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iSystems Journal
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iSystems Journal

  #1 (permalink)
Market Wizard
Houston, TX
 
Futures Experience: Advanced
Platform: XTrader
Broker/Data: Advantage Futures
Favorite Futures: Energy
 
Posts: 2,078 since Dec 2013
Thanks: 1,723 given, 3,279 received
Forum Reputation: Legendary

iSystems Journal

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. Iím 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.

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  #2 (permalink)
Quick Summary
Quick Summary Post

This is Real Money, no Sim Trading here.

REFERENCES

iSystems Thread at futures.io
https://futures.io/trading-reviews-vendors/35944-www-isystems-com.html

Brokers at futures.io that support iSystems
Matt at Optimus Futures, @mattz
Anthony at Stage 5 Trading, @Stage5 Anthony

iSystems Website
https://www.isystems.com/
https://optimusfutures.isystems.com/
https://stage5.isystems.com/

Other interesting isystems links
Optimus Futures :- Ratios Used in Evaluating Automated Trading Systems
Optimus Futures :- Steps to finding potentially successful automated trading strategies
Stage 5 Trading :- Futures.io Webinar (57mins)


Last edited by SMCJB; August 19th, 2017 at 12:58 PM.
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  #3 (permalink)
Market Wizard
Houston, TX
 
Futures Experience: Advanced
Platform: XTrader
Broker/Data: Advantage Futures
Favorite Futures: Energy
 
Posts: 2,078 since Dec 2013
Thanks: 1,723 given, 3,279 received
Forum Reputation: Legendary


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.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


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).

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


*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.


Last edited by SMCJB; August 7th, 2017 at 11:22 PM.
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  #4 (permalink)
Market Wizard
Boca Raton
 
Futures Experience: Advanced
Platform: Variety
Broker/Data: Optimus Futures, LLC
Favorite Futures: Futures
 
mattz's Avatar
 
Posts: 2,040 since Sep 2010
Thanks: 1,920 given, 2,753 received
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I wish you well on your automated systems journey.

Thanks,
Matt Z
Optimus Futures

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

PM with any questions about optimusfutures (800) 771-6748 (561) 367 8686. THERE IS A SUBSTANTIAL RISK OF LOSS IN FUTURES TRADING.
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  #5 (permalink)
Market Wizard
Houston, TX
 
Futures Experience: Advanced
Platform: XTrader
Broker/Data: Advantage Futures
Favorite Futures: Energy
 
Posts: 2,078 since Dec 2013
Thanks: 1,723 given, 3,279 received
Forum Reputation: Legendary

Monday 7th August

So over the weekend I activated 6 systems in my iSystems account. All 4 of my swing systems have open positions, two in the money and two out of the money. One of the positions has been open for over a month.

On Monday, the first trading day after activation, one of the two systems that is out of the money, entered a trade, at a price significantly better than the original signal. The two systems that have open in the money positions both say that they will activate on the next entry. The other system that has a current position out of the money did nothing and I'm not sure why - would have expected it to enter at the better price as well - have emailed the broker.

My first brokerage statement shows the first trade outlined above. As of yet it does not show any of the system license fees.

While 2 of my 6 systems are Euro denominated, my first position is USD so not sure how the Euro margining will work yet.

Happy Trading

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  #6 (permalink)
Trading Apprentice
Columbus, OH
 
Futures Experience: None
Platform: NinjaTrader
Favorite Futures: YM, Crude CL
 
Posts: 3 since Aug 2017
Thanks: 4 given, 0 received

Standing By...

Great stuff! I'll be paying close attention to this thread. I too am wanting to go live with a few of these systems, but the P&L just seems too good to be true. I look forward to seeing how the incubation progresses. Thanks for doing the leg work for us!

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  #7 (permalink)
 Vendor: www.orderflowdashpro.com 
North Carolina
 
Futures Experience: Beginner
Platform: NinjaTrader, Tradestation
Favorite Futures: es
 
Posts: 365 since Nov 2011
Thanks: 111 given, 354 received

Good luck! I offered 2 C2 futures system in 2011, one discretionary and the other systematic, both were top ranked. I had about 20 systems on my watch list from other developers that I felt were strong based on metrics. Today, none of the original systems are offered, including my own. I took my system private near equity highs because I wasn't making enough from the subs to make it worthwhile. It has continued to perform more or less in-line with the historical performance except in 2015 when it suffered a partial breakdown. Not offering any systems currently but may try it again in the future.

From my original list,

12 systems were closed nearer to their lows
15 systems were closed nearer to their highs

Majority of systems were closed within 1-2 years
It looks like on quick check only one system was traded up until 2016, a stock system, Topaz.

I haven't did any sort of extensive analysis but a quick check among systems that closed near highs or lows, it looks like that most systems that had short trade duration (minutes to hours) were more likely to close near lows while systems that held longer were more likely to close near highs (couple days). Both of my systems were technically day trading systems and again did close near highs. But my 2 second analysis suggest you may want to focus on systems with longer holding frequencies -- 1 to 3 days.


Last edited by tpredictor; August 12th, 2017 at 12:17 AM.
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  #8 (permalink)
Market Wizard
Houston, TX
 
Futures Experience: Advanced
Platform: XTrader
Broker/Data: Advantage Futures
Favorite Futures: Energy
 
Posts: 2,078 since Dec 2013
Thanks: 1,723 given, 3,279 received
Forum Reputation: Legendary

Sunday 13th August - End of Week One

I'm travelling and this is only week one so I will keep this brief.

Four trades in the first week, 3 closed (1 swing, 2 intraday) and 1 still open.
Only 3 of the 6 systems have traded so far.
Week 1 PnL approximately +$1.5K

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  #9 (permalink)
Trading Apprentice
Columbus, OH
 
Futures Experience: None
Platform: NinjaTrader
Favorite Futures: YM, Crude CL
 
Posts: 3 since Aug 2017
Thanks: 4 given, 0 received

Great to hear

That's awesome! I can't wait to hear more. Thank you!

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  #10 (permalink)
Market Wizard
Houston, TX
 
Futures Experience: Advanced
Platform: XTrader
Broker/Data: Advantage Futures
Favorite Futures: Energy
 
Posts: 2,078 since Dec 2013
Thanks: 1,723 given, 3,279 received
Forum Reputation: Legendary


Back from the Vacation - now I need a week off to recover.

Miscellaneous Stuff

Added some links at the top under references. The Optimus Futures explanation of Sharpe, Sterling & MAR ratio's could be interesting for people not that familiar with them.

Also forgot to mention in my opening post, in case this isn't obvious this is Real Money, no Sim Trading here. Also ....

Correlations

Correlations of Monthly Absolute USD Returns between the 6 systems...

Since All Systems have been tracked
Average -0.09
Std Dev +0.38
Min -0.66
Max +0.49

Since All Systems have started
Average 0 (yes zero)
Std Dev +0.13
Min -0.20
Max +0.30


SMCJB View Post
The other system that has a current position out of the money did nothing and I'm not sure why - would have expected it to enter at the better price as well - have emailed the broker.

The next day we deactivated the system and reactivated it, but by then the system was flat. Hence not entirely sure what happened here but it's probably the way I activated the system. The system has entered trades since.

SMCJB View Post
My first brokerage statement shows the first trade outlined above. As of yet it does not show any of the system license fees.

Still have not been billed any license fees. I now assume that this is a month end process.

SMCJB View Post
While 2 of my 6 systems are Euro denominated, my first position is USD so not sure how the Euro margining will work yet.

One of my twp € systems has traded but it was a day trade that made money. As such still not seen how overnight margining works in €.

Now that I do have a positive € balance though it's interesting comparing the nightly statements, as opening balance doesn't equal the previous days closing balance, because of the currency fluctuation. At this point I plan to keep my € balance to finance any € margin requirements. When my profits in €'s exceed the margin requirements I will look to convert the excess back to $.

Saturday 29th - End of Week 2

High volatility in the equity markets this week. Had a strong start to the week but experienced small losses later in the week. 5 of the 6 systems have now traded and 4 of those 5 are profitable. This week the systems made approx €1k but lost $200, so about $1k net. So after two weeks that's approximately $2.5k in profit. Based upon the 'live results' of this portfolio this seems to be exactly in line with expectations. So far so good.

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