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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)

  #231 (permalink)
Elite Member
Tel Aviv Israel
 
Futures Experience: Beginner
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Broker/Data: CQG
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kevinkdog View Post
Of course you can do all these things if you want to. I personally don't, but that doesn't mean you can't. The big keys to strategy development:

1) develop strategies in a way that you feel comfortable with
2) validate your approach with real money trading, and adjust your approach as necessary.

I know other traders who laugh at and tease me about my development process. They do things differently, and if it works for them, who am I to judge? I do what works for me. You should do what works for you.

Thanks for the reply.

As I am searching for the right method to test the validity of my strategies I am trying not to make mistakes that others documented before in order to make the process less painful. Because you have your way of doing things and it has been proven over the years I highly value your opinion.

The thing I am trying to understand is if the rules can be broken, which that is what you said in the last post. Others do succeed with other rules or less strict rules.

I read you only relatively recently started developing strategies for intraday trading, correct if I am wrong. Do you see the same results as swing trading? Do the equity curves continue as expected in real money?

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  #232 (permalink)
Market Wizard
Cleveland Ohio/United States
 
Futures Experience: Advanced
Platform: Tradestation
Broker/Data: various
Favorite Futures: futures
 
Posts: 2,368 since Jul 2012
Thanks: 1,130 given, 4,340 received


ToMerK View Post
Thanks for the reply.

As I am searching for the right method to test the validity of my strategies I am trying not to make mistakes that others documented before in order to make the process less painful. Because you have your way of doing things and it has been proven over the years I highly value your opinion.

The thing I am trying to understand is if the rules can be broken, which that is what you said in the last post. Others do succeed with other rules or less strict rules.

I read you only relatively recently started developing strategies for intraday trading, correct if I am wrong. Do you see the same results as swing trading? Do the equity curves continue as expected in real money?

In general, I find intraday strategy creation much tougher than swing strategies. Maybe that is because of the development approach I use. I find that intraday strats many times do work the same going forward as swing strategies, so I've not seen a huge difference.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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  #233 (permalink)
Trading Apprentice
Espoo Finland
 
Futures Experience: Intermediate
Platform: TradingBlox
Favorite Futures: Stocks
 
Posts: 32 since Sep 2015
Thanks: 0 given, 10 received


When developing strategies in the beginning phase I test my "raw" strategy on a portfolio of markets. I then reject the markets where there results are bad and only use the strategy on markets that are good.

I am wondering whether this is the best way to go about it. I wonder whether I should just test and optimize the strategy on one market at a time.

I'm worried of curve fitting if I test on one market at a time. However I'm also worried that by rejecting some markets from my strategy porfolio, I am also making things look nicer than they are in backtesting.

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  #234 (permalink)
Market Wizard
Cleveland Ohio/United States
 
Futures Experience: Advanced
Platform: Tradestation
Broker/Data: various
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bluefightingcat View Post
When developing strategies in the beginning phase I test my "raw" strategy on a portfolio of markets. I then reject the markets where there results are bad and only use the strategy on markets that are good.

I am wondering whether this is the best way to go about it. I wonder whether I should just test and optimize the strategy on one market at a time.

I'm worried of curve fitting if I test on one market at a time. However I'm also worried that by rejecting some markets from my strategy porfolio, I am also making things look nicer than they are in backtesting.


If you do it correctly, you could do one market at a time without curve fitting. But, you could also easily do it improperly and curve fit.

By eliminating markets, you are definitely cherry picking, and your forward results will be nowhere as good.

I have some webinars here that might help you with your test approach. I recommend you watch.


THANKS!

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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  #235 (permalink)
Trading Apprentice
Espoo Finland
 
Futures Experience: Intermediate
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Posts: 32 since Sep 2015
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I'm looking into trading futures. My intention is to trade futures on a daily timeframe. However, I am worried that one day an overnight gap might happen (black swan or something) and because of the huge leverage involved, I'd be wiped out.

Do you have any experience with this? Do you have any advice on how to protect myself from such a situation?

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  #236 (permalink)
Market Wizard
Cleveland Ohio/United States
 
Futures Experience: Advanced
Platform: Tradestation
Broker/Data: various
Favorite Futures: futures
 
Posts: 2,368 since Jul 2012
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Black Swans happen, and they can be brutal.

There is no "cure" for overnight risk - whenever you have positions in the market, you run the risk of something really bad happening.

You can have stop orders submitted, but they might not protect you in the case of a flash crash situation. They may actually be worse for you sometimes.

You could hedge your position with options, but that comes with a cost.

Really, the biggest thing might be to limit your size and leverage.

There is no great answer here - you just have to decide how much risk you can handle, and decide on an appropriate course of action.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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  #237 (permalink)
Elite Member
Illinois
 
Futures Experience: Beginner
Platform: Sierra, NT
Favorite Futures: ES, VIX
 
Posts: 51 since Apr 2015
Thanks: 68 given, 12 received

striker results

The workshop looks interesting. On the website, there is a section called "The Proof Is In The Pudding" with information about a diversified system that trades via Striker. I trust Striker. The overall % gain seems good, but in looking at the performance in more detail the equity curved peaked in February 2016 and has been in drawdown since that month (pretty much a full year out of the 17.5 months it has been tracked).

Now, a lot of systems perform that way and come back up. But this is a diversified system, trading multiple markets, so I would have hoped for a smoother equity curve, with shorter drawdown periods. Am I looking at this wrong?

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The following user says Thank You to gumdr0p for this post:
 
  #238 (permalink)
Elite Member
Illinois
 
Futures Experience: Beginner
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Posts: 51 since Apr 2015
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Digging deeper on Striker, there are two more KJ systems.

One has a return of -52% over more than a year... and the other doesn't show results (which isn't uncommon for newer systems on Striker).

I'm just not feeling a lot of confidence in purchasing the workshop. Am I missing something?

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  #239 (permalink)
Market Wizard
Cleveland Ohio/United States
 
Futures Experience: Advanced
Platform: Tradestation
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Favorite Futures: futures
 
Posts: 2,368 since Jul 2012
Thanks: 1,130 given, 4,340 received


gumdr0p View Post
The workshop looks interesting. On the website, there is a section called "The Proof Is In The Pudding" with information about a diversified system that trades via Striker. I trust Striker. The overall % gain seems good, but in looking at the performance in more detail the equity curved peaked in February 2016 and has been in drawdown since that month (pretty much a full year out of the 17.5 months it has been tracked).

Now, a lot of systems perform that way and come back up. But this is a diversified system, trading multiple markets, so I would have hoped for a smoother equity curve, with shorter drawdown periods. Am I looking at this wrong?

Thanks for the comment. The only odd thing that Striker does is that is shows the results of closed trades only. It does not include open equity. Since some of the systems here have rather long trade lengths, it distorts the results a bit.

When you include the impact of open equity (marked to market accounting), I show the last peak for Diversified A to be in October - so the system has spent the last 4 months in drawdown. It is currently in a drawdown right now.

So, yes, while the Diversified A system has nice gains nice inception, the last few months have been blah. In my experience that is not uncommon. Most of the time systems are in one kind of drawdown or another.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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  #240 (permalink)
Market Wizard
Cleveland Ohio/United States
 
Futures Experience: Advanced
Platform: Tradestation
Broker/Data: various
Favorite Futures: futures
 
Posts: 2,368 since Jul 2012
Thanks: 1,130 given, 4,340 received



gumdr0p View Post
Digging deeper on Striker, there are two more KJ systems.

One has a return of -52% over more than a year... and the other doesn't show results (which isn't uncommon for newer systems on Striker).

I'm just not feeling a lot of confidence in purchasing the workshop. Am I missing something?


Yes unfortunately that portfolio (Diversified II) has not been doing well.Most of the loss was due to an ES strategy, which has since been replaced. But performance still lags.

I'm not sure how to increase your confidence level. I can say that after you learn the techniques I teach in the workshop, success with developing strategies will be mainly up to you. You will have the tools to develop strategies as good as, or better than, the ones I offer thru Striker. You'll probably also develop strategies that fail - that is all part of the process.

If you PM me, I can put you in touch with other students, who can give you the pros and cons of the workshop.

Thanks!
Kevin

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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