage for every request. Will save a lot of computation time and also has the added advantage that as systems get deleted I will still have the historical data!
A private message from somebody has given me another idea. Currently everything I do is around individual systems, with the idea that if we can find systems we expect to perform well we could then combine them into a portfolio. Would we be more successful if we reversed that? Is there a way to combine systems into portfolio's and then predict how the protfolio's would perform? Question is how would we create portfolio's? There are currently 987 systems that have 13 months or more of tracked history. So that's 973,182 possible portfolio's of 2 systems and 958 million possible portfolio's of 3 systems! Theoretically should be able to handle that quiet easily - well at least the portfolio's of two systems - should just take a lot longer to calculate! Something else for me to think about.
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals, U308 and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,059 since Dec 2013
Thanks Given: 4,410
Thanks Received: 10,226
As a (potentially final) update I closed the account that I had used for trading iSystems right before year end. While I still find this dataset very interesting I just don't have the time to do the analysis I would like. All in all this ended up being quiet an expensive experiment!
A final word of warning is that I should probably highlight that 32% of my losses where system fees and commissions. I think anybody actively trading iSystems (or anything similar) will probably find that system fees and commissions are 5% or even higher annually* on a properly funded account. Unless you have some edge that's quiet a heavy cost structure to overcome, especially if you compare it to any CTA index!
*While I did have the account open for 2 years 3 months, I only actively traded in 11 of the 27 months. Obviously how well your account is funded will have a big impact on what fees are as a percentage of equity. I would consider my account to be well funded and my systems fees and commissions in those 11 months was 8.2% which would be about 9% on an annualized basis!
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals, U308 and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,059 since Dec 2013
Thanks Given: 4,410
Thanks Received: 10,226
BLAST FROM THE PAST !
Guess who's back, back again
SMCJB's back, tell a friend
- Without Me, Eminem
So to recap, 3 years ago almost exactly....
So what happened to that Portfolio of 6 systems over the last 3 years.....
So what do I think?
To be honest the results are actually better than I expected, I really did wonder whether the portfolio would be in severe drawdown! I can confidently say though I'm glad I wasn't trading that protfolio for the last 3 years. If you had invested in Aug'17 like I did and held the position until now (which I didn't!) you would have been in a continual drawdown until March of this year. Even with the run up in the last 5 months performance is significantly below what would be expected and drawdowns have been 800% of what was modelled in the backrest. The Simplified* Monthly Sharpe Ratio of the Portfolio while the systems were in backtest was 1.18 but while the systems have been 'live' this has dropped to 0.17. Since Aug'17 it has been just 0.09. I literally picked the worse month possible to invest, the start of a 31 month drawdown!
NOTE: The drawdown values illustrated and discussed represent % drawdown of the portfolio INCLUDING backtest results. If we were to just look at the live results and assume the portfolio was backed with $100,000 then the drawdown would have maxed at 33%. Similar analysis since Aug'17 would have yielded a max drawdown of 49%! As you see from the 4th chart, for most of the 3 years, all 6 systems were in an individual drawdown.
* For the Quants out there, I say simplified because in this example I'm calculating the Sharpe Ratio as the 'Average Monthly $ Profit divided by the Standard Deviation of the Monthly $ Profit'. This ignores the risk free interest rate and also the complication of calculating what the theoretical** 'return' is of a highly leveraged futures portfolio.
** What is the denominator in the return of a futures contract? The Margin Requirement? The Notional Size of the Contract? For iSystems is it the 'Suggested Capital' or is it the "Minimum Capital". Do either of these really relate to the capital of a portfolio of non-correlated systems?
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals, U308 and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,059 since Dec 2013
Thanks Given: 4,410
Thanks Received: 10,226
Update... Went up for 1 more month, and then straight down ever since.
For clarification, not trying to call out @CannonTrading in any way, just highlighting specific systems that were discussed in this thread and how they have performed since. As you can see, in almost every case the answer is 'poorly'.
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals, U308 and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,059 since Dec 2013
Thanks Given: 4,410
Thanks Received: 10,226
System 1, down since.
For some reason getting an error in my code for the second system. Can not replicate this with any other system. I think its related to the "-" in Feb 2019. Since the system costs $75/month is this suggesting the system made exactly $75 resulting in a net zero? A quick review of the 3 trades for the month implies not profits were $273 before commissions and slippage!?!
System 3. Flat since. Significantly underperforming expected results.