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KJ Trading Systems Kevin Davey - Ask Me Anything (AMA)


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KJ Trading Systems Kevin Davey - Ask Me Anything (AMA)

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  #131 (permalink)
 kevinkdog   is a Vendor
 
 
Posts: 3,327 since Jul 2012
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FABRICATORX View Post
Dude the long-term timeframes are sooooo much better.

In theory, short term timeframes provide higher equity resolution, but I get absolutely hammered in them.

My goal was 1.5:1 lol


Can you post a screenshot of results, or send me a copy of the spreadsheet with results? 35 sounds too good to be true.

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  #132 (permalink)
 FABRICATORX 
San Tan Valley, AZ/USA
 
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Yup, I'll email it.

Hmm, I might have found something. I copy/pasted my trades, but there wasn't a trade every day, so there are some blanks.

You'll see. I'm sending two copies of different strategies.

In the meantime, I'm rebuilding the strategies to ensure I didn't fudge something here.

EDIT!

It was the blanks, guys. When entering trade results, don't leave any blanks, even if there was no trade. The monte carlo algo will stop pulling data at the blank.

On a related note, @kevinkdog is the man

-Jimmy
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  #133 (permalink)
 grausch 
Luxembourg, Luxembourg
 
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FABRICATORX View Post
Dude, the Return/DD ratio is life changing for systems development.

The ratio was initially used by a publication called the Managed Accounts Report which was tracking CTAs. See here for some history of the MAR - MAR Ratio Definition | Investopedia.

If you are interested in some further reading on system development and some interesting thoughts by Ed Seykota, then refer to this link - https://www.seykota.com/tribe/TSP/index.htm. The System Math document (under resources) is still one of my references. Unfortunately he has not updated the TSP site in 10 years, and I don't think we will see updates any time soon.


FABRICATORX View Post
Now I have some systems with a Ret/DD over 35.

As you determined in a later post, that was actually due to an error in your code. The best CTAs with a long history tend to have MARs of about 0.5. I would regard 0.5 as exceptional for a trend-following system on daily bars. Most funds struggle to get even close to that.

Kevin seems to use 2 as a good measure for his work, therefore in order to be safe, you could consider reviewing any system with a MAR over 2 very carefully for either errors in the code, errors in your logic, or a system that has been curve fit to the dataset.

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  #134 (permalink)
 FABRICATORX 
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Yes I found errors in the monte carlo, as well as the strategy itself.

I accidentally used semi-forward looking data in my code. I addressed that.

Still good strategy though

I need to incorporate slippage and commission, so I'm not sure what to pick. 2-3 ticks?

Thanks guys

PS - great link on Seykota!

-Jimmy
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  #135 (permalink)
 kevinkdog   is a Vendor
 
 
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FABRICATORX View Post
Yes I found errors in the monte carlo, as well as the strategy itself.

I accidentally used semi-forward looking data in my code. I addressed that.

Still good strategy though

I need to incorporate slippage and commission, so I'm not sure what to pick. 2-3 ticks?

Thanks guys

PS - great link on Seykota!


For YM, I'd use at least $20 per round turn per contract for slippage.

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  #136 (permalink)
 theucreport 
Milan, Italy
 
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I'm reading your book and I have to say that is the best I have read so far on algo trading systems.
I'm looking forward to the next one

I have three AMA questions for you:

1) For those who cannot attend your workshops, do you plan to sell video of those?
2) I know that you use Tradestation, but do you know successful traders that perform live automatic trading with Amibroker?
3) What is the minimum capital to swing trade 2-4 uncorrelated automatic strategies with e-mini futures without the risk to blow up the account (the goal).

Thanks a lot and take care!

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  #137 (permalink)
 kevinkdog   is a Vendor
 
 
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theucreport View Post
I'm reading your book and I have to say that is the best I have read so far on algo trading systems.
I'm looking forward to the next one

I have three AMA questions for you:

1) For those who cannot attend your workshops, do you plan to sell video of those?
2) I know that you use Tradestation, but do you know successful traders that perform live automatic trading with Amibroker?
3) What is the minimum capital to swing trade 2-4 uncorrelated automatic strategies with e-mini futures without the risk to blow up the account (the goal).

Thanks a lot and take care!

Thanks a lot - I do appreciate it.

If you get a chance to review it on Amazon or here at futures.io (formerly BMT), I would be grateful:



To answer your questions:

1) For the workshop, traders who attend gets copies of the full recording. Plus, they can re-attend future live workshops for free. So, you have plenty of opportunity to repeat or listen again.

2) I don't personally know many Amibroker traders, but I am sure there are successful one out there. I don't know about the automation part though, and how well it works with Amibroker.

3) Account sizing is always a tough question, since it depends a lot on the trader's temperament (can you only handle 10% drawdown, or is 40% OK?). It also depends a lot on the strategies you choose to trade and how they work together (good strategies complement each other, and smooth the equity curve). I actually provide an account sizing video as part of the workshop, since it is a topic worthy of a lot of thought. Sorry I can't get more specific...

Thanks!

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  #138 (permalink)
 dingmanhoe123 
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I joined the strategy factory course in July 2015. Kevin don't just give you the correct method of testing and creating a strategy. What I think the course is most valuable is he provide 6 months post course email support. you can email him any question and you will get professional reply from a real trader. It is a must join course for everyone who want to become a successful algo trader.

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  #139 (permalink)
 FABRICATORX 
San Tan Valley, AZ/USA
 
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Posts: 195 since Jun 2013
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Hey dude - thinking about Fed days.

What has your research shown in regards to trading Fed days?

I haven't run my own studies yet, but curious to see whats out there. I'm looking at daily bar, US market stuff.

-Jimmy
 
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  #140 (permalink)
 kevinkdog   is a Vendor
 
 
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FABRICATORX View Post
Hey dude - thinking about Fed days.

What has your research shown in regards to trading Fed days?

I haven't run my own studies yet, but curious to see whats out there. I'm looking at daily bar, US market stuff.


I have never done any research. I test it like any other day.

If you knew exact dates and times of all historical scheduled announcements, etc, you could trade just those days or exclude just those days if you cared to. A lot of work to do it though...

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