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What are the characteristics that make a BOT a good BOT ?
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What are the characteristics that make a BOT a good BOT ?

  #21 (permalink)
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gregid's Avatar
 
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GregLGTP View Post
Thank you.

WRT the Sortino Ratio, what would be an appropriate Target Return value? How would one calculate an appropriate Target Return value for a Futures contract of some type?

(Desired/Minimum) Target Return most often used is simply 0% (but this depends on your detailed requirements). I rarely use only one measurement for assessment so for me the higher the better.

NT8 is expected to come with both Sortino Ratio and Ulcer Index out of the box, see here:
https://youtu.be/ga3U0U_QHhE?t=32m40s

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  #22 (permalink)
Patience my young padawan
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Max drawdown vs. Account Budget

Here's an open question: Let's assume that you found a "good" Automated Strategy (I look at PF and %profitable mainly) and you have backtested it through enough bars/data and instruments.

What percent % of the account budget should be the Max. Drawdown Combined and per instrument?

I have a very attractive one near 30%, a bit risky, isn't it?

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  #23 (permalink)
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Omer עומר / Israel י
 
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ElChacal View Post
Here's an open question: Let's assume that you found a "good" Automated Strategy (I look at PF and %profitable mainly) and you have backtested it through enough bars/data and instruments.

What percent % of the account budget should be the Max. Drawdown Combined and per instrument?

I have a very attractive one near 30%, a bit risky, isn't it?

I have learned that it can also be lucrative to spent time on the trade management and the money management
trade signals is one thing
trade management and money management is everything

are you sure the 30% ma drawdown can not be reduced a bit ?

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  #24 (permalink)
Patience my young padawan
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rleplae View Post
I have learned that it can also be lucrative to spent time on the trade management and the money management
trade signals is one thing
trade management and money management is everything

are you sure the 30% ma drawdown can not be reduced a bit ?

Yes, it can be reduced. What Max Drawdown as % of your Budget would you consider prudent / on the safe side to live trade?

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  #25 (permalink)
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ElChacal View Post
Yes, it can be reduced. What Max Drawdown as % of your Budget would you consider prudent / on the safe side to live trade?

it all depends
is the drawdown one trade, or a series of losers ?
how is the equity curve ? period of up and period of down
or binary up and binary down ?

mfe/mae
# trades

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  #26 (permalink)
Patience my young padawan
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rleplae View Post
it all depends
is the drawdown one trade, or a series of losers ?
how is the equity curve ? period of up and period of down
or binary up and binary down ?

mfe/mae
# trades

It is a trend follower, so it would be a series of losers when chopped out, there's a large holding time of days or weeks per trade. Do you use any leverage with your broker for trading futures? Do you recommend leverage in an account for trading futures? What is your take on leverage for future contracts?

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  #27 (permalink)
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ElChacal View Post
It is a trend follower, so it would be a series of losers when chopped out, there's a large holding time of days or weeks per trade. Do you use any leverage with your broker for trading futures? Do you recommend leverage in an account for trading futures? What is your take on leverage for future contracts?

As good "money mgt" rule, you should not risk more then 2% of your account.

Example, if you trade CL with target 15/SL10, 10 ticks being 100$, with 10K$ in an account
you should not trade more then 2 contracts. Ounce your account reaches 15L$, you can do
3 contracts, etc... If it goes down, you scale down

Another rule is that you should not loose more then 6%, if you go above, you should stop
trading. My question is for your system, if you go down like 25%, is the trend still valid ?
and was the entry with a good signal.

I have been in system development, with 20% draw-down, but that was an unlucky
series/concatenation of (shorter) bad trades.

A system that creates drawdown, in a single trade of 25% is probably not very good,
you must be able to tweak that.

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  #28 (permalink)
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Sure we can extract as many Stats as we want from our system or equity curves. But the most important characteristics i look for are robustness related. Stability of near by parameters, in sample vs out of sample deviation rate, performance on similar products in the same sector, performance on a large diverse investment universe and monte carlo results. These types of results are much more important to me than any specific stat from the backtest report. Because i am more intrested in the probability that the system will perform similarly in the future rather than focus purely on the past results.

That said. when looking at reports the top 5 most important things for me are

1 average trade expectancy
2 Max DD
3 profit factor
4 Return efficiency
5 duration statistics

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  #29 (permalink)
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@rleplae
Great 2% rule, you are totally right if you want to survive in this game.

I believe a good option for me would be to trade Futures ETF's, despite that they are tax inefficient.

I have come up with good swing strategies but I believe I am way over-leveraged in futures to start with $15k... ?

I think the only way not to be over-leveraged trading futures is to have a very good intraday strategy with little PF. Intraday is one noisy bastard and since one is undercapitalized, you can only look for little targets to avoid getting hurt. Even the Mini's can hurt if you are undercapitalized.

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