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Taking a Trading System Live


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Taking a Trading System Live

  #311 (permalink)
Legendary Market Wizard
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Survey Results

Not a statistically significant number of results, but most people say "keep trading."



Last edited by kevinkdog; November 2nd, 2013 at 07:24 AM. Reason: corrected to say: not significant
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  #312 (permalink)
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Luger View Post
I should have given a bit more background about my analysis but it was late. Your survey about continuing or quitting the system got me thinking.

The statistics of how much data you need to say that your live sample is different from the in-sample period seemed to be the most important factor. That is what got me slicing up the data into windows to see how much time constituted a period of underperformance in the in-sample data.

Also I've known traders that have used ovals on price/time squared charts. The basic shape is interesting when you think about how positive and negative volatility works over time.

Sure the analysis is subjective, but it adds a visual component that is representative of underperforming periods in the in-sample data. In this case it shows that you need a good bit more time before trashing the system. It also frames the volatility of in-sample underperforming periods which should helpful in determining drawdown potential going forward.

You may laugh, but I am going to be adding this as a subjective component to my system tracking. I'll be doing it in excel instead of paint though...lol


I think it is a good way to quantify what you can see visually. Thanks for sharing!

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  #313 (permalink)
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Week 11







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  #314 (permalink)
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kevinkdog View Post
Very interesting analysis. Thanks for taking the time to do it, and to share it. Looks like I need to avoid the ovals!

Avoiding one oval will introduce another. You know this. Most don't.

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  #315 (permalink)
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Performance Report, After 12 Weeks

Summary: First, let's look at the big picture. I like to do this every month or so, because at a glance I can tell if things are going as planned or not. From look at this first chart, a couple of things are clear:




1. Over the whole course of the system history (walkforward, incubation, live), the system performance hasn't changed much. I could draw a line from the start of walkforward to the start on incubation, and then another line from the start of incubation until the present time, and the slopes of those two lines would be about the same - with the slope from start of incubation to present being a little flatter. This gives me some reassurance that the system is behaving, subject to point 2 below.

2. It is easy to see that the live trading (green line) has been lagging long term performance. The performance these past 3 months has been down, and while it has not crashed and burned, it certainly has been a disappointment.


So, after 12 weeks of trading this system live, I am down about 10% from the start for the strategy calculated performance, and about 4.5% for the actual performance.

Am I surprised at this result? Yes. I had expected better, certainly close to breakeven by now - at the very worst.

Am I disappointed in the results so far? Very much so. The performance these past 12 weeks is way behind the long term average, so it is very disappointing.

Are results in line with expectations? Just barely. Results are around the lower 10% line, which means the system in real time is close to being a different system that walkforward and iuncubation. Not quite different yet, but getting close.

Are fills and trades live comparable to Tradestation strategy report? No, but it is a good thing! I am doing about $550 better live than the strategy predicts because of 1) less slippage than I had planned for and 2) a few trades where I was filled in real life when price just touched, but did not exceed, my limit price.

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.


So, after 12 weeks, I will keep on trading per the plan, but this system is just kind of floundering. A couple of big winners, which is what the system is based on, are needed.






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  #316 (permalink)
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kevinkdog View Post




Are fills and trades live comparable to Tradestation strategy report? No, but it is a good thing! I am doing about $550 better live than the strategy predicts because of 1) less slippage than I had planned for and 2) a few trades where I was filled in real life when price just touched, but did not exceed, my limit price.

A couple questions on this topic.

Was this expected? Has it happened with other systems?

Can you expand on the days that seem like anomalies; Day 12, 21, 27 and 33.

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  #317 (permalink)
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@kevinkdog,

Have you considered any type of volatility comparison to go along with your strategies performance? And then to compare recent volatility (live) to historical periods to see if there is a pattern?

In other words, have these last 12 weeks been unusual or do they fit with prior data (like another segment with similar volatility and similar results)?

Mike

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  #318 (permalink)
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deaddog View Post
A couple questions on this topic.

Was this expected? Has it happened with other systems?

When I develop a system, I include a certain about for slippage. In this case, I am using 1.5 ticks ($17.50). Over a long period of time, this is a pretty decent estimate.

So, far there have been 2 trades that have benefited from the "limit price fill only if exceeded rule." In one case, on an entry my limit price was just hit, and I was filled. The strategy, though, expects the price to be exceeded before giving me a fill at my limit price. In the other case, I was filled for an exit at a limit touch.

When I add contracts, I expect this benefit of "touch" fills to only occur on 1 or 2 of the contracts I trade.



deaddog View Post
Can you expand on the days that seem like anomalies; Day 12, 21, 27 and 33.


Day 12 - Not sure what happened here. Possibly a computer issue.

Day 21 - computer issue (discussed earlier in the thread)

Day 27 - limit order entry fill (discussed earlier in thread)

Day 33 - limit order exit fill

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  #319 (permalink)
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Big Mike View Post
@kevinkdog,

Have you considered any type of volatility comparison to go along with your strategies performance? And then to compare recent volatility (live) to historical periods to see if there is a pattern?

In other words, have these last 12 weeks been unusual or do they fit with prior data (like another segment with similar volatility and similar results)?

Mike

No I have not, but it is a good idea. I will try to do this in the next week. I have to think about how to analyze and present it. I do expect it to show high volatilty = higher probability of trading that day >>> more profits.

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  #320 (permalink)
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kevinkdog View Post
I do expect it to show high volatilty = higher probability of trading that day >>> more profits.

Agreed based on what I understand of your strategy, so I think it could show useful info.

Mike

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