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iSystems Journal

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  #101 (permalink)
 kevinkdog   is a Vendor
 
 
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SMCJB View Post
Thank you all for your nice comments. Getting back on topic though I'm hoping @rfolgate will share some of their insights and maybe highlight some systems they think are good?

The sounds of crickets is not encouraging

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  #102 (permalink)
 SMCJB 
Legendary Market Wizard
Houston, TX
 
Experience: Advanced
Platform: Trading Technologies
Broker: Primary Advantage Futures. Also ED&F and Tradestation
Trading: Primarily Energy but also a little GE, GC, SI & Bitcoin
 
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I'm still here - and still planning on getting back to this - but for full disclosure purposes I did activate two systems today. These are not systems that I have specifically identified through analysis myself but systems that for one reason or another I have been watching for several months, and have now decided to activate.

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  #103 (permalink)
 SMCJB 
Legendary Market Wizard
Houston, TX
 
Experience: Advanced
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Broker: Primary Advantage Futures. Also ED&F and Tradestation
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Nice Start. Wish it was always like this.


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  #104 (permalink)
Tradesignalgo
Singapore
 
 
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thanks for sticking with this SMCJB, hope to see you succeed

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  #105 (permalink)
 SMCJB 
Legendary Market Wizard
Houston, TX
 
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Tradesignalgo View Post
thanks for sticking with this SMCJB, hope to see you succeed

Hopefully I'll get something more meaningful going

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  #106 (permalink)
 SMCJB 
Legendary Market Wizard
Houston, TX
 
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SMCJB View Post
Nice Start. Wish it was always like this.


Last two weeks have been a disaster. Both systems went long the Wed 10th drop, both getting stopped out, one of the system reentering the same day for a second loser! One system was long for the Tue 16th rally but didn't make nearly as much as it lost the week before. Then both systems were long again on the Thur 18th drop! This is frustrating because this is obviously as much bad timing as it is bad systems. It's especially frustrating as I specifically picked systems that didn't get smashed in the Feb/Mar drop so am surprised by their results. First system is on track to have it's worst month ever (but has had worse days), but the absolute numbers are not that significant and based upon recent performance it could easily make it back quickly. Second system is on track for worst month ever, Wed 10th was it's worse day ever and is $2 (literally) away from exceeding it's previous max drawdown.

At the request of a friend I created some dataset's for him this weekend. At the same time I refreshed my own dataset and will hopefully do some analysis in the next few days.

iSystems currently has
  • 1276 Systems of which 468 or 36.7% have been added in the last year
  • Average system has made $86,969 INCLUDING backtest
  • Average system has lost $4,066 when backtest is excluded
  • Average system has lost $743 in last 3 months
  • Average license cost is $67/month
  • Average required capital is $5,966
  • Average suggested capital is $59,072 (which is 9.9x the required capital)
  • Average maximum drawdown is $17,227
  • Average current drawdown is $12,686 (which is 74% of max drawdown)

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  #107 (permalink)
 dynoweb 
McKinney, TX
 
Experience: Intermediate
Platform: ThinkOrSwim, NinjaTrader
Broker: TOS & Rithmic
Trading: The indexes, ES, YM, NQ & RTY
 
Posts: 171 since Aug 2012
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@SMCJB I just read through this entire thread and there's really good stuff here.

I developed a few of the strategies running on isystems but will not endorse those here, nor do I trade those. But I do trade 3 of the strategies live. They are using 3 different instruments, 3 different developers and only 1 out of the 3 are profitable. The strategy which is down the most had it's biggest drawdown last month. I'm hanging in there hoping to recover. The 2nd strategy is just below B/E and is 1 trade away from going back into the black. October last year was a big DD which it has almost fully recovered. The 3rd is performing as good as I could hope. It's on it's 17th month of tracked trading and appears to be matching it's back-testing results.

I sure wish there were a couple of other good ones to add, but seeing your results, I'm thinking it's like finding a needle in a haystack. I'm sure the fees, slippage & commissions, put a real test on these strategies since they take so much off of the bottom line.

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  #108 (permalink)
 ericthewellread 
Charlotte NC/USA
 
Experience: Intermediate
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Trading: Emini ES, Forex
 
Posts: 2 since Sep 2016
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I am not sure how much benefit the readers get without knowing the names of which iSystems are being traded.
Sure, some will be losers and some will be bad systems. It seems like trick is pick a system that is a consistant winner over time, and ride out the swings.

One important key would be to verify that the iSystems real trade prices are close to the posted trade log (green) of traders using the particular system with real money. If they are, then the real results should not be wildly different from the green track record.

I just statred trading the Swing 50Plus MiniDax FDXM on 1/23. So far, my 2 trades match the posted trade log within a tick.

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  #109 (permalink)
 SMCJB 
Legendary Market Wizard
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dynoweb View Post
@SMCJB I just read through this entire thread and there's really good stuff here.

I developed a few of the strategies running on isystems but will not endorse those here, nor do I trade those. But I do trade 3 of the strategies live. They are using 3 different instruments, 3 different developers and only 1 out of the 3 are profitable. The strategy which is down the most had it's biggest drawdown last month. I'm hanging in there hoping to recover. The 2nd strategy is just below B/E and is 1 trade away from going back into the black. October last year was a big DD which it has almost fully recovered. The 3rd is performing as good as I could hope. It's on it's 17th month of tracked trading and appears to be matching it's back-testing results.

I sure wish there were a couple of other good ones to add, but seeing your results, I'm thinking it's like finding a needle in a haystack. I'm sure the fees, slippage & commissions, put a real test on these strategies since they take so much off of the bottom line.

Thanks @dynoweb for the comments. Unfortunately my isystems journey was long and a little painful. I still have hope, and really want to get back to it. I think this dataset has to have value. I just need to find that value!


ericthewellread View Post
I am not sure how much benefit the readers get without knowing the names of which iSystems are being traded. Sure, some will be losers and some will be bad systems.

Thanks @ericthewellread. My goal wasn't to have a journal of the systems I picked but to journal my analysis journey. That is why I've actually intentionally not talked about specific systems. I've also not wanted to be seen to be favoring or dishing specific systems.

ericthewellread View Post
It seems like trick is pick a system that is a consistant winner over time, and ride out the swings.

Ohhhh ... if it was that easy... from previous

SMCJB View Post
Highlighting how difficult systems picking is
(this is has been shortened - SMCJB)

I have 15498 samples of data, with 15 consecutive months of since tracked, not backtest, data. For now I am keeping back the most recent data and using 13924 samples. If a system has a 50% chance of being profitable each month, then the probability of being profitable 12 months in a row is 0.5^12 which would equate to 3.4 of my 13924 samples. In fact I have 4! Maybe surprisingly all 4 of these lost money over the next 3 months!

... cut ...

The next chart shows average profitability over the first 12 months versus average over the next 3 months for all ~14k samples.



So it does have a slight upward leaning regression, but pretty random. 189 or just 1.4% of the samples made money in 75% or more of the 12 month periods.

... cut ...

Consistent winners, don't appear to perform much better than losers going forward!

ericthewellread View Post
One important key would be to verify that the iSystems real trade prices are close to the posted trade log (green) of traders using the particular system with real money. If they are, then the real results should not be wildly different from the green track record.

They have a slippage calculation that shows that.

ericthewellread View Post
I just statred trading the Swing 50Plus MiniDax FDXM on 1/23. So far, my 2 trades match the posted trade log within a tick.

Reasonable looking equity curve. Live/Tracked performance is a completely different magnitude to the backtest though.

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  #110 (permalink)
Novadolla
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Sazon View Post
Same here. Thanks for this thread and your contributions @SMCJB.

Same here i am late to the party, but i would like to say thanks for your contribution on this topic @SMCJB

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  #111 (permalink)
Novadolla
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I've spent a great amount of time exploring Isystems, and have only found 2 systems that i think are worth investing capital into. These systems are below. Thoughts?

Gribor 6 _ E-mini Nasdaq NQ

GriBor Intra-LowCadence _ S&P MidCap DM

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  #112 (permalink)
 dynoweb 
McKinney, TX
 
Experience: Intermediate
Platform: ThinkOrSwim, NinjaTrader
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Novadolla View Post
I've spent a great amount of time exploring Isystems, and have only found 2 systems that i think are worth investing capital into. These systems are below. Thoughts?

Gribor 6 _ E-mini Nasdaq NQ

GriBor Intra-LowCadence _ S&P MidCap DM

I wouldn't consider them so far, they haven't been tracked long enough with non-back tested data. If after 6-12 month of being tracked and they appear to have kept making money like they did during the the back testing, then I would consider one or the other. Personally I would only pick one of the two at that time since they are from the same developer. They could have the same concepts used in their trading algorithm and would not give you any diversity.

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  #113 (permalink)
 ericthewellread 
Charlotte NC/USA
 
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Trading: Emini ES, Forex
 
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Novadolla View Post
I've spent a great amount of time exploring Isystems, and have only found 2 systems that i think are worth investing capital into. These systems are below. Thoughts?

Gribor 6 _ E-mini Nasdaq NQ

GriBor Intra-LowCadence _ S&P MidCap DM

Gribor 6 _ E-mini Nasdaq NQ:
Suggested capital = $20K because of $4.8K worst DD.
ROI is good, but not so consistent year to year.

GriBor Intra-LowCadence _ S&P MidCap DM
Suggested capital = $10K because of $2.7K worst DD.
ROI Looks great, but also not so consistent year to year.

Both of your choices only just began real money tracking.
I would feel better after waiting to see a longer real money tracked performance.

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  #114 (permalink)
 SMCJB 
Legendary Market Wizard
Houston, TX
 
Experience: Advanced
Platform: Trading Technologies
Broker: Primary Advantage Futures. Also ED&F and Tradestation
Trading: Primarily Energy but also a little GE, GC, SI & Bitcoin
 
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Novadolla View Post
I've spent a great amount of time exploring Isystems, and have only found 2 systems that i think are worth investing capital into. These systems are below. Thoughts?

Gribor 6 _ E-mini Nasdaq NQ

GriBor Intra-LowCadence _ S&P MidCap DM

I would agree with both @dynoweb and @ericthewellread that you need to see a longer real money tracked performance. I would also add that there backtests are very short.
As @kevinkdog advises. Watch/Incubate it for 6 months, and after that see how it has looked compared to its backtest.

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  #115 (permalink)
 mattz   is a Vendor
 
 
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SMCJB View Post
I would agree with both @dynoweb and @ericthewellread that you need to see a longer real money tracked performance. I would also add that there backtests are very short.
As @kevinkdog advises. Watch/Incubate it for 6 months, and after that see how it has looked compared to its backtest.

Just to add to your thoughts:
just to add to your thoughts:
-You will find that under real trades the drawdowns and biggest losing trades may be more significant than the hypothetical despite the success of the system. This is just the nature of real versus hypotheticals.
-In systems that trade frequently, you will find (again generalizing) that the differences between hypothetical and real are significant. Again, the system could still be good and winning, but expectations should be in place when going live.
-If you face with only hypothetical and not much live data, consider looking at the vendor's other systems. It could give you an idea of whether the vendor is just "pumping" systems or has the ability to create good models.
-You will find at times gap between "Tracked" and "Live" and this should give you an idea where people went out of the system. This at times shows human nature to withstand drawdowns, and should also signal to you whether you can withstand such drawdowns. Also, it indicates that people start and stop after large gains thinking they can "think" together with the system.
-The drawdown plus the minimum account size required gives you an idea (in my opinion) of the minimum you need in the account.

If anyone needs help with the selection of a system(S), I would be more than happy to guide you.

Thanks,
Matt Z
Optimus Futures

THERE IS A SUBSTANTIAL RISK OF LOSS IN FUTURES TRADING. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.

Trading futures and options involves substantial risk of loss and is not suitable for all investors. Past performance is not necessarily indicative of future results. You may lose more than your initial investment. All posts are opinions and do not claim to be facts. Please conduct your own due diligence. Use only Risk capital when trading Futures.
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  #116 (permalink)
 SMCJB 
Legendary Market Wizard
Houston, TX
 
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mattz View Post
-You will find at times gap between "Tracked" and "Live" and this should give you an idea where people went out of the system. This at times shows human nature to withstand drawdowns, and should also signal to you whether you can withstand such drawdowns. Also, it indicates that people start and stop after large gains thinking they can "think" together with the system.

That's a really interesting point Matt. Not something I'm going to do but there's potentially a psychology white paper hidden in these numbers. Would be interesting to see when people quit. I also think there's a lot of 'hot money' in there that probably moves around quickly. Obvious problem is that the data is a binary traded/not traded. So a system could lose 99% of its customers but as long as one remains it will still show as traded even though in reality the chickens have already fled the coop!

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  #117 (permalink)
 mattz   is a Vendor
 
 
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SMCJB View Post
That's a really interesting point Matt. Not something I'm going to do but there's potentially a psychology white paper hidden in these numbers. Would be interesting to see when people quit. I also think there's a lot of 'hot money' in there that probably moves around quickly. Obvious problem is that the data is a binary traded/not traded. So a system could lose 99% of its customers but as long as one remains it will still show as traded even though in reality the chickens have already fled the coop!

There is something that I have learned from my Managed Futures experience and CTAs, and that is to ask "How did we get there"? This means you look at the bottom line ROI and then ask what path, strategy and risk it took to get there.
This type of approach is healthier in my opinion as opposed to just looking at the yearly ROI. Any investment that offers above-average returns should be reviewed with the variables that I mentioned above. I provide this guidance if an investor asks this before choosing a strategy.

iSystems, in my opinion, is pretty transparent if the data for the system is there.

Matt Z
Optimus Futures

There is a substantial risk of loss in futures trading. Past performance is not indicative of future results.

Trading futures and options involves substantial risk of loss and is not suitable for all investors. Past performance is not necessarily indicative of future results. You may lose more than your initial investment. All posts are opinions and do not claim to be facts. Please conduct your own due diligence. Use only Risk capital when trading Futures.
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  #118 (permalink)
 autoscalper 
Sterling Heights + Michigan/USA
 
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Trading: EMD
 
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I have decided to finally take the plunge and get going with a Optimus/iSystem Account/Setup. I will be transferring an idle IRA account from Fidelity over to Optimus. I'am in the process of finding conservative strategies to start using Optimus/iSystems. I just needed a list of strategies that use "Stop Loss Orders" ALWAYS. NO EXCEPTIONS. How to i find it here - " https://optimusfutures.isystems.com/" or elsewhere. Thanks.

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  #119 (permalink)
 mattz   is a Vendor
 
 
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autoscalper View Post
I have decided to finally take the plunge and get going with a Optimus/iSystem Account/Setup. I will be transferring an idle IRA account from Fidelity over to Optimus. I'am in the process of finding conservative strategies to start using Optimus/iSystems. I just needed a list of strategies that use "Stop Loss Orders" ALWAYS. NO EXCEPTIONS. How to i find it here - " https://optimusfutures.isystems.com/" or elsewhere. Thanks.

Thank you for giving us a chance to earn your business at Optimus Futures.com
As far as we know, all the systems use one form of risk management or another, but we would be happy to choose the methods together, particularly those that would fit your risk tolerance and style of trading. We can diversify between markets, methods and different algo vendors. You will find that our approach tends to focus more on those who have a real-time track record as opposed to only hypothetical only.
Again, we appreciate your business and trust.

Kind regards,
Matt Z
Optimus Futures
There is a substantial risk of loss in futures trading. Past performance is not indicative of future results.

Trading futures and options involves substantial risk of loss and is not suitable for all investors. Past performance is not necessarily indicative of future results. You may lose more than your initial investment. All posts are opinions and do not claim to be facts. Please conduct your own due diligence. Use only Risk capital when trading Futures.
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  #120 (permalink)
 SMCJB 
Legendary Market Wizard
Houston, TX
 
Experience: Advanced
Platform: Trading Technologies
Broker: Primary Advantage Futures. Also ED&F and Tradestation
Trading: Primarily Energy but also a little GE, GC, SI & Bitcoin
 
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After an almost 6 month sabbatical across year end, doing very little, I've been really busy the last 3-4 months. Got the bug again! Drink less, Sleep less, Program or at least Research more!

I've spent a lot of time working on all sorts of weird abstract stuff. KMeans Candlestick Classification (Some really really cool visualizations - but nothing predictive yet). A Candlestick Neural Network (related to the Kmeans project but very different - failed miserably until I expanded the scope... now I may have my first neural network inspired system!). Several discussions with @OldGerman that really opened my eyes to custom sessions. (my Apologies @OldGerman I owe you at least one but probably several emails). Data mining indicator patterns to find those that work.(Jury is out, seems to be working but only time or incubation will tell. I suspect they will fail but we will see). All are a lot more interesting than watching that latest TV show! Yeah I know, get a life!

So last week I finished my Strategy Factory Club Entry for @kevinkdog's club, and my mind said "so what do we go to next?" Initial reaction was to get back to the KMeans Candlestick Classification but for some reason iSystems bounced around my head! So I opened my last iSystems code I had. Checked all my custom functions and everything seems to be working as it used to. So these evening I created two data sets, the first 15 months with the intention of using 12 to predict 3 and the second 7 months with the intention of using 6 to predict 1. It took the code longer to run than I expected (20+ minutes for each - remember I am scraping their website literally tens of thousands times) but I have my data sets.

Anyway some amusing findings as I was checking my code against some specific systems. So the first is a system that currently is in the "Top 10 iSystems for the Last Year"



Pretty impressive huh. But make sure you look at that "Since Tracked Date" or more specifically "Tracked PnL since 05/22/19". This is a system that was submitted just 6 days ago, that is now listed in the top 10 for the last year. How is a 6 day old system in the last year top 10??? Backtest for the Win I suppose! Need to set my reminder to come and check it again in a years time and see what it looks like. That brings us to system number two...



This system made $150k in the first 2.5 years of the backtest, was flat for the next 9 months, but since the backtest has ended (that light yellow hue means its tracked not backtest) it has been on a direct path to zero! (Kinda link most of my systems!)

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  #121 (permalink)
 SMCJB 
Legendary Market Wizard
Houston, TX
 
Experience: Advanced
Platform: Trading Technologies
Broker: Primary Advantage Futures. Also ED&F and Tradestation
Trading: Primarily Energy but also a little GE, GC, SI & Bitcoin
 
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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!

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?

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  #122 (permalink)
 SMCJB 
Legendary Market Wizard
Houston, TX
 
Experience: Advanced
Platform: Trading Technologies
Broker: Primary Advantage Futures. Also ED&F and Tradestation
Trading: Primarily Energy but also a little GE, GC, SI & Bitcoin
 
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Pretty Charts

Meant mosty as memory refresh




Since more than 50% of the systems are equity index's and since we know they behave completely differently than most other commodity futures (positive return bias and non asymmetric returns) I think a new 'feature' I will be creating is "Is Equity Index". This could potentially divide our data set into two. We will see.

Looking at the systems that were dropped vs currently active systems...
(Not much to see here, dropped systems if anything appear to have a higher slope).



Now looking at the systems that are equity index systems versus non-equity index systems we can see that the equity systems are a lot more noisy!



So what happens if we look at each of the Equity Index products separately? FDAX appears to have a lot more noise than anything else, but we know that the FDAX contract is significantly larger than the other contracts. I really need to redo this chart, and the prior one, with everything proportional to contract size but I don't currently have an accurate contract size variable.

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  #123 (permalink)
 SMCJB 
Legendary Market Wizard
Houston, TX
 
Experience: Advanced
Platform: Trading Technologies
Broker: Primary Advantage Futures. Also ED&F and Tradestation
Trading: Primarily Energy but also a little GE, GC, SI & Bitcoin
 
Posts: 4,052 since Dec 2013
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In case you were wondering what the non-equity charts look like. Remember these still haven't been scaled by contract size




Eyeballing these the two that appear to have a positive correlation are Euro FX (URO) and Soybeans (ZS). Euro looks likes it could be due to outliers, but here is Soybeans. Is there a reason why systems would be more effective for a single contract over others??


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

If I recall correctly you are creating a 'system' to identify isystems to trade as a portfolio. If thats the case then I'd want to include all the removed samples. I assume they were removed because they were curve fitted and sucked Live, rather than being raging winners. I also assume your 'system' includes sufficiently large number of Live tracked trades with decent performance, which means your 'system' probably avoided selecting any of the removed samples. I'm guessing that 115 that was on your list looked good tracked live, but didn't have the required track record to be included in the portfolio.

If your 'system' for selecting isystems is a WIP it certainly makes sense to include the removed.

Good luck in sorting the wheat from the chaff. Hopefully there is some wheat in there!

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 SMCJB 
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It's interesting rereading this thread, that a lot of my losses I experienced with isystems were mostly due to equity systems getting destroyed in the December '18 equity market route. License fees, commissions and brokerage where also a significant drag on the portfolio as well. Outside of that my experiences really weren't that bad. When the hard drive on my laptop failed and I lost almost two months of work, when of the really frustrating things was the loss of my charting functions. I was relatively new to R and very new to ggplot and they took me a lot of time to get right. Now that I'm considerably better at both they were a lot easier to recreate. Although I did spend way to much time trying to get the legend correct!

Back in February of 2018 @dadarara asked

dadarara View Post
algo by the name : CIRUS RVST SILVER ARTICROAK

results for live activity:
Jul17 - Feb18(curr)
+2700,-3913,+3910,+5460,+4881,+9575,-2727,+3660

looks amazing.

what am I missing? the Live activity is looking very good and in line with the historical run.

so why do I need anything else?
why this should not be the first choice ? and maybe the only one?

to which I replied...

SMCJB View Post
Your question gives me an oppurtunity to show off my latest system charts...



Two things jump out at me looking at that chart.
  • First, the fact that the equity line is below the lighter of the two gray funnels means that the system is performing 2 standard deviations worse than the backtest results.
  • Second, in the eight months that it has been live, it has had two drawdowns that were 4 times larger than the largest drawdown seen in the backtest
Performing some quick calculations the in backtest performance was $7540/month with a standard deviation of $4716, while since live it is $2943/month with a standard deviation of $4387. So your getting less than 40% of the performance with almost the same risk. (Ave/SD's 1.60 vs 0.67). So from a "compared to it's backtest perspective" I don't think it's in line with it's historical results at all. Of course that doesn't mean it isn't a good system.

So since I've just rewritten my charting function it seems a good time to see both how this system has actually done in the 15 months since, and to show off my new charts.



Very pretty huh? No seriously, the thing I find very interesting about this, is that since @dadarara asked this system has gone due south and performed terribly. Wish I could give myself a 'pat on the back' for flashing a warning sign but my results don't deserve any 'pats on the back'! Still I found it to be an interesting real world comparison.

Moving on...


sixtyseven View Post
If I recall correctly you are creating a 'system' to identify isystems to trade as a portfolio. If thats the case then I'd want to include all the removed samples. I assume they were removed because they were curve fitted and sucked Live, rather than being raging winners. I also assume your 'system' includes sufficiently large number of Live tracked trades with decent performance, which means your 'system' probably avoided selecting any of the removed samples. I'm guessing that 115 that was on your list looked good tracked live, but didn't have the required track record to be included in the portfolio.

If your 'system' for selecting isystems is a WIP it certainly makes sense to include the removed.

Good luck in sorting the wheat from the chaff. Hopefully there is some wheat in there!

I agree the obvious conclusion is to include the old data, and that is what I have started doing for now, hopefully it valuable in predicting the chaff! With regards to my prediction system, saying it's a WIP would be a stretch at this point. Since losing my hard drive I've done nothing until recently, and even then most of my recent work is data processing. Right before it failed I had just implemented a very crude random forest model and posted the results. The chart was rather crude, but blue represents trading the highest rated system every month, while red is trading the lowest rated. Rated meaning percentage of the trees within the RF (500 trees total) that voted "Good". I did discuss it in a little more detail in the quoted post.

SMCJB View Post

Obviously that shows some potential, even if you probably wouldn't want to touch it, as is. Going forward I need to do some more data processing, or more specifically identifying 'features' of the systems that I will then feed to the ML models. Obvious features would be the typical metrics, Profit Factor, Sharpe Ratio, Return to Drawdown etc. But there are less obvious ones as well. As I mentioned earlier this week "Is this an Equity System" will probably be a Binary Feature. I've thought about making "System Developer" a feature, with the idea that maybe certain developers are better than others, but I'm not sure how to handle developers that have very few systems. I could put them in an "other" category, but I'm worried that would pollute the data. Then what to do. Still hope to develop a Random Forest, Support Vector Machine, and a Neural Network and then ensemble the results and see what we get.

On a final note Ilan Levy-Major mentioned an iSystems system in his recent @CannonTrading webinar. The out of sample (non-backtest) performance of the system is charted below. While the equity curve is positive it's worth noting that in its 13 months live, it's only achieved it's AVERAGE monthly performance seen in the backtest once. Remember the black line shows backtest performance, and the grey funnels show one and two standard deviation bands around that performance. So it's currently approximately three standard deviations below backtest expectations. It's also already exceeded it's previous maximum drawdown once as well. Another case of much weaker returns but much higher risk than seen in the backtest! Again doesn't mean it's a bad system, but would you consider it to be passing or failing incubation?



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 SMCJB 
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Here's a second charting function I finished which gives a slightly wider perspective on "21265".

It's not so much the "since tracked" data doesn't match the backtest as much as it is the first 8 months of the backtest seem different to the next 27 months! If I could only ignore that first 8 months... ohhhh hang on a second I can see what that looked like, back in 30 seconds...

How that looks a lot more reasonable. I'm not sure that just ignoring the inconvenient data would be considered sound analysis though, especially since the backtest is designed on much of the data just thrown out! If that second data did represent real complete data though, I'd probably think that chart looked decent! Question is would I have stopped trading it 3 months ago when performance exceeded 2 standard deviations from expectations? Probably depend upon when you actually started trading it.

Anyway, onwards.
Here is a high level system view of the data I am dealing with.
  • 1490 Systems
  • 866 With 15 months of tracked data (Tracked before 3/1/18)
  • 268 With 15 months tracked and is profitable while tracked.
  • 362 With 15 months tracked and is profitable in the last 3 months.
  • 159 With 15 months tracked and is both profitable while tracked and in the last 3 months.
So the systems I'm trying to identify probably represent less than 20% of the data! When you have very unbalanced data sets like this it becomes difficult, because the best way to improve accuracy is improve prediction of the dominant data category but we're only interest in the less dominant data. The most obvious example of this is that if we predict every system to be poor, we are immediately 80% right!

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 SMCJB 
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Replace charts in previous deleted charts with ones that show results of trading both best and worst system.



Remember Maximum PnL definitely does not equate to "Best". Not surprisingly over 70% of the systems traded after having the Maximum PnL are FDAX systems, which is by far the largest contract. I suppose it's reassuring that the systems with the Max 12 month PnL outperformed the ones with the lowest 12 month PnL, but it's not reassuring that they still lost money. Great illustration of past performance is not a guarantee of future performance.



Now we see a much more significant out performance. But still PnL is all in the first 3 years and has been flat/negative in the 10 years since.

edit: Date shows the date of the beginning of the 12 months, hence the actual traded month is 13 months later

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 SMCJB 
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Couple more.
First (Profit Factor) looks a lot like the Sharpe chart. The second is interesting but overall ugly.



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InvestorZ
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Well this has been a very exciting and informative read. I joined futures.io for more info on isystems but it is very scarce. Literally only two threads on the entirety of the internet about isystems and they are both on this forum which is cool I guess. Two things that are discouraging to me

1. To this day, I cannot find anywhere that somebody says clearly "Yes. This is profitable". These are the systems that are good. If robot trading for the retail trader worked wouldn't there be more consensus? Or is it because it does work, and nobody wants to give out their secret sauce. Are there just not enough people doing this? I wish there was a way to see how many subscribers each system currently actually has.

2. People are hesitant to state which systems they are live trading, why? I plan to put money into MiniSp Sevilla StopTakeProfit Intraday very soon as it has a low drawdown, high win rate, at least some live profits, and doesn't require too much capital. Even though it is a newer system I am skeptically hopeful. Others that interest me are

MANDALA GASOLINE
Swing 6 _ 30y T-Bond ZB
CIRUS ST STOP 1% NASDAQ ODOR

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 KillerJukeBox 
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just wanted to chime in that I appreciate all the effort and sharing going on here. Sadly i'm not in a position to contribute on this topic, but its really interesting! thanks

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 SMCJB 
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InvestorZ View Post
Well this has been a very exciting and informative read. I joined futures.io for more info on isystems but it is very scarce. Literally only two threads on the entirety of the internet about isystems and they are both on this forum which is cool I guess. Two things that are discouraging to me

1. To this day, I cannot find anywhere that somebody says clearly "Yes. This is profitable". These are the systems that are good. If robot trading for the retail trader worked wouldn't there be more consensus? Or is it because it does work, and nobody wants to give out their secret sauce. Are there just not enough people doing this? I wish there was a way to see how many subscribers each system currently actually has.

If you pick the right systems it's profitable, but if you pick the wrong one's it's obviously not. Obviously if it was easy everybody would be doing it. I think I have shown in this thread that picking winning systems is difficult! You do make a great point though, that there doesn't seem to be anybody claiming to be doing well using this. I have several people send me direct messages about isystems, and I haven't got the impression any of them have consistently done well either.

InvestorZ View Post
2. People are hesitant to state which systems they are live trading, why?

Right from the beginning I stated it was my goal to discuss how to select the systems rather than specifically talk about the systems I picked. I obviously didn't do this so that I could then fake my results as I've made it clear I actually lost money. I must admit when I started I was expecting that this would be a money making not losing adventure, and didn't want to be responsible for people copying me. I also didn't want people to think I was favoring specific systems or to be overly criticising systems. As you will have read most of my comments talk about performance of systems as a whole or in groups, rather than as individuals.

InvestorZ View Post
I plan to put money into MiniSp Sevilla StopTakeProfit Intraday very soon as it has a low drawdown, high win rate, at least some live profits, and doesn't require too much capital. Even though it is a newer system I am skeptically hopeful. Others that interest me are

MANDALA GASOLINE
Swing 6 _ 30y T-Bond ZB
CIRUS ST STOP 1% NASDAQ ODOR

Looking at your systems, all four have almost perfect looking backtests. This makes me very concerned about over fitting and one of the reasons I value the "since tracked" or "out of backtest" data so highly.

MiniSp Sevilla StopTakeProfit Intraday is very new, and already arguably not performing like its backtest.


Mandala Gasoline is performing exactly in line with it's backtest. I find this interesting in that Gasoline/RBOB is one of the most volatile futures contract out there but this system has small wins and doesn't experience any wild swings.


Swing 6 _ 30y T-Bond ZB again is very new with only 5 months of real data. Does it concern you that in the 27 months of backtest the only losing months were <$385> and <$432> but in the first month of non backtest data it lost <$1269>?


CIRUS ST STOP 1% NASDAQ ODOR is another (rare) system that seems to be performing very much in line with its backtest.

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 CrudeDude 
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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??

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InvestorZ
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Thank you for the charts. The fact that the treasury bond one I mentioned lost the most it ever had once it went live is a good point.

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 SMCJB 
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KillerJukeBox View Post
just wanted to chime in that I appreciate all the effort and sharing going on here. Sadly i'm not in a position to contribute on this topic, but its really interesting! thanks

Thank You @KillerJukeBox


CrudeDude View Post
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??

This looks very similair to what I was saying to @InvestorZ.


SMCJB View Post
Looking at your systems, all four have almost perfect looking backtests. This makes me very concerned about over fitting and one of the reasons I value the "since tracked" or "out of backtest" data so highly.

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.

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 SMCJB 
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In the last several posts I've talked a lot about "out of backtest" performance versus in sample. Obviously this is also highly related to my initial (failed) hypothesis that systems that perform similarly in OOS vs IS are what we want to trade. I have lots of idea's on where I could take this, but last night suddenly thought why not create a variable that measures performance in relationship to the backtest. Simply
(Actual Performance - Expected Performance)/(Performance Standard Deviation)
So anything less than -2 would mean we are more than 2 SDs away from expected performance. I suspect that this as a standalone feature will be non-predictive but hope that when combined with others it could be valuable.

sixtyseven View Post
If thats the case then I'd want to include all the removed samples

As stated previously I agree. Unfortunately the only data I have for the inactive systems is the 'Out of Backtest" performance that I have previously saved. I do not have a record of their "in backtest" performance and have no way to get it now. So if I perform a calculation like this, I can only ever use currently active systems.

The actual calculation involves what I thought would be a simple code modification. Unfortunately I'm getting lots of unsuspected html errors. I don't know whether this is a code issue or an internet scrapping/isystems website issue. Time will tell.

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Tradesignalgo
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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?

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 SMCJB 
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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?

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.


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 SMCJB 
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Should add, none of those charts include June, and both systems are up in June pretty big.

Also all the Google systems are by the developer Investmood. I searched around and found their website investmood.com which is in spanish (I think) but that translate button in chrome comes in very handy! Reading their blog I found several interesting passages
In March of 2019 the Big Data System of Algorithmic Trading " Google Trends Monthly ES " has made two years verifying its predictions in the real market. This system takes long or short monthly positions based on an IA model based on what the population of the entire world looks for on the Internet, therefore based exclusively on investor sentiment. We observe that the ROI over these two years has been 52%, and that of the 24 months in which it has been operating only in 4 it has experienced losses (83% success rate of the model). This is the InvestMood system that has a better Trading Motion rating, showing that the investor sentiment measured globally is a valid predictor of the evolution of the S & P 500
and
We welcome the new big data algorithmic trading system developed by InvestMood and that is already available through Trading Motion and iBroker . In this case it is the Google Trends Weekly RTYwhich differs from the rest of InvestMood's systems in that the predictions do not come from a single model of artificial intelligence, in this case the predictions about the trend (rise / fall) of the Russell index, over the next week, result from the combination of 6 models of artificial intelligence on the weekly and monthly trend of the main American indices (Dow Jones, Nasdaq and S & P500). We have used the predictions made by these 6 models in 2018 so there is no backtesting and what the historical shows is simply the result of the combination of these models throughout 2018. It also has the following characteristics:

Name: Google Trends Weekly RTY
Predictor: Google Trends
Stop Loss: 6%
Take Profit: 9%
Algorithm: Bayesian Networks
Periodicity: Weekly Training: C omombination of models Instrument with which it operates: Future Mini-Russell CME (USD) Probability of entry : Swing

Note: Trading Motion is the European equivalent of iSystems

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Tradesignalgo
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SMCJB View Post
Should add, none of those charts include June, and both systems are up in June pretty big.

Also all the Google systems are by the developer Investmood. I searched around and found their website investmood.com which is in spanish (I think) but that translate button in chrome comes in very handy! Reading their blog I found several interesting passages
In March of 2019 the Big Data System of Algorithmic Trading " Google Trends Monthly ES " has made two years verifying its predictions in the real market. This system takes long or short monthly positions based on an IA model based on what the population of the entire world looks for on the Internet, therefore based exclusively on investor sentiment. We observe that the ROI over these two years has been 52%, and that of the 24 months in which it has been operating only in 4 it has experienced losses (83% success rate of the model). This is the InvestMood system that has a better Trading Motion rating, showing that the investor sentiment measured globally is a valid predictor of the evolution of the S & P 500
and
We welcome the new big data algorithmic trading system developed by InvestMood and that is already available through Trading Motion and iBroker . In this case it is the Google Trends Weekly RTYwhich differs from the rest of InvestMood's systems in that the predictions do not come from a single model of artificial intelligence, in this case the predictions about the trend (rise / fall) of the Russell index, over the next week, result from the combination of 6 models of artificial intelligence on the weekly and monthly trend of the main American indices (Dow Jones, Nasdaq and S & P500). We have used the predictions made by these 6 models in 2018 so there is no backtesting and what the historical shows is simply the result of the combination of these models throughout 2018. It also has the following characteristics:

Name: Google Trends Weekly RTY
Predictor: Google Trends
Stop Loss: 6%
Take Profit: 9%
Algorithm: Bayesian Networks
Periodicity: Weekly Training: C omombination of models Instrument with which it operates: Future Mini-Russell CME (USD) Probability of entry : Swing

Note: Trading Motion is the European equivalent of iSystems

Interesting background, at least we know that there is some usable application of AI and sentiment in trading, if this really sustains, not sure if the AI incorporates machine learning and adapts along the way. Ideally it should work longer than traditional based technicals and therefore the Weekly_NQ should recover back to new equity highs soon

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 SMCJB 
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Finally something predictive?

SMCJB View Post
In the last several posts I've talked a lot about "out of backtest" performance versus in sample. Obviously this is also highly related to my initial (failed) hypothesis that systems that perform similarly in OOS vs IS are what we want to trade. I have lots of idea's on where I could take this, but last night suddenly thought why not create a variable that measures performance in relationship to the backtest. Simply
(Actual Performance - Expected Performance)/(Performance Standard Deviation)
So anything less than -2 would mean we are more than 2 SDs away from expected performance.

So this is the distribution of the 22597 samples of twelve months of tracked data versus the backtest, for systems that are still active.
Only approximately 9.5% of systems have performance better than expected from the backtest!
Median performance is -0.46 meaning 0.46 standard deviations below backtest.



And here's what our results would have been if each month we traded the system that had the highest/lowest/nearest performance in the previous 12 months when compared to the backtest.


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 sixtyseven 
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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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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!

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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 SMCJB 
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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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 SMCJB 
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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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 SMCJB 
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For a private DM. Can't attach these to the message.


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 SMCJB 
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As a (potentially final) update I closed the account that I had used for trading iSystems right before year end. While I still find this dataset very interesting I just don't have the time to do the analysis I would like. All in all this ended up being quiet an expensive experiment!

A final word of warning is that I should probably highlight that 32% of my losses where system fees and commissions. I think anybody actively trading iSystems (or anything similar) will probably find that system fees and commissions are 5% or even higher annually* on a properly funded account. Unless you have some edge that's quiet a heavy cost structure to overcome, especially if you compare it to any CTA index!

*While I did have the account open for 2 years 3 months, I only actively traded in 11 of the 27 months. Obviously how well your account is funded will have a big impact on what fees are as a percentage of equity. I would consider my account to be well funded and my systems fees and commissions in those 11 months was 8.2% which would be about 9% on an annualized basis!

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 SMCJB 
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BLAST FROM THE PAST !

Guess who's back, back again
SMCJB's back, tell a friend
- Without Me, Eminem

So to recap, 3 years ago almost exactly....

SMCJB View Post
Saturday 5th August

In @kevinkdog’s Strategy Factory class, he teaches how to test and develop trading systems. Once you have developed a system, he teaches that the last thing you should do before going live is to ‘incubate’ the system. This basically means that you watch the system for a period of time to verify that it’s performance is what you expect to be. If the system performs significantly different during incubation than it did in backtest, that’s probably the best warning you could get that something is probably wrong, without risking and losing real money.

I’m not going to go into detail about what iSystems is because I assume that if you are reading this then you probably already know. Something that I do want to mention though is how the iSystems timeline works. Each system has a “Start Date”, a “Tracked Since Date” and a “Live Since Date”. The way I interpret this is that the “Start Date” is the date that the backtest starts. The “Tracked Since Date” is the date that isystems started tracking or following the system, and is such outside of the backtest. Finally the “Live Since Date” is the date that somebody first started trading the system.

While I am interested in how systems have performed in there backtest, what I am really interested in is how they have performed outside the backtest, aka since being tracked. The main “Explore Systems” table has lots of good information on systems including Drawdowns, Sharpe Ratio’s etc but nearly all of this information includes the backtest. While it is possible to see the statistics only since tracked on the individual system pages, it is not possible to see this data for all systems on the “Explore Systems” page.

At the time of writing, iSystems has 869 systems that have an average start date of June’06 (11.1 years) and an average tracked since date of May’15 (2.2 years). The systems have an average backtest PnL of just over $100K (almost $9k/year) but an average PnL since being tracked that is negative!!! Obviously it is important to separate the wheat from the chaff – assuming there is some wheat to be found.

In line with Kevin’s ‘incubation’ period the first thing that I did was eliminate every system that hadn’t been tracked for a minimum period of time and any system that didn’t have a positive PnL since being tracked. This reduced my system universe from 869 to 158. The systems have an average backtest PnL of over $105K and an average PnL since being tracked of almost $12k. This equates to over $11k/year and $3.5k/year respectively.



For these systems I calculated average yearly profit since their start date, and since the tracked date. The ratio of these two values, Since Tracked divided by Since Start, is one of my key indicators. Using this ratio along with Profit Factor and the three risk ratios, Sharpe Sortino & Sterling, I further reduced my system universe from 158 to 32. The 32 systems have an average start date of May’06 (11.2 years) and an average tracked since date of Mar’15 (2.4 years).

The systems have an average backtest PnL of over $120K and an average PnL since being tracked of almost $16k. This equates to almost $14k/year and $6.5k/year respectively. The 32 systems, are from 15 different developers, spanning 10 different symbols (although FDAX is 11 of the 32), with an approximate 2:1 intraday:swing ratio.

Now that I have a manageable amount of systems I download all the monthly data for each system and calculated average PnL, Profit Factor, Sharpe Ratio and Sortino Ratio* for each system, both since start and since tracked, and the ratio of the two. The average ratios where
Monthly Average PnL 69%
Sharpe Ratio 69%
Sortino Ratio 67%

My goal is to find the portfolio of systems that has the best risk to reward, while at the same time having a since tracked performance as close to possible to the backtest. As such we are not looking at outright PnL numbers, but are only interested in profit scaled by risk. There was actually one system, whose performance has been so much better since tracked than the backtest that I eliminated it (at least for now).

I have recently spent a lot of time looking at portfolio optimization and have written a Monte Carlo program in excel, to optimize portfolio building. Unfortunately with most of these systems, the backtests look so good, that when combined into portfolio’s the portfolio show’s unrealistic results, in many cases resulting in zero drawdowns. I could repeat the process only using ‘since tracked’ data but the data set would be so small I don’t think it would be statistically significant. I wish I could perform this type of analysis on a better granularity than monthly, but unfortunately that’s not possible. While I can drill down to the per trade data for individual systems, since trades don’t line up day to day, there’s no way to model portfolio performance without day by day, rather than trade by trade, PnL.

Looking predominantly at since tracked Profit Factor, Sharpe Ratio and Sortino Ratio, but also taking into consideration the ‘since tracked/since start’ ratio’s I selected 6 systems which ranked 1, 2, 3, 5, 6 & 9 in my rankings. The #4 ranked system was the already mentioned system whose since tracked results are significantly higher than the back test. The #7 system was a swing system but I wanted another day trading system. The #8 system was a day trading system but it trades the same symbol as my only other day trading system.

So I have 6 systems, from 5 different developers, trading 5 different symbols, 4 swing and 2 intra day. The average start date is Apr’09 (8.3 years), tracked date is Apr’16 (1.3 years), backtest profit of just over $100k ($14.5k/year) and since tracked profit of almost $14k ($10.4k/year).



*When calculating the Sortino Ratio I have found that dividing the square of the negative returns by the number of negative returns rather than the total number of returns, yields a ratio that has a lower correlation to the Sharpe Ratio, which I prefer.

So what happened to that Portfolio of 6 systems over the last 3 years.....






So what do I think?

To be honest the results are actually better than I expected, I really did wonder whether the portfolio would be in severe drawdown! I can confidently say though I'm glad I wasn't trading that protfolio for the last 3 years. If you had invested in Aug'17 like I did and held the position until now (which I didn't!) you would have been in a continual drawdown until March of this year. Even with the run up in the last 5 months performance is significantly below what would be expected and drawdowns have been 800% of what was modelled in the backrest. The Simplified* Monthly Sharpe Ratio of the Portfolio while the systems were in backtest was 1.18 but while the systems have been 'live' this has dropped to 0.17. Since Aug'17 it has been just 0.09. I literally picked the worse month possible to invest, the start of a 31 month drawdown!

NOTE: The drawdown values illustrated and discussed represent % drawdown of the portfolio INCLUDING backtest results. If we were to just look at the live results and assume the portfolio was backed with $100,000 then the drawdown would have maxed at 33%. Similar analysis since Aug'17 would have yielded a max drawdown of 49%! As you see from the 4th chart, for most of the 3 years, all 6 systems were in an individual drawdown.

* For the Quants out there, I say simplified because in this example I'm calculating the Sharpe Ratio as the 'Average Monthly $ Profit divided by the Standard Deviation of the Monthly $ Profit'. This ignores the risk free interest rate and also the complication of calculating what the theoretical** 'return' is of a highly leveraged futures portfolio.
** What is the denominator in the return of a futures contract? The Margin Requirement? The Notional Size of the Contract? For iSystems is it the 'Suggested Capital' or is it the "Minimum Capital". Do either of these really relate to the capital of a portfolio of non-correlated systems?

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 SMCJB 
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dadarara View Post
algo by the name : CIRUS RVST SILVER ARTICROAK

results for live activity:
Jul17 - Feb18(curr)
+2700,-3913,+3910,+5460,+4881,+9575,-2727,+3660

looks amazing.

what am I missing? the Live activity is looking very good and in line with the historical run.

so why do I need anything else?
why this should not be the first choice ? and maybe the only one?


SMCJB View Post
Greetings @dadarara and thank you for your interest in this thread.

First let me say, when I did my initial work this system was only weeks old and as such was eliminated from the analysis. Since I decided the hypothesis that recent performance similar to that in the back test isn't necessarily a good indicator of future success, I have not analyzed any new systems. I know from reference tables though that isystems have added a lot (and deleted a few) systems recently.

Your question gives me an oppurtunity to show off my latest system charts...



Two things jump out at me looking at that chart.
  • First, the fact that the equity line is below the lighter of the two gray funnels means that the system is performing 2 standard deviations worse than the backtest results.
  • Second, in the eight months that it has been live, it has had two drawdowns that were 4 times larger than the largest drawdown seen in the backtest
Performing some quick calculations the in backtest performance was $7540/month with a standard deviation of $4716, while since live it is $2943/month with a standard deviation of $4387. So your getting less than 40% of the performance with almost the same risk. (Ave/SD's 1.60 vs 0.67). So from a "compared to it's backtest perspective" I don't think it's in line with it's historical results at all. Of course that doesn't mean it isn't a good system.

Here's an Update.... hopefully you didn't invest....


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 SMCJB 
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SMCJB View Post
On a final note Ilan Levy-Major mentioned an iSystems system in his recent @CannonTrading webinar. The out of sample (non-backtest) performance of the system is charted below. While the equity curve is positive it's worth noting that in its 13 months live, it's only achieved it's AVERAGE monthly performance seen in the backtest once. Remember the black line shows backtest performance, and the grey funnels show one and two standard deviation bands around that performance. So it's currently approximately three standard deviations below backtest expectations. It's also already exceeded it's previous maximum drawdown once as well. Another case of much weaker returns but much higher risk than seen in the backtest! Again doesn't mean it's a bad system, but would you consider it to be passing or failing incubation?



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'.

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 SMCJB 
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InvestorZ View Post
MANDALA GASOLINE
Swing 6 _ 30y T-Bond ZB
CIRUS ST STOP 1% NASDAQ ODOR


SMCJB View Post
MiniSp Sevilla StopTakeProfit Intraday is very new, and already arguably not performing like its backtest.


Mandala Gasoline is performing exactly in line with it's backtest. I find this interesting in that Gasoline/RBOB is one of the most volatile futures contract out there but this system has small wins and doesn't experience any wild swings.


Swing 6 _ 30y T-Bond ZB again is very new with only 5 months of real data. Does it concern you that in the 27 months of backtest the only losing months were <$385> and <$432> but in the first month of non backtest data it lost <$1269>? Anyway another system that was down for the 11 months following the original post but has finally turned positive in the last two months. (We found one!!)


CIRUS ST STOP 1% NASDAQ ODOR is another (rare) system that seems to be performing very much in line with its backtest.

System 1, down since.


For some reason getting an error in my code for the second system. Can not replicate this with any other system. I think its related to the "-" in Feb 2019. Since the system costs $75/month is this suggesting the system made exactly $75 resulting in a net zero? A quick review of the 3 trades for the month implies not profits were $273 before commissions and slippage!?!


System 3. Flat since. Significantly underperforming expected results.

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 SMCJB 
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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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 SMCJB 
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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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 SMCJB 
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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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 Silver Dragon 
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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

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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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 Mabi 
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I do something in a copier i build for Mt4 and Mt5 to get around the problem of underperfroming strategies so far it has work great but it is only 100 days since i started. But orignal portfolios are at loss which was expected since there is a lot of exotics.

For example :
Copier only copy trades from a strategy if Strategy has above 60% winrate last x trades but it will copy only when it have had 2 loosers in a row and stop when it have acheived 2 win and start over. The combinations of winnner / loosers/winners and aswell rolling x trades Profitfactor all seems to improve result when combined with winrate looking back x trades.

One thing that seems to be correct in backtest is actually winrate . Take break outs their winrate is usally around 37-45 % overtime but when they are working and making money they have a winrate above 60 %. So now i am trading 1350 strategies and are sorting out the ones that work plus adding some safty by trading them first after x loosers. a bit Crazy i know but had to try it and so far it looks great. I also can sort portfolios based on their performance using indicators simple and nested (whatever) and only copy the good ones but this do not seems to work that well and it is probably better to copy them in some drawdown % so it works alot better on indivdual strategies using current last x trades winrate as base performance factor.

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 Mabi 
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Here is another way to analyse portfolios and strategies in a portfolio. It is a quota from a private chat. More realated to what has been done here.

Last Portfolio with 80 strategies made 7.2% that was good. I found something about strategies. The overall portfolio forecast was very good. I had only 5% of chances to get below 20% of growth and got 7.2% appearing that portfolio forecast is superestimated. So I analyze each strategy in portfolio and found some "rotten apples" strategies between them that could impact of future forecast. There was a strategy that the forecast was only $40 dollars with standard deviation of $930 dollars. For this example of strategy, profit or loss is a flip coin case. Completely random and there is no reason to keep this strategy in portfolio. So, I made a final of final version of building portfolios hehe. The difference first I filter all strategies using last 100 weeks to get the ones with 99% of chance to have a mean above 0. From 1750 strategies that I have, only 25 passed all criterias (T statistic > 2.85, no autocorrelation and normally distributed for forecast validation). And the best portfolio built, use only 18 from 27. small number of strategies but all of them have a high chance to profit in future. Lets see the result, but until now, is performaming better then a big portfolio.

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 SMCJB 
Legendary Market Wizard
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Thanks @Mabi. Both posts very interesting.

Mabi View Post
For example :
Copier only copy trades from a strategy if Strategy has above 60% winrate last x trades but it will copy only when it have had 2 loosers in a row and stop when it have acheived 2 win and start over. The combinations of winnner / loosers/winners and aswell rolling x trades Profitfactor all seems to improve result when combined with winrate looking back x trades.

One thing that seems to be correct in backtest is actually winrate . Take break outs their winrate is usally around 37-45 % overtime but when they are working and making money they have a winrate above 60 %. So now i am trading 1350 strategies and are sorting out the ones that work plus adding some safty by trading them first after x loosers. a bit Crazy i know but had to try it and so far it looks great. I also can sort portfolios based on their performance using indicators simple and nested (whatever) and only copy the good ones but this do not seems to work that well and it is probably better to copy them in some drawdown % so it works alot better on indivdual strategies using current last x trades winrate as base performance factor.

I think that is what people would think of as equity curve trading? I belive the famous Turtle Trading System did something similar, but in their case they would skip the next trade if the previous trade was a winner. For me and iSystems I only built the ability to retrieve the monthly PnL so could not do anything as elaborate as that.


Mabi View Post
Here is another way to analyse portfolios and strategies in a portfolio. It is a quota from a private chat. More realated to what has been done here.

Last Portfolio with 80 strategies made 7.2% that was good. I found something about strategies. The overall portfolio forecast was very good. I had only 5% of chances to get below 20% of growth and got 7.2% appearing that portfolio forecast is superestimated. So I analyze each strategy in portfolio and found some "rotten apples" strategies between them that could impact of future forecast. There was a strategy that the forecast was only $40 dollars with standard deviation of $930 dollars. For this example of strategy, profit or loss is a flip coin case. Completely random and there is no reason to keep this strategy in portfolio. So, I made a final of final version of building portfolios hehe. The difference first I filter all strategies using last 100 weeks to get the ones with 99% of chance to have a mean above 0. From 1750 strategies that I have, only 25 passed all criterias (T statistic > 2.85, no autocorrelation and normally distributed for forecast validation). And the best portfolio built, use only 18 from 27. small number of strategies but all of them have a high chance to profit in future. Lets see the result, but until now, is performaming better then a big portfolio.

Be curious to know what "get the ones with 99% of chance to have a mean above 0" actually means?

While I didn't try exactly what you are saying here, those were exactly the type of rules I was trying to use. Highlighting a previous post though, past performance definitely was not a predictor of future performance, even when looking at the best performing systems..


SMCJB View Post
Highlighting how difficult systems picking is

I have 15498 samples of data, with 15 consecutive months of since tracked, not backtest, data. For now I am keeping back the most recent data and using 13924 samples. If a system has a 50% chance of being profitable each month, then the probability of being profitable 12 months in a row is 0.5^12 which would equate to 3.4 of my 13924 samples. In fact I have 4! Maybe surprisingly all 4 of these lost money over the next 3 months!


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 Mabi 
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To know the confidence pl monthly mean for example, calculate t statistic = monthly mean / monthly standard deviation * sqrt(number of months). With t statistic you can use a function in excel tdist to found the probability given t statistic and sample size (months).

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 Mabi 
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Made an Excel last year were i could test diffrent combinations of Winners,Looser, Winrate to see if it had any impact on result and it had so thats why i implemented it automated of course. I made sevral versions could only find this one that still works. It is 6000 real trades on mini accounts FX ( breakout trades only). You can try it out on Isystems maybe. But each strategy need to have a identification and i suppose you do not have this. .MagicAnalyser_working.zip

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 SMCJB 
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Mabi View Post
To know the confidence pl monthly mean for example, calculate t statistic = monthly mean / monthly standard deviation * sqrt(number of months). With t statistic you can use a function in excel tdist to found the probability given t statistic and sample size (months).

The old T-Stat. Been a long time since I did my Statistics class.

So this was my portfolio.


Assuming I'm doing the Math right

The backtest/red line has Mean Monthly PnL 7749, StDev 6585 and Month Count of 68. Hence the Std Err is 799.

To test whether this is significantly different than zero (7749-0)/799 = 9.73 which has a p value of 0. Given that it actually did make money I guess that is accurate.

Now to test whether this is significantly different than 50% of the mean (7749-3875)/799 = 4.85 which still has a p value of 0. Actual performance for the 54 blue and green values had an average of 2577. So even though the test says we have an approximate 100% change the mean of population is above 3875, our next 54 observations had an average of just 2577.

I have to test whether this is significantly different than 6417 (7749-6417)/799 = 1.67 until I get a p value of 0.05. 6417 is 249% of the actual realized 2577

Finally If I test whether this is significantly different than 7749 (7749-7749)/799 = 0 which has a p value of 0.5 as we would expect.

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 Mabi 
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Okey . I am actually not using T stat. yet I have plugin for it for a program with Java math libraries so i will test start testing diffrent periods for forcasting in automated workflows making strategies. The key i understand from people that are using it is to test diffrent periods because forcast validity is limited and time based. If you use 100 weeks of data you can forcast only 5 weeks. So with 68 months your forcast is only valid for 3.4 months. My buddy who is using it found it best to only use last 100 weeks data and forcast 5 weeks and then rebuild his portfolios.

Also

We need calculate using each strategy because they are independent. So, the standard error generally is greater because we take in account covariance between strategies and there Variances. I use modern portfolio theory in this case, that is the same summing samples approuch in statistics. for example, a portfolio with two strategies, portfolio mean would be Str1mean + Str2mean. And the Portfolio Variance would be str1Var + str2Var + 2correlation12str1stdErr*str2stdErr (Covariance). Portfolio total std error would be square from Total Variance. Doing this, the risk will be more realistic.

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 SMCJB 
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Mabi View Post
If you use 100 weeks of data you can forcast only 5 weeks. So with 68 months your forcast is only valid for 3.4 months. My buddy who is using it found it best to only use last 100 weeks data and forcast 5 weeks and then rebuild his portfolios.

That makes a lot of sense. Which leads me to the following charts which hopefully are self explanatory. (Again the underlying is my original portfolio of 6 systems).




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 SMCJB 
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Sharpe Ratio, T-Stat and Van Tharp's System Quality Number

Sharpe Ratio = Average (Return - Risk Free Return) / Standard Deviation (Return - Risk Free Return)
t-Stat = (Average - μ)/ Standard Deviation / SQRT(count) = SQRT(count) * (Average - μ) / Standard Deviation
Van Tharp's System Quality Number = SQRT(minimum(100, count)) * Average(Trade Pnl) / Standard Deviation(Trade PnL)

So in the case when Risk Free Return = 0 and μ = 0

Sharpe Ratio = Average (Return) / Standard Deviation (Return)
t-Stat = Average/ Standard Deviation / SQRT(count) = SQRT(count) * Average / Standard Deviation
Van Tharp's System Quality Number = SQRT(minimum(100, count)) * Average(Trade Pnl) / Standard Deviation(Trade PnL)

So basically they are the same thing but multiplied by a scalar.

Obviously a t-Test then compares the t-Stat to the T-Distribution, which isn't a linear relationship, actually looks like a sigmoid function.





If I go back to the data I last saved, which was June'19 and pick the three systems with the highest calculated Sharpe Ratio (defined as Average Monthly PnL / Standard Deviation of Monthly PnL) these are the three systems...







That's three pretty ugly systems, especially that last one!

My conclusion, which I had already reached a long time ago, is that the Sharpe Ratio of a backtest is as unreliable as any other statistic from an overfit backtest. By extension a T-test is also.

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 SMCJB 
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SMCJB View Post

Y Axis should be T-Stat not Probablility

SMCJB View Post
My conclusion, which I had already reached a long time ago, is that the Sharpe Ratio of a backtest is as unreliable as any other statistic from an overfit backtest. By extension a T-test is also.

Key words in that statement are overfit backtest. By definition an overfitted back test isn't an independent distribution, it's already been cherry picked

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kansaisupra
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Just wanted to thank SMCJB for your awesome thread.

As people have mentioned, there is very little material on Isystems review that is not an affiliate link or some sponsor. So glad to have found this thread.

Just wanted to share my experience with Isystems as well. I wish I would have read this thread before I signed up but better late then never I guess.

I signed up through AMP futures and started with one bot. Looking at the backtesting results looks pretty tempting to try.
First trade the bot made I was up a decent amount so I was like great start. Signed up for a few more bots and made a few more positive trades. Then probably the next few days, all the bot end up hitting their biggest drawdowns. Coincidence, who knows.

I think finding a profitable bot is probably harder then picking the right mutual fund. Its basically just pray and see what happens. I was really thinking I need a longer sample size but it seems like over the long run, just the fees, commissions is the biggest hurdle to overcome because then you already starting in the negative.

Can you be profitable using these bots? I think so but a lot of what determines is pure luck. Picking right bot, and running the bot at the right time. Someone mentioned before they were activating the bot when it was its in worst draw down or when it was losing, I tried that, led to more losses. Thats like going to Vegas and playing roulette using the past history board to determine the future results. its a random event with no memory of the past.

I think the seduction of the past performance chart, hooks you in, thinking it will keep repeating those results but there is no guarantee it will do that. I think if you have a large bankroll, meaning your using Suggested Capital and your okay with losing it all, I think it could work out.

I started with this experiment knowing full well I was okay losing money but I think if I keep it going, Ill eventually lose it all. Yes you will win here and there but overall the odds are against you in being profitable in the long term.

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 SMCJB 
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@kansaisupra thanks for your comments. My attempt was to try and find a systematic way to pick good systems. I obviously failed.

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SMCJB View Post
@kansaisupra thanks for your comments. My attempt was to try and find a systematic way to pick good systems. I obviously failed.

Thank you SMCJB for your effort and analysis. I gladly enjoyed your review.

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FinTrader1
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SMCJB View Post
Greetings and welcome to my iSystems Journal.

While most people seem to create journals to help them with the psychological aspects of trading, the intent of this journal is to document my experiences with isystems.com in the hope that it may be helpful to others trying to do the same. Before reading this journal I would recommend you read the isystems thread here at futures.io, On pages 2, 3 and 4 I posted some preliminary analysis, which I will not be re-posting here.

It is my expectation that I will update results approximately once per month, with additional posts as needed.

While I plan to outline the methodology I use to select systems, I do not intend to identify specific parameters, or to identify the exact systems that I choose. I’m not trying to do all the work for you!

I would like to thank @mattz and @Stage5 Anthony for their input to the isystems thread and to @kevinkdog, who taught me the concept of incubating systems.

Let me know how this goes I've been using I-Systems along with futures historical volatility.

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 SMCJB 
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FinTrader1 View Post
Let me know how this goes I've been using I-Systems along with futures historical volatility.

There's 17 pages of 'how it went'!

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FinTrader1
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kansaisupra View Post
Just wanted to thank SMCJB for your awesome thread.

As people have mentioned, there is very little material on Isystems review that is not an affiliate link or some sponsor. So glad to have found this thread.

Just wanted to share my experience with Isystems as well. I wish I would have read this thread before I signed up but better late then never I guess.

I signed up through AMP futures and started with one bot. Looking at the backtesting results looks pretty tempting to try.
First trade the bot made I was up a decent amount so I was like great start. Signed up for a few more bots and made a few more positive trades. Then probably the next few days, all the bot end up hitting their biggest drawdowns. Coincidence, who knows.

I think finding a profitable bot is probably harder then picking the right mutual fund. Its basically just pray and see what happens. I was really thinking I need a longer sample size but it seems like over the long run, just the fees, commissions is the biggest hurdle to overcome because then you already starting in the negative.

Can you be profitable using these bots? I think so but a lot of what determines is pure luck. Picking right bot, and running the bot at the right time. Someone mentioned before they were activating the bot when it was its in worst draw down or when it was losing, I tried that, led to more losses. Thats like going to Vegas and playing roulette using the past history board to determine the future results. its a random event with no memory of the past.

I think the seduction of the past performance chart, hooks you in, thinking it will keep repeating those results but there is no guarantee it will do that. I think if you have a large bankroll, meaning your using Suggested Capital and your okay with losing it all, I think it could work out.

I started with this experiment knowing full well I was okay losing money but I think if I keep it going, Ill eventually lose it all. Yes you will win here and there but overall the odds are against you in being profitable in the long term.

Can you be profitable using these bots? I think so but a lot of what determines is pure luck. Picking right bot, and running the bot at the right time.

I have had success with this strategy for example picking BP system is December and GC in January. Using historic volatility for certain months I have been profitable over the last six months. Still a novice in futures overall and not a lot of experience. I think adding LIVE P/L in my search criteria has helped me pick good systems too.

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SMCJB View Post
There's 17 pages of 'how it went'!

My apologies I'm new to this site. I see now for some reason when I first saw the post I couldn't see all the pages. Hope all is well talk to you soon.

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 SMCJB 
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No worries @FinTrader1. Hope you enjoy futures.io. I think you will find there is a wealth of information here.

TLDR of this thread: I approached my iSystems journey by trying to identify systematic/statistical methods to identify and trade profitable trading systems. This was a real money experiment and it failed! Lots of analysis and discussion as to how and why.

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