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iSystems Journal

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  #151 (permalink)
Legendary Market Wizard
Houston, TX
 
Experience: Advanced
Platform: XTrader and Cloud TT
Broker: Advantage Futures
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CrudeDude View Post
Date System(s) My P/L Hypo P/L Trading Diff Start/Stop Diff My start/stops License fees Conv. Rate My Total P/L
05/22/2019 GriBor Intra 6 _ E-mini Crude Oil QM ($270.00) ($270.00) - - - - - ($270.00)
05/24/2019 GriBor Intra 6 _ E-mini Crude Oil QM ($445.00) ($441.43) ($3.57) - - - - ($715.00)
05/27/2019 GriBor Intra 6 _ E-mini Crude Oil QM ($320.00) ($331.54) $11.54 - - - - ($1035.00)
06/03/2019 GriBor Intra 6 _ E-mini Crude Oil QM $155.00 $157.08 ($2.08) - - - - ($880.00)

Net totals (USD converted) ($880.00) ($885.89) $5.89 $0.00 0 $0.00
USD totals ($880.00) ($885.88) $5.88 $0.00
EUR totals 0.00 0.00 0.00 0.00

I bought into this isystem last month and promptly lost on 3 trades. Their performance info made it look like all I had to do is sit back and wait for the money to roll in. ha ha. Now I'm wondering if I walked into a buzz saw??


SMCJB View Post
Here's your system. As you can see unless June is at our above average performance it will already be out sample after just 6 months. Remember the darker grey band shows a one standard deviation performance band, and the light grey two standard deviations. Hence if the backtest is predictive of future performance we would expect 95% of system performance to fall in the light grey band.

Another major disappointment...


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  #152 (permalink)
Legendary Market Wizard
Houston, TX
 
Experience: Advanced
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Tradesignalgo View Post
been tracking Google Trends Monthly NQ and Google Trends Weekly NQ since Dec 2018, vastly different results even on the same logic but different parameters, if such structured systems by the professionals do not work in the long term, what is the chance of the retail that tries to build these on his own?


SMCJB View Post
One of the drawbacks of the way isystems work is that it's impossible to use a walkforward development. While not everybody uses walkforward I do believe it's more common than not with successful systematic traders. That could be a factor as to why so many of these systems appear to struggle.

Looking at those two systems specifically...

The weekly after only slightly underperforming for the first year of tracked, has really crashed in the last 5 months.



Conversley the monthly has been over performing for most of it's 2+ years of tracked performance. Unfortunately in the last seven months it's experienced two large drawdowns never before experienced. Saying that, it made the money back in both cases and is currently at new highs and has made more per month since being tracked than it did in its backtest.


And another bad one...



And finally, our first system, that a year after first being mentioned you would actually wanted to have been trading! Even this one though is in a drawdown over double what has ever been seen before.

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  #153 (permalink)
Legendary Market Wizard
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Some Thoughts.

So my original portfolio contained 6 systems, other people mentioned 8 other specific systems in this thread, so that's a total of 14 systems that have all been live for between 14months and 3 years since being mentioned.

Of those
- 1 is outperforming expectations over the long run - but is currently in a massive previously unseen drawdown!
- 3 or 4 are breakeven to slightly positive in USD results but all underperforming expectations
- 9 or 10 are negative despite having great looking backtests.

Conclusions? Don't believe backtests!

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  #154 (permalink)
Legendary Data Wizard!!!
Cincinnati Ohio
 
Experience: Intermediate
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Broker: TastyWorks
Trading: FX, Stocks, Options
 
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SMCJB View Post
Some Thoughts.

So my original portfolio contained 6 systems, other people mentioned 8 other specific systems in this thread, so that's a total of 14 systems that have all been live for between 14months and 3 years since being mentioned.

Of those
- 1 is outperforming expectations over the long run - but is currently in a massive previously unseen drawdown!
- 3 or 4 are breakeven to slightly positive in USD results but all underperforming expectations
- 9 or 10 are negative despite having great looking backtests.

Conclusions? Don't believe backtests!


Would agree.. dont trust them. Breaking it down to its simplest terms; Back testing is nothing more than a data model which tries to predict the future. A good friend of mine who is a data scientist once told me "All models are wrong but occasionally they provide good information." I believe this to be absolutely true. After messing around with automated systems for years I came to conclusion it just not possible to accurately produce the a automated system based on a long periods of historical back testing. In fact, I tried to get my data scientist friend to help me design a automated system to which he thoroughly mocked me (to this day) for my naivety for believing it could be done.

If you look at the guys who run algos, they are not using indicators or bar movement to predict the future. They are looking at order entry and capitalizing on imbalances of buy and sell orders and taking advantage of how orders are routed through the market to get better fills.

With this said, I am not saying its impossible to find a system that works. What I am saying is a broken clock is right twice a day and it possible to get lucky. However, its not sustainable long term. There is far better uses of your time and capital which can be found.

Robert

nosce te ipsum

You make your own opportunities in life.
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  #155 (permalink)
Los Angeles, CA /USA
 
Experience: Master
Platform: Sierra, CQG, Gain, Transa
Trading: Crude Oil
 
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Posts: 173 since Mar 2013
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SMCJB View Post
Update... Went up for 1 more month, and then straight down ever since.



For clarification, not trying to call out @CannonTrading in any way, just highlighting specific systems that were discussed in this thread and how they have performed since. As you can see, in almost every case the answer is 'poorly'.

Good pointers and really sums up the biggest challenge many clients/ prospects face when they decide to go with auto system or managed accounts.

Will the system continue to perform when market conditions change? how long / IF can it return from drawdown?

Very FEW systems and money managers have shown that ability and very hard to find and then the biggest question is the unknown....

I have seen quite a bit of the issues you pointed with more than a few systems and money managers these past few months. Volatility spiked, market relations and behavior changed across the board and simply put this is not the same market today as it was 8 months ago - across MANY sectors.

Diversification, evaluation and setting max risk settings before starting out any auto trading is key in my opinion.

PM with any questions about Cannon Trading (800) 454-9572 (310) 859-9572. Trading commodity futures, forex and options involves substantial risk of loss. The recommendations contained in this post are of opinion only and do not guarantee any profits. These are risky markets and only risk capital should be used. Past performance is not necessarily indicative of future results.
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