How do you decide when an automated strategy is good enough to take live?
futures io futures trading



How do you decide when an automated strategy is good enough to take live?


Emini and Emicro Index

Created December 22nd 2018 by 303Trader
Updated February 18th 2019 by kjhosken
looks_one303Trader with 7 posts (7 thanks)
looks_twoSydAlgoTrader with 4 posts (4 thanks)
looks_3sixtyseven with 3 posts (6 thanks)
looks_4Ozquant with 2 posts (4 thanks)
 
trending_up2,548 views
thumb_up42 thanks given
forum28 replies
attach_file4 attachments



Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 100,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors – all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you don’t need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 
Thread Tools Search this Thread
 

How do you decide when an automated strategy is good enough to take live?

  #21 (permalink)
Denver CO
 
 
Posts: 7 since Dec 2018
Thanks: 3 given, 7 received


SidewalkAerobics View Post
Centaurer, what is "out of sample data"? I use TradeStation and don't see it there. Any help on this would be appreciated.

Out of sample data is any data which is not used to develop and optimize a strategy. I'm not familiar with TradeStation, but in NT you can select a date range when running optimization. OOS data would be anything outside of the date range being used to optimize.

Reply With Quote
The following user says Thank You to 303Trader for this post:

Can you help answer these questions
from other members on futures io?
Not Trading during Economic Events
EasyLanguage Programming
IBRangeBandsV42 by Fat Tails
NinjaTrader
Automating the Tillson T3 Moving Average
Elite Automated NinjaTrader Trading
CFTC Quietly Bails Out Capital One
Traders Hideout
GetRTAccountEquity - EasyLanguage, MultiCharts, Daily Account P&L
MultiCharts
 
Best Threads (Most Thanked)
in the last 7 days on futures io
ES futures Spoo-nalysis SP500/SPX
337 thanks
Coronavirus COVID-19
177 thanks
Recession? Depression? Bailout!
173 thanks
Is Orderflow An Outdated Concept?
161 thanks
Gold Futures (GC) main discussion
56 thanks
 
  #22 (permalink)
Sydney new south Wales
 
 
Posts: 15 since Sep 2018
Thanks: 0 given, 10 received

Typically for ES I want a minimum average trade profit of $50 (after 2 ticks slippage and commission if using market orders).

The short side seems pointless, why not just make it a long only strategy?
Nice amount of trades, but usually if you can get more trades without sacrificing average trade profit thats better (more statistically significant).

Personally I wouldn't trade this strategy, and if I did it would be in sim for 6 months. The equity curve's correlation coefficient isn't high enough for me.

Reply With Quote
The following user says Thank You to SydAlgoTrader for this post:
 
  #23 (permalink)
Denver CO
 
 
Posts: 7 since Dec 2018
Thanks: 3 given, 7 received



SydAlgoTrader View Post
Typically for ES I want a minimum average trade profit of $50 (after 2 ticks slippage and commission if using market orders).

The short side seems pointless, why not just make it a long only strategy?

Agreed. This backtest was from a while back. I've since killed the shorts.


SydAlgoTrader View Post
Personally I wouldn't trade this strategy, and if I did it would be in sim for 6 months. The equity curve's correlation coefficient isn't high enough for me.

Can you elaborate on this a little? The correlation coefficient with what? The underlying index?

Reply With Quote
The following user says Thank You to 303Trader for this post:
 
  #24 (permalink)
Sydney new south Wales
 
 
Posts: 15 since Sep 2018
Thanks: 0 given, 10 received


303Trader View Post

Can you elaborate on this a little? The correlation coefficient with what? The underlying index?


The correlation coefficient would be compared to the "ideal equity curve" (straight line between start and end of the equity curve)

higher correlation coefficient between the two = straighter equity curve.

Reply With Quote
The following user says Thank You to SydAlgoTrader for this post:
 
  #25 (permalink)
Golden Bay, New Zealand
 
Trading Experience: Beginner
Platform: Sierra Chart
Favorite Futures: ES, NQ
 
Posts: 180 since May 2012
Thanks: 809 given, 325 received


SydAlgoTrader View Post
The correlation coefficient would be compared to the "ideal equity curve" (straight line between start and end of the equity curve)

higher correlation coefficient between the two = straighter equity curve.

A system that trades all the time - i.e not regime dependant, but outperforms in certain regimes, and underperforms in others (while still being good enough to not try and filter), would have a poor correlation coefficient. Likewise, a system that dribbles along in a near perfect linear line may not be worth trading as it would tie up trading margin for not much return.

I agree that it would be lovely to have a high correlation, but I wouldn't put much weight in this metric.

Reply With Quote
The following user says Thank You to sixtyseven for this post:
 
  #26 (permalink)
United States
 
Trading Experience: None
Platform: MT4,TWS,Ninja Trader
Favorite Futures: Forex
 
cutzpr's Avatar
 
Posts: 30 since Apr 2012
Thanks: 9 given, 7 received

Just for a warm and fuzzy, I would compare a sample set of timeusing high order fill resolution (essentially places the trade on a 1 tick data series. Run the strategy normally for lets say the last 12 months, then rerun using high fill. Running the strategy on High fill from 2011 will take a long time. Compare the two results and if you are not getting similar results, then it might be back to the drawing board.

Reply With Quote
The following user says Thank You to cutzpr for this post:
 
  #27 (permalink)
Sydney new south Wales
 
 
Posts: 15 since Sep 2018
Thanks: 0 given, 10 received


sixtyseven View Post
A system that trades all the time - i.e not regime dependant, but outperforms in certain regimes, and underperforms in others (while still being good enough to not try and filter), would have a poor correlation coefficient. Likewise, a system that dribbles along in a near perfect linear line may not be worth trading as it would tie up trading margin for not much return.

I completely disagree. To give an example just 2 days ago I was sorting through some short ES strategies with equity curves back to 2004 and correlation coefficients in excess of 0.95, strategies which are regime dependent (i.e do well in 2018, 2008 etc, but have marginal return in big bull years.

Anything with a CorrCoef of 0.99 say in back test is probably not going to survive live trading through. It'just a number like Sharpe.

Reply With Quote
The following user says Thank You to SydAlgoTrader for this post:
 
  #28 (permalink)
Golden Bay, New Zealand
 
Trading Experience: Beginner
Platform: Sierra Chart
Favorite Futures: ES, NQ
 
Posts: 180 since May 2012
Thanks: 809 given, 325 received


SydAlgoTrader View Post
I completely disagree. To give an example just 2 days ago I was sorting through some short ES strategies with equity curves back to 2004 and correlation coefficients in excess of 0.95, strategies which are regime dependent (i.e do well in 2018, 2008 etc, but have marginal return in big bull years.

Anything with a CorrCoef of 0.99 say in back test is probably not going to survive live trading through. It'just a number like Sharpe.

You are quite right. I was poor at visualising equity curves vs correl. It's not something that I use.

I did just plot some out in excel now to get a feel for it, and it wasn't obvious that it's a useful metric. 50%+ drawdowns would still end up with >0.95 for example. I'll stfu now, as I'll likely not add anything useful given my obvious lack of experience with this metric.

Reply With Quote
The following user says Thank You to sixtyseven for this post:
 
  #29 (permalink)
Sydney new south Wales
 
 
Posts: 15 since Sep 2018
Thanks: 0 given, 10 received


sixtyseven View Post
You are quite right. I was poor at visualising equity curves vs correl. It's not something that I use.

I did just plot some out in excel now to get a feel for it, and it wasn't obvious that it's a useful metric. 50%+ drawdowns would still end up with >0.95 for example. I'll stfu now, as I'll likely not add anything useful given my obvious lack of experience with this metric.

Nah, metrics are metrics. For example strategies with nice sharpe ratios sometimes don't function IRL as they do in backtest. I obviously would use a combination of factors.
Personally I like NetProfit/MaxDD, but everyones got a method.

Reply With Quote
The following user says Thank You to SydAlgoTrader for this post:
 
  #30 (permalink)
Seattle, WA/USA
 
Trading Experience: Intermediate
Platform: TOS, TS
Favorite Futures: Forex, crude
 
Posts: 63 since Sep 2016
Thanks: 7 given, 21 received

TS OOS



SidewalkAerobics View Post
Centaurer, what is "out of sample data"? I use TradeStation and don't see it there. Any help on this would be appreciated.

In TS you can find OOS when you optimize parameters. It is only available there since everything is OOS for a naive strategy. After selecting your optimization range it will give you options for standard or walk-forward as well as exhaustive or genetic. There is also a button for optimization settings. In that dialogue you can select your OOS %, date range, fiddle with the genetic algo inputs, etc

Follow me on Twitter Reply With Quote

Reply



futures io Trading Community Traders Hideout Emini and Emicro Index > How do you decide when an automated strategy is good enough to take live?




Upcoming Webinars and Events (4:30PM ET unless noted)
 

futures io is celebrating 10-years w/ over $18,000 in prizes!

Right now
 

$250 Amazon Gift Cards with our "Thanks Contest" challenge!

Right now
 

Social Media Predictive Data for Traders w/Joe Gits @ SMA [and Lime Brokerage]

Apr 9
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
During development, when do you decide to quit or keep coding a Strategy? See Equity Dvdkite Traders Hideout 8 October 4th, 2018 06:01 AM
Is OECTrader stable enough to replace MC for live trading EL strategy? murty Platforms and Indicators 0 November 29th, 2014 08:03 PM
How do you decide WHEN you will trade? thomasblake Emini and Emicro Index 16 August 2nd, 2014 03:48 PM
‘Enough’s Enough’ on China Currency: Obama kbit Traders Hideout 0 November 14th, 2011 09:33 AM


All times are GMT -4. The time now is 12:51 PM. (this page content is cached, log in for real-time version)

Copyright © 2020 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts