Predicting algos that will be successful with the tail ratio - futures io
futures io futures trading

Predicting algos that will be successful with the tail ratio

Discussion in Traders Hideout

Updated by tpredictor
      Top Posters
    1. looks_one Quick Summary with 1 posts (0 thanks)
    2. looks_two tpredictor with 1 posts (1 thanks)
    3. looks_3 ShatteredX with 1 posts (2 thanks)
    4. looks_4 Virtuose1 with 1 posts (1 thanks)
      Best Posters
    1. looks_one ShatteredX with 2.0 thanks per post
    2. looks_two tpredictor with 1.0 thanks per post
    3. looks_3 Virtuose1 with 1.0 thanks per post
    4. looks_4 SMCJB with 1.0 thanks per post
    1. trending_up 2,400 views
    2. thumb_up 5 thanks given
    3. group 5 followers
    1. forum 4 replies
    2. attach_file 0 attachments

Welcome to futures io: the largest futures trading community on the planet, with well over 100,000 members
  • Genuine reviews from real traders, not fake reviews from stealth vendors
  • Quality education from leading professional traders
  • We are a friendly, helpful, and positive community
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts
  • We are here to help, just let us know what you need
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

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

Search this Thread

Predicting algos that will be successful with the tail ratio

(login for full post details)
  #1 (permalink)
Montreal, Qc, Canada
Experience: Advanced
Platform: NinjaTrader 7
Broker: Interactive Brokers
Trading: ETF
Virtuose1's Avatar
Posts: 53 since Jun 2011
Thanks: 138 given, 35 received

Nice article which describes how the tail ratio (and other criteria) can help assess the likelihood of future success of trading algos:

Has anyone ever heard of an add-on to NT7 that would allow to optimize algos based on the tail ratio ?

Reply With Quote
The following user says Thank You to Virtuose1 for this post:

Can you help answer these questions
from other members on futures io?
TOS script
Where can I trade BTC FUTURES, and what are margin amounts
Where can I download historical tick data for HSI?
Traders Hideout
TOS Custom Implied Volatility Rank Watchlist/Scanner Column
Chart text fixed and move with time
(login for full post details)
  #3 (permalink)
Legendary Market Wizard
Houston, TX
Experience: Advanced
Platform: XTrader and Cloud TT
Broker: Advantage Futures
Trading: Energy
Posts: 3,483 since Dec 2013
Thanks: 2,781 given, 6,552 received

Interesting. "Mean" is overly effected by outliers, and things like sharpe or standard deviation assume normal, symmetrical distributions. How many times have you heard about cutting your losses and letting your losers run. Well that's the opposite of a symmetrical distribution so it would make sense that something like 'tail ratio' is a good predictor. Of course the fact that “user_backtest_days” ranks so highly (I assume as a negative predictor) probably means that most systems are overfit, or in other words 'bad' systems. I doubt you would get the same results if your universe of designed systems were better.

Sorry doesn't answer your question.

Reply With Quote
The following user says Thank You to SMCJB for this post:
(login for full post details)
  #4 (permalink)
Houston, TX
Experience: Intermediate
Platform: Python
Trading: NQ
Posts: 94 since Apr 2016
Thanks: 126 given, 93 received

So, "tail ratio" is bigger when returns are positively skewed? As in, a few big wins and many small losses? Is that what it means?

If so, then higher tail ratio would probably mean that you're using a trend following strategy.

So this post is saying that trend following strategies have better out of sample results than mean reversion strategies?

Reply With Quote
The following 2 users say Thank You to ShatteredX for this post:
(login for full post details)
  #5 (permalink)
North Carolina
Experience: Beginner
Platform: NinjaTrader, Tradestation
Trading: es
Posts: 644 since Nov 2011

Interesting analysis but possibly flawed unless they chose different periods for all the backtest, if trend following did better during the subsequent period it would tend to favor those strategies. You need to mix all the dates up so that all the OOS periods are different.

Reply With Quote

futures io Trading Community Traders Hideout > Predicting algos that will be successful with the tail ratio

June 10, 2017

Upcoming Webinars and Events

Every journal equals ten meals for the hungry


Copyright © 2020 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432,
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