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Been away from trading for a couple of weeks due to workload. This morning i looked in on performance of my live 300 strategies. It takes time to collected data so i have not really done this before. I noticed something that i thought i share that can be a way to choose which strategies to trade. It is really simple actually. Looking back only 3 months i find that strategies that have a winrate of 60% and above have a great performance in short term . They were at 60 % performance 2 weeks based on latest 3 months live taken trades and 2 weeks later they have been doing great aswell. The ones that were at 50% performance 2 weeks ago has been losing grouped together. Looking longer term if i group the performers (1 year) the ones that are at 50 % and above is the ones that has produced the equity and the 50% and below has been losing equity all thought there are ofcourse individual exceptions but they are few.
Congrats. iSystems started releasing every month some suggestions for portfolio. I have not evaluated what their criteria, but I assume it's last's month performance. Would be happy to send you if necessary.
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]
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Just to confirm I understand what your saying.
Each of these charts represent the forward looking performance of a group of systems, grouped by their previous 1 year (?) win rate?
They represent the forward period performance of strategies that were grouped after their previous performance on the same period of time. To me it indicates that you should avoid trading startegies that in short lockback perspecitve are doing bad because you then have greater change of going into drawdown immediately.
I will send it to you. It is not published on the iSystems site.
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]
Point 1 and 2 you get from the backtestīs. Prefrably strategies with low % stagnation in my current opinion max 20%
Point 3. Very difficult to predict . WFO is the only edge You can use to improve short time performance of individual strategies but even then 6 months drawdown is highly likely. The main edge is diversification but it is difficult to find diversified portfolios that never had a significant time period of drawdown aswell. So my focus today is not making new complicated strategies it is to build a program to determain when to trade the simple ones instead and to automate this.