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I do not think you can combine systems together via iSystems itself, but I have a few customers who downloaded it via CSV to Excel spreadsheets in an attempt to build some negative correlations.
Thanks,
Matt Z
Optimus Futures
There is a substantial risk of loss in futures trading. Past performance is not indicative of future results.
Trading futures and options involves substantial risk of loss and is not suitable for all investors. Past performance is not necessarily indicative of future results. You may lose more than your initial investment. All posts are opinions and do not claim to be facts. Please conduct your own due diligence. Use only Risk capital when trading Futures.
1 800 771 6748 local 561 367 8686 email [email protected]
This is some great work. Hopefully people will realize the implications of this - real time performance is usually not as good as backtest performance.
I observed that you have a variety of results as it pertains to hypothetical. Some fall far from the desired results, yet some may resemble the hypothetical results, but with bigger gains and bigger drawdowns. As I mentioned, it is important to look at both as a reference.
Thanks,
Matt Z
Optimus Futures
There is a substantial risk of loss in futures trading. Past performance is not indicative of future results.
Trading futures and options involves substantial risk of loss and is not suitable for all investors. Past performance is not necessarily indicative of future results. You may lose more than your initial investment. All posts are opinions and do not claim to be facts. Please conduct your own due diligence. Use only Risk capital when trading Futures.
1 800 771 6748 local 561 367 8686 email [email protected]
AMP FUTURES has an ISystems page that you can check out as well. I believe that firms are only allowed to list systems that are trading live with real money
Go to https://optimusfutures.isystems.com/
1) choose the system you wish to evaluate
2) Scroll to the bottom of the systems where is shows performance
3) Click on the Tab that says "Trade Log" or "Session Log". Both will have a small X logo for Excel, and you can just click on it.
I hope this helps.
Regards,
Matt Z
Optimus Futures
There is a substantial risk of loss in futures trading. Past performance is not indicative of future results.
Trading futures and options involves substantial risk of loss and is not suitable for all investors. Past performance is not necessarily indicative of future results. You may lose more than your initial investment. All posts are opinions and do not claim to be facts. Please conduct your own due diligence. Use only Risk capital when trading Futures.
1 800 771 6748 local 561 367 8686 email [email protected]
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
Turns out that if you plot the R Squared in an excel chart and you set the intercept to zero, then the R Squared is ALWAYS wrong. I found this is out when I did the chart below and it gave me a negative R Squared! The R Squared of the original data, without a forced zero intercept was actually 29%.
Face Palm Moment!
I must admit that I have never traded FDAX before and had no idea that it was so large (€320k vs say ES which is $120k). My initial screen was Net Profit and % Tracked PnL / All History PnL. No wonder there were so many DAX systems! Why Net Profit you ask? That's a terrible metric! I know that but Profit is one of the few fields in the table that you can get purely for 'since tracked'.
Anyway this leads me to a slightly modified chart. The following chart is the same data, but instead of calculating daily PnL I calculated Annual PnL as a % of Required Capital. Again X Axis is "All History" and Y Axis is "Since Tracked". Performance is even worse although R Squared (8%) is much worse as well. Eye balling it, it appears that the six data points in the bottom right are skewing the regression. Obvious problem with least squares being overly influenced but outliers but couldn't bother to calculate something more robust. My new initial sort list of 10 systems covers 6 different symbols, with NQ the most popular.
By the way modifying the chart, I realized that the original chart was $/Calendar Day not $/Business Day
As far as I know, and based upon @mattz comment it does not, but my goal is to develop a methodology to do exactly that myself. Portfolio of uncorrelated systems to maximize Return/Drawdown. As they say, Diversification is the only free lunch!
Exactly. Matt I hope to call you tomorrow.
When it comes to system performance, in sample vs out of sample, incubation etc, I've learnt a lot from you Kevin, and would have probably approached this differently (and incorrectly) before I met you! Thank You.
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
Not the best of formats, but usable.
So this is the 10 Systems I quickly picked. Haven't done any portfolio optimization at all at this point, just constructed a portfolio that trades one lot of each system, which is obviously very unweighted.
Slope ...
during pure backtest (blue) was $195/calendar day
during mixed backtest/live (red) was $334/calendar day
during pre live-tracked (blue+red) was $268/calendar day
during live/tracked (green) was $143/calendar day
Obviously live is quite a bit less than backtest. Max drawdown was about 13K but since all 10 systems have been live, just over 13 months, there's been two different 10k drawdowns.