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iSystems Journal
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Created: by SMCJB Attachments:73

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iSystems Journal

  #141 (permalink)
Golden Bay, New Zealand
 
Trading Experience: Beginner
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Interesting.
Was that 1 system each for the highest/lowest/nearest or a certain % of the systems - ie. top 5%, bottom 5% etc?

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  #142 (permalink)
 Vendor: www.jigsawtrading.com 
Bangkok
 
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SMCJB View Post
Interestingly there are 115 systems that are in my system list from last year, that are not in my list from this week. I have double checked and iSystems returns an error for these systems. This represents 10.4% of the systems from last year!
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Offsetting that, there are 494 new systems, so the total number of systems actually has increased by 34.2%. Similarly when looking at my 15 month data set there are now 2092 samples that are no longer available, which is offset by 9191 new samples for a 45.8% increase. Interestingly the average sample in my old data lost $2416 over the 15 months, while the average sample in the new data set losses $2743. So things are getting worse not better! The 115 systems/2092 samples that have disappeared had an average loss of $4370 over the 15 months. The new 9191 samples have an average loss of $3689. Note some of these are new systems but some of these represent new data for old systems. Remember, each sample is made up of "tracked" data, and does not include any (over fitted make believe) backtest results, which I'm sure were all positive!

So first question is, do I add the now removed 2092 samples into my new/current data set?

Sounds like you could pick any one, fade it & make money

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  #143 (permalink)
Legendary Market Wizard
Houston, TX
 
Trading Experience: Advanced
Platform: XTrader
Broker/Data: Advantage Futures
Favorite Futures: Energy
 
Posts: 3,032 since Dec 2013
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Been Traveling

sixtyseven View Post
Was that 1 system each for the highest/lowest/nearest or a certain % of the systems - ie. top 5%, bottom 5% etc?

It was supposed to be the single highest but if there were multiple systems with the same score then it took all of them. I didn't check to see how prevalent that issue was. I did run a chart of the "Top 5" systems that had the highest/lowest/nearest performance in the previous 12 months when compared to the backtest, and the Top 5 was NOT as good as the Top 1.

Jigsaw Trading View Post
Sounds like you could pick any one, fade it & make money

Very True. One thing to remember is each system does have a fee and commissions. So if we say the average system charges $100 and trades 10 round turns a month of $12.50 per side, we would expect the performance of a system doing the opposite of what it actually does, to be about $450/month worse. So a system would need to be consistently losing at least $450/month before we could make money trading the opposite of it.

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  #144 (permalink)
Legendary Market Wizard
Houston, TX
 
Trading Experience: Advanced
Platform: XTrader
Broker/Data: Advantage Futures
Favorite Futures: Energy
 
Posts: 3,032 since Dec 2013
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Still here, and still working on this, although much of most recent work has been rewriting code as my R is much better than it was when I started this almost 2 years ago. The two major changes are moving everything into tibbles and using tidyverse and also using recursive functions like map from purrr. Another big change is to run the web scrape once per month and store the results in a (large) file. So now I just load that file and run data requests against it rather than have to rescrape the webpage for every request. Will save a lot of computation time and also has the added advantage that as systems get deleted I will still have the historical data!

A private message from somebody has given me another idea. Currently everything I do is around individual systems, with the idea that if we can find systems we expect to perform well we could then combine them into a portfolio. Would we be more successful if we reversed that? Is there a way to combine systems into portfolio's and then predict how the protfolio's would perform? Question is how would we create portfolio's? There are currently 987 systems that have 13 months or more of tracked history. So that's 973,182 possible portfolio's of 2 systems and 958 million possible portfolio's of 3 systems! Theoretically should be able to handle that quiet easily - well at least the portfolio's of two systems - should just take a lot longer to calculate! Something else for me to think about.

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  #145 (permalink)
Legendary Market Wizard
Houston, TX
 
Trading Experience: Advanced
Platform: XTrader
Broker/Data: Advantage Futures
Favorite Futures: Energy
 
Posts: 3,032 since Dec 2013
Thanks: 2,464 given, 5,451 received

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