Taking a Trading System Live - futures io
futures io



Taking a Trading System Live


Discussion in Trading Journals

Updated
      Top Posters
    1. looks_one kevinkdog with 260 posts (717 thanks)
    2. looks_two Big Mike with 61 posts (97 thanks)
    3. looks_3 deaddog with 25 posts (24 thanks)
    4. looks_4 swz168 with 20 posts (40 thanks)
      Best Posters
    1. looks_one kevinkdog with 2.8 thanks per post
    2. looks_two swz168 with 2 thanks per post
    3. looks_3 rk142 with 2 thanks per post
    4. looks_4 Big Mike with 1.6 thanks per post
    1. trending_up 67,687 views
    2. thumb_up 1,131 thanks given
    3. group 97 followers
    1. forum 529 posts
    2. attach_file 189 attachments




Welcome to futures io: the largest futures trading community on the planet, with well over 125,000 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
 

Taking a Trading System Live

(login for full post details)
  #501 (permalink)
 kevinkdog   is a Vendor
 
 
Posts: 3,002 since Jul 2012
Thanks: 1,597 given, 5,963 received

Below are the results through Week 49 of live trading. Very boring, nothing to speak of.

So, what exactly is going on with this system? Is it broken? Obviously, it is not doing what it should - can this be explained?


In my mind, this breakeven performance the past few months comes down to this - lack of trades, and smaller moves on trades.
The "day" strategy in this system - the strategy that produces most of the big profits - historically averaged 8.6 trades per month.

In 2014, this system has averaged 4.2 trades per month about half of its historical average.
Plus, the last few months have really been dead. July has yielded only 1 of the "day" strategy signals.


But, you say, if it is taking half of the trades, the profit should be half of normal, not breakeven. Why is that?


Good question. It all comes down to volatility. The system (and really, most systems), needs volatility to 1) produce signals and 2) produce good price movement when those signals are generated. So, low volatility is creating fewer opportunities, and the opportunities it does create are only small ones.

If, and when, the volatility picks up, I'd expect performance to pick up too. In the meantime, I'll just keep being bored while trading this system.







Follow me on Twitter Started this thread Reply With Quote
The following 9 users say Thank You to kevinkdog for this post:
 
(login for full post details)
  #502 (permalink)
 kevinkdog   is a Vendor
 
 
Posts: 3,002 since Jul 2012
Thanks: 1,597 given, 5,963 received

This system is a good reason why you want to trade multiple systems.

If I was only trading this system, I'd probably have switched to another system.

By trading multiple systems, I can afford to have a couple underperform for a time, since there will usually be a couple that overperform. But, I never know which ones will do what.

In general, if I was trading 6 systems, in any given year this is what I'd expect.

1-2 would underperform to expectation
1-2 would be right at what I expect
1-2 would be above my expectations

Overall, they'd add up to be right around my expectations. Obviously, it doesn;t always happen that way, but I think you can see the idea.

Follow me on Twitter Started this thread Reply With Quote
The following 3 users say Thank You to kevinkdog for this post:
 
(login for full post details)
  #503 (permalink)
 budfox 
Toronto
 
Experience: Beginner
Platform: Sierra
Broker: MB
Trading: ES
 
Posts: 313 since Jun 2013

Hello Kevin, @ kevinkdog

I really have enjoyed reading your posts, they have drastically enriched my entire understanding on what backtesting is.

I also read all 15 Steps of how to backtest in your blog.

I do not have access to Tradestation (I'm on a tight budget), so my question to you is it absolutely mandatory to have backtesting software? Especially, since there are so many flaws and restrictions in backtesting software (some models can not even be backtested; such as ACD setups).

Could I perhaps simply visually go through 50-100 trades and record them manually in Excel based on my set entry and exit rules? ( I am aware it is more laborius than using a backtesting program and hitting the button).

I am also a 'mechanical' trader, still doggedly determined to becoming a successful trader.

Looking forward to seeing the awesome new products rolling out of your factory!

Thank You,

BF.

Reply With Quote
 
(login for full post details)
  #504 (permalink)
 kevinkdog   is a Vendor
 
 
Posts: 3,002 since Jul 2012
Thanks: 1,597 given, 5,963 received


budfox View Post
Hello Kevin, @ kevinkdog

I really have enjoyed reading your posts, they have drastically enriched my entire understanding on what backtesting is.

I also read all 15 Steps of how to backtest in your blog.

I do not have access to Tradestation (I'm on a tight budget), so my question to you is it absolutely mandatory to have backtesting software? Especially, since there are so many flaws and restrictions in backtesting software (some models can not even be backtested; such as ACD setups).

Could I perhaps simply visually go through 50-100 trades and record them manually in Excel based on my set entry and exit rules? ( I am aware it is more laborius than using a backtesting program and hitting the button).

I am also a 'mechanical' trader, still doggedly determined to becoming a successful trader.

Looking forward to seeing the awesome new products rolling out of your factory!

Thank You,

BF.


Hi Bud -

Thanks for the kind words - I appreciate it!

I'm not sure if they still do, but Ninja used to be free, with free end of day data, if you are just testing, not actually trading. So, maybe that is an option?


I would not say that exploits/tricks/restrictions in trading software is a good reason to avoid it. The good point seriously outweigh the bad.

You can test by hand, but be very careful. It is VERY easy to make mistakes, either intentionally or unintentionally. And for some reasons, the mistakes usually make a strategy look better than it really is.

Kevin

Follow me on Twitter Started this thread Reply With Quote
The following 2 users say Thank You to kevinkdog for this post:
 
(login for full post details)
  #505 (permalink)
 bobwest 
Site Moderator
Sarasota FL
 
Experience: Advanced
Platform: Sierra Chart, NinjaTrader
Trading: ES, YM
 
bobwest's Avatar
 
Posts: 6,477 since Jan 2013
Thanks: 49,053 given, 21,706 received


kevinkdog View Post
I'm not sure if they still do, but Ninja used to be free, with free end of day data, if you are just testing, not actually trading. So, maybe that is an option?

They do. You can download it free from their website, and daily data (EOD only) is provided free from their Kinetick service.

Just FYI.

Bob.

Visit my futures io Trade Journal Reply With Quote
The following 3 users say Thank You to bobwest for this post:
 
(login for full post details)
  #506 (permalink)
 budfox 
Toronto
 
Experience: Beginner
Platform: Sierra
Broker: MB
Trading: ES
 
Posts: 313 since Jun 2013


bobwest View Post
They do. You can download it free from their website, and daily data (EOD only) is provided free from their Kinetick service.

Just FYI.

Bob.

Would anyone know if Sierra Charts has a similiar strategy analyzer such as the one NT has?

Thanks

Reply With Quote
 
(login for full post details)
  #507 (permalink)
 kevinkdog   is a Vendor
 
 
Posts: 3,002 since Jul 2012
Thanks: 1,597 given, 5,963 received

The snorefest continues...

As you can see, the trading results have been flat for a couple of months. What has caused this? Is the system "broken?"

The bottom chart - Weekly Average True Range - tells the story well. Basically volatility is down. In fact, it is down to levels unseen in the past 10 years. My Euro systems, like most trading systems, thrive on volatility. When there is no volatility there is no opportunity.

In my Euro Day strategy, I got only 1 signal the WHOLE month of July. And the gross profit of that trade was +1 tick ($12.50). HOW CRAZY IS THAT?!?!

If this was the only system I was trading, or the only market, I'd be screwed. That is why you'll hear me say over and over "diversification is key." I can afford to carry a flatlining strategy like this one, in the eventual event volatility picks up.

Of course, the system still might hit the "system quit" drawdown, in which case I'll put the system on hiatus.

I expect once volatility picks up, as it eventually will, the Euro strategies in the book will start to perform better. At the very least, they will start taking trades again!








Follow me on Twitter Started this thread Reply With Quote
The following 11 users say Thank You to kevinkdog for this post:
 
(login for full post details)
  #508 (permalink)
 kevinkdog   is a Vendor
 
 
Posts: 3,002 since Jul 2012
Thanks: 1,597 given, 5,963 received

This strategy is just limping along, making very few trades, and the ones it does make are usually losers...





Follow me on Twitter Started this thread Reply With Quote
The following 6 users say Thank You to kevinkdog for this post:
 
(login for full post details)
  #509 (permalink)
 SidJ 
Boston, MA
 
Experience: None
Platform: none yet
Trading: Cello
 
Posts: 6 since Apr 2014
Thanks: 61 given, 1 received

I just read your book cover-to-cover and will definitely be re-reading parts, as it is one of the better books I've come across for developing a trading system. Thanks for writing it. It is puzzling that the returns for Euro Day & Night are flat. During the backtesting & walk-forward, there must have been times when the market was flat...can you isolate these times and figure what your expected returns should be for flat markets or is it not worth it? I just wonder if market volatility is the issue or maybe something else.

Reply With Quote
 
(login for full post details)
  #510 (permalink)
 kevinkdog   is a Vendor
 
 
Posts: 3,002 since Jul 2012
Thanks: 1,597 given, 5,963 received


SidJ View Post
I just read your book cover-to-cover and will definitely be re-reading parts, as it is one of the better books I've come across for developing a trading system. Thanks for writing it. It is puzzling that the returns for Euro Day & Night are flat. During the backtesting & walk-forward, there must have been times when the market was flat...can you isolate these times and figure what your expected returns should be for flat markets or is it not worth it? I just wonder if market volatility is the issue or maybe something else.

Thanks. I hope you decide to review it on Amazon - your review would definitely help others.

The Euro has been in a terrible funk lately, and my "day" strategy is just not taking enough trades (no opportunities).

Here is a chart that shows how Average True Range is at an all time low for the Euro...





Follow me on Twitter Started this thread Reply With Quote
The following 2 users say Thank You to kevinkdog for this post:
 
(login for full post details)
  #511 (permalink)
 Big Mike 
Site Administrator
Swing Trader
Data Scientist & DevOps
Manta, Ecuador
 
Experience: Advanced
Platform: Custom solution
Trading: Futures & Crypto
 
Big Mike's Avatar
 
Posts: 50,066 since Jun 2009
Thanks: 32,529 given, 98,480 received


SidJ View Post
I just read your book cover-to-cover and will definitely be re-reading parts, as it is one of the better books I've come across for developing a trading system. Thanks for writing it. It is puzzling that the returns for Euro Day & Night are flat. During the backtesting & walk-forward, there must have been times when the market was flat...can you isolate these times and figure what your expected returns should be for flat markets or is it not worth it? I just wonder if market volatility is the issue or maybe something else.

There is also a thread for the book:



Please post a review.

Mike

We're here to help -- just ask

For the best trading education, watch our webinars
Searching for trading reviews? Review this list

Follow us on Twitter, YouTube, and Facebook

Support our community as an Elite Member:
https://futures.io/elite/

Visit other sites? Please spread the word about your experience with our community!
Follow me on Twitter Visit my futures io Trade Journal Reply With Quote
The following 2 users say Thank You to Big Mike for this post:
 
(login for full post details)
  #512 (permalink)
 Jura   is a Vendor
 
 
Jura's Avatar
 
Posts: 774 since Apr 2010
Thanks: 2,347 given, 688 received


budfox View Post
I also read all 15 Steps of how to backtest in your blog.

Does someone has a link to that article? I couldn't find it on KJ Trading Systems .

Reply With Quote
The following user says Thank You to Jura for this post:
 
(login for full post details)
  #513 (permalink)
 kevinkdog   is a Vendor
 
 
Posts: 3,002 since Jul 2012
Thanks: 1,597 given, 5,963 received


Jura View Post
Does someone has a link to that article? I couldn't find it on KJ Trading Systems .

These steps were in a blog I used to write: A Robot Trader Becomes Human


I need to move them back home...

Thanks for asking!

Follow me on Twitter Started this thread Reply With Quote
The following 4 users say Thank You to kevinkdog for this post:
 
(login for full post details)
  #514 (permalink)
 Jura   is a Vendor
 
 
Jura's Avatar
 
Posts: 774 since Apr 2010
Thanks: 2,347 given, 688 received


kevinkdog View Post
These steps were in a blog I used to write: A Robot Trader Becomes Human

Thanks Kevin.

For other interested readers, the 15 steps:

1. Have a trading plan.
2. Rate of return.
3. Drawdown.
4. Winpercentage etc.
5. Other considerations.
6. The trading strategy.
7. Conduct preliminary research.
8. Have positive expectancy.
9. Backtesting the right way.
10. Incubate.
11. Know your exit point.
12. Follow the plan.
13. Don't overleverage.
14. Execute flawlessly.
15. Review and monitor.


Quoting 
I need to move them back home...

If you do, it would be interesting to reflect on them, such as what you would do differently compared to two years ago, which things didn't change, and whether you perhaps learned new steps along the way.

Reply With Quote
The following 5 users say Thank You to Jura for this post:
 
(login for full post details)
  #515 (permalink)
 kevinkdog   is a Vendor
 
 
Posts: 3,002 since Jul 2012
Thanks: 1,597 given, 5,963 received

Not many good things to say about the Euro day and night system performance this past quarter. Only 2 trades in the day strategy for the month of September, which is a lot less than normal.

Not a very good quarter for the combined system, as shown by the purple line. Performance like this is why I advocate having many strategies to trade. Some will underperform (like this one), and hopefully some better performers will make up for it.

Going forward this will be the only graph I'll show. It tells almost the whole story, in my opinion...



Follow me on Twitter Started this thread Reply With Quote
The following 6 users say Thank You to kevinkdog for this post:
 
(login for full post details)
  #516 (permalink)
 deaddog 
Legendary Market Wizard
Prince George BC Canada
 
Experience: Advanced
Platform: IBs TWS
Broker: IB
Trading: Stocks
 
deaddog's Avatar
 
Posts: 878 since May 2013
Thanks: 135 given, 2,363 received


It's been over a year. Have you given up on this system or will you keep trading it?

"The days when I keep my gratitude higher than my expectations, I have really good days" RW Hubbard
Reply With Quote
 
(login for full post details)
  #517 (permalink)
 kevinkdog   is a Vendor
 
 
Posts: 3,002 since Jul 2012
Thanks: 1,597 given, 5,963 received


deaddog View Post

It's been over a year. Have you given up on this system or will you keep trading it?


Way back when, I had stated that I would be stopping when the single contract drawdown of $5000 was hit. It looks like that that will happen soon, since I am only a losing trade or 2 away from that mark.

So, barring some miracle, it looks like this system will be put back into incubation. I'll still track it, and if/when Euro volatility picks up, maybe the performance will pick up and I'll trade it again.


Follow me on Twitter Started this thread Reply With Quote
 
(login for full post details)
  #518 (permalink)
 deaddog 
Legendary Market Wizard
Prince George BC Canada
 
Experience: Advanced
Platform: IBs TWS
Broker: IB
Trading: Stocks
 
deaddog's Avatar
 
Posts: 878 since May 2013
Thanks: 135 given, 2,363 received


kevinkdog View Post
Way back when, I had stated that I would be stopping when the single contract drawdown of $5000 was hit. It looks like that that will happen soon, since I am only a losing trade or 2 away from that mark.

So, barring some miracle, it looks like this system will be put back into incubation. I'll still track it, and if/when Euro volatility picks up, maybe the performance will pick up and I'll trade it again.

Why are you waiting for another couple losses?

"The days when I keep my gratitude higher than my expectations, I have really good days" RW Hubbard
Reply With Quote
 
(login for full post details)
  #519 (permalink)
 kevinkdog   is a Vendor
 
 
Posts: 3,002 since Jul 2012
Thanks: 1,597 given, 5,963 received


deaddog View Post
Why are you waiting for another couple losses?

Because I follow my rules.

Follow me on Twitter Started this thread Reply With Quote
 
(login for full post details)
  #520 (permalink)
 deaddog 
Legendary Market Wizard
Prince George BC Canada
 
Experience: Advanced
Platform: IBs TWS
Broker: IB
Trading: Stocks
 
deaddog's Avatar
 
Posts: 878 since May 2013
Thanks: 135 given, 2,363 received


kevinkdog View Post
Because I follow my rules.

That is the same rationalization I use.

I see this lot. A trader in a trade will say that he is expecting the trade to go against him yet he stays with the trade.

I do it myself at times out of fear of being wrong. The what if I give up now and the market turns. It is why Iím a rules based trader but when you think about it the market is offering an opportunity that we as traders are not taking advantage of.

"The days when I keep my gratitude higher than my expectations, I have really good days" RW Hubbard
Reply With Quote
The following 2 users say Thank You to deaddog for this post:
 
(login for full post details)
  #521 (permalink)
 tturner86 
Portland, Oregon
 
Experience: Intermediate
Platform: F-16CM-50
Trading: GBU-39
 
tturner86's Avatar
 
Posts: 6,172 since Sep 2013
Thanks: 10,456 given, 12,608 received


deaddog View Post

It's been over a year. Have you given up on this system or will you keep trading it?

Try a few months? Last post was October 2014.

Visit my futures io Trade Journal Reply With Quote
 
(login for full post details)
  #522 (permalink)
 kevinkdog   is a Vendor
 
 
Posts: 3,002 since Jul 2012
Thanks: 1,597 given, 5,963 received


tturner86 View Post
Try a few months? Last post was October 2014.

I think deaddog meant a year of live trading.

Follow me on Twitter Started this thread Reply With Quote
The following user says Thank You to kevinkdog for this post:
 
(login for full post details)
  #523 (permalink)
 deaddog 
Legendary Market Wizard
Prince George BC Canada
 
Experience: Advanced
Platform: IBs TWS
Broker: IB
Trading: Stocks
 
deaddog's Avatar
 
Posts: 878 since May 2013
Thanks: 135 given, 2,363 received


tturner86 View Post
Try a few months? Last post was October 2014.

I meant when he started trading this system.

"The days when I keep my gratitude higher than my expectations, I have really good days" RW Hubbard
Reply With Quote
The following user says Thank You to deaddog for this post:
 
(login for full post details)
  #524 (permalink)
 tturner86 
Portland, Oregon
 
Experience: Intermediate
Platform: F-16CM-50
Trading: GBU-39
 
tturner86's Avatar
 
Posts: 6,172 since Sep 2013
Thanks: 10,456 given, 12,608 received


kevinkdog View Post
I think deaddog meant a year of live trading.


deaddog View Post
I meant when he started trading this system.

Yep, I miss read @deaddog's post.

Visit my futures io Trade Journal Reply With Quote
 
(login for full post details)
  #525 (permalink)
 kevinkdog   is a Vendor
 
 
Posts: 3,002 since Jul 2012
Thanks: 1,597 given, 5,963 received


deaddog View Post
That is the same rationalization I use.

I see this lot. A trader in a trade will say that he is expecting the trade to go against him yet he stays with the trade.

I do it myself at times out of fear of being wrong. The what if I give up now and the market turns. It is why Iím a rules based trader but when you think about it the market is offering an opportunity that we as traders are not taking advantage of.

I see your point, but I have found that in the long run it is better to stick to my rules, and not change my mind later on (typically when my emotions might be running a bit higher).

Follow me on Twitter Started this thread Reply With Quote
The following user says Thank You to kevinkdog for this post:
 
(login for full post details)
  #526 (permalink)
 deaddog 
Legendary Market Wizard
Prince George BC Canada
 
Experience: Advanced
Platform: IBs TWS
Broker: IB
Trading: Stocks
 
deaddog's Avatar
 
Posts: 878 since May 2013
Thanks: 135 given, 2,363 received


kevinkdog View Post
I see your point, but I have found that in the long run it is better to stick to my rules, and not change my mind later on (typically when my emotions might be running a bit higher).

Same here but that doesn't stop me from wondering if I'm not missing something obvious.

"The days when I keep my gratitude higher than my expectations, I have really good days" RW Hubbard
Reply With Quote
The following 2 users say Thank You to deaddog for this post:
 
(login for full post details)
  #527 (permalink)
 kevinkdog   is a Vendor
 
 
Posts: 3,002 since Jul 2012
Thanks: 1,597 given, 5,963 received

Sorry for not posting an end of November update. Instead, here are 2 months of results (and the first week in January mixed in). Performance is still weak, at best. I could give you some convoluted explanations about the poor performance, but the chart below says it all: the system is just not performing to expectations. All the hand waving in the world can't sugarcoat that fact!

I've said it before, but it bears repeating: if you only trade one or two strategies, you are at the mercy of the performance of that system or systems. That can be precarious. But, let's say this system is part of a much bigger portfolio of 10-30 strategies (as is the case for me). In such a case, I actually expect a few strategies to underperform like this. I don't like it at all when a strategy behaves badly, but it happens. The key is that there a few other strategies that do really well, and make up for this poor performance.

I'll continue to monitor this system, and we'll see what happens.



Follow me on Twitter Started this thread Reply With Quote
The following 9 users say Thank You to kevinkdog for this post:
 
(login for full post details)
  #528 (permalink)
 tkoutris 
ellicott city md
 
Experience: Intermediate
Platform: ninja
Trading: cl,gc,yn,beans
 
Posts: 10 since Nov 2015
Thanks: 1 given, 2 received

was there any further results performed on this system or modifications done?

Reply With Quote
The following user says Thank You to tkoutris for this post:
 
(login for full post details)
  #529 (permalink)
 kevinkdog   is a Vendor
 
 
Posts: 3,002 since Jul 2012
Thanks: 1,597 given, 5,963 received


tkoutris View Post
was there any further results performed on this system or modifications done?

Thanks for asking!

I don't trade these live any longer - the performance was just not as good as some other EC strategies I had. So, they were retired from active duty, although I still track and update them monthly. They have not reached my criteria for being "broken," but they certainly are sickly. If they ever start performing well again, I'd probably add them back to the active mix.

The daytime strat lost about $3K in 2015, and overall since development is up around $1K
The nighttime strat lost less than $1K in 2015, and overall since development is down around $2K.

Follow me on Twitter Started this thread Reply With Quote
The following 3 users say Thank You to kevinkdog for this post:
 
(login for full post details)
  #530 (permalink)
 tturner86 
Portland, Oregon
 
Experience: Intermediate
Platform: F-16CM-50
Trading: GBU-39
 
tturner86's Avatar
 
Posts: 6,172 since Sep 2013
Thanks: 10,456 given, 12,608 received


kevinkdog View Post
Thanks for asking!

I don't trade these live any longer - the performance was just not as good as some other EC strategies I had. So, they were retired from active duty, although I still track and update them monthly. They have not reached my criteria for being "broken," but they certainly are sickly. If they ever start performing well again, I'd probably add them back to the active mix.

The daytime strat lost about $3K in 2015, and overall since development is up around $1K
The nighttime strat lost less than $1K in 2015, and overall since development is down around $2K.

Thank you for the update I was wondering how this ended. Thank you for this thread and showing these results. One of my fav threads here...

Visit my futures io Trade Journal Reply With Quote
The following 3 users say Thank You to tturner86 for this post:


futures io Trading Community Trading Journals > Taking a Trading System Live


Last Updated on January 6, 2016


Upcoming Webinars and Events

NinjaTrader Indicator Challenge!

Ongoing

Journal Challenge w/$1,800 in prizes!

May 7

EdgeProX - A Simple Choice For The Active Trader w/Morad Askar @ Edge Clear …

Elite only

The Cold Hard Truth: Maybe I Am Not Good Enough w/Chris Gray @ Earn2Trade

Elite only
     



Copyright © 2021 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada), 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