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Taking a Trading System Live
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Taking a Trading System Live

  #191 (permalink)
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Equity Curve

Is it OK to trade this system in coming months? I am tryinig to argue in favor of yes answer. But beware of possible
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Last edited by record100; September 13th, 2013 at 07:24 PM. Reason: duplication
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  #192 (permalink)
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record100 View Post
Is it OK to trade this system in coming months? I am tryinig to argue in favor of yes answer. But beware of possible
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Also, frequency distribution for the profit. See spike, at the location of the stoploss.

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Taking a Trading System Live-pict5.png   Taking a Trading System Live-pict6.png  
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  #193 (permalink)
Market Wizard
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record100 View Post
Also, frequency distribution for the profit. See spike, at the location of the stoploss.

When did your incubation period start?

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  #194 (permalink)
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kevinkdog View Post
When did your incubation period start?

August 1

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  #195 (permalink)
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Jura View Post
Thanks Kevin, as a host, and the others, as visitors, for this thread and your posts; very insightful.


Hopefully not too much off-topic, but how should I read this chart? It shows the confidence interval widening as the number as trades grows (as should be expected since the larger the sample size, the wider the range of possible end values). But how come the confidence interval shrinks near the end of the chart? Or does the confidence interval plot something different than ending equity?

BTW, in a recent conversation with Mike Bryant, the author of MSA, he said:


Quoting 
If youíre not using position sizing, youíll get the same ending equity because MSA uses selection without replacement for the standard Monte Carlo analysis. That means itís effectively randomizing the series of trades without changing the trades themselves Ė same trades and number, just in a different order. However, once you add position sizing to your market system, youíll get different ending equity values in general.

One strength of MSA is its very in-depth position sizing options. It is not something I have played around with much only because of the complexity of implementing them into live strategies. Probably something I should spend more time on.

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  #196 (permalink)
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Big Mike View Post
BTW, in a recent conversation with Mike Bryant, the author of MSA, he said:



One strength of MSA is its very in-depth position sizing options. It is not something I have played around with much only because of the complexity of implementing them into live strategies. Probably something I should spend more time on.

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Mike

The position sizing alternatives are definitely nice to examine and think about. Of course, these can be optimized too, just like strategies, so caution is important here, too.

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  #197 (permalink)
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record100 View Post
August 1

Does the strategy meets your goals and objectives for profit, and for drawdown?

Do you feel satisfied with the amount of history you have tested, and what that history looks like?

Are you happy with the incubation performance, and the time of incubation?


Those are all questions you need to answer before going live.

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  #198 (permalink)
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4 Week Review

Week 4 of trading the NGEC system with actual money is now complete. Every 4 weeks or so, I will review the current performance of the system, and answer some standard questions. This information may be useful should the performance of the system become erratic - maybe there was something I could have seen earlier, or something I just plain out missed.


Summary: Well, after 4 weeks of trading this system live, I am right where I started - breakeven.

Am I surprised at this result? Absolutely not. It is well within expectations.

Am I disappointed in the results so far? Yes. Anytime I start a new strategy I want to make money at the beginning.

Are results in line with expectations? Yes. The current profit is below the average I expect, and it is above the lower 10% line. So, while it is underperforming currently, I see no reason for alarm. Also, I have had 2 winning weeks, and 2 losing weeks. Over time, I expect about 60% of my weeks to be profitable, so the performance is just as I expect.

Are fills and trades live comparable to Tradestation strategy report? Yes, in fact in most cases my fills are better than what I had anticipated. Slippage is usually less than I had expected.

Do I see any reason to stop trading this system? No.

Do I see any reason to change my position sizing plan, i.e. reduce or increase my risk? No.


Pretty boring so far!


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  #199 (permalink)
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Thank you Kevin. This has probably been one of the most helpful threads I have read yet. I now realize that I am made numerous errors in developing the system that I am currently trading live. I am not sure what to do at this point because although the system is profitable (+38% in 15 weeks) I corrupted my data by using my entire data set to backtest and optimize. This is a rookie mistake but now I am trying to think through how to determine if I should continue to trade this system.

On the one hand: the system is performing in line with the (now corrupted) historical backtesting results - has had drawdowns that are smaller than the largest historical drawdowns- has been performing within my risk tolerance levels - and has what I consider to be a very respectable profit.

On the other hand: Since the system was optimized using 5 years of data and no walk forward testing was done - essentially my live trading serves as the walk forward and that may reveal the systems instability - once it's already to late.

Any advice or pointers?

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  #200 (permalink)
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Yoyo4830 View Post
Thank you Kevin. This has probably been one of the most helpful threads I have read yet. I now realize that I am made numerous errors in developing the system that I am currently trading live. I am not sure what to do at this point because although the system is profitable (+38% in 15 weeks) I corrupted my data by using my entire data set to backtest and optimize. This is a rookie mistake but now I am trying to think through how to determine if I should continue to trade this system.

On the one hand: the system is performing in line with the (now corrupted) historical backtesting results - has had drawdowns that are smaller than the largest historical drawdowns- has been performing within my risk tolerance levels - and has what I consider to be a very respectable profit.

On the other hand: Since the system was optimized using 5 years of data and no walk forward testing was done - essentially my live trading serves as the walk forward and that may reveal the systems instability - once it's already to late.

Any advice or pointers?

At least so far, the market has been telling you that your system is good. Who am I to argue? The process I use, which you state you didn't follow, isn't the only way to skin a cat. Heck, it might not even be the right way, or the best way - I have strategies that pass my process, but fail in the real world.

I'd say keep a close eye on the performance, and if and when it starts to degrade, be ready to pull the plug and stop trading it. Hopefully that will never happen, but when it does, just be prepared to take action.

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