KJ Trading Systems Kevin Davey - Ask Me Anything (AMA) - Trading Reviews and Vendors | futures io social day trading
futures io futures trading


KJ Trading Systems Kevin Davey - Ask Me Anything (AMA)
Updated: Views / Replies:53,035 / 339
Created: by Big Mike Attachments:12

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 12  
 
Thread Tools Search this Thread
 

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

  #271 (permalink)
Elite Member
Luxembourg, Luxembourg
 
Futures Experience: Advanced
Platform: TWS
Broker/Data: Interactive Brokers
Favorite Futures: Stocks
 
Posts: 491 since May 2012
Thanks: 1,641 given, 1,126 received


kevinkdog View Post
As an aside, I had a friend who worked backoffice at brokerage. He could see everyone's account. His idea was to take a group of those traders, and then see their signals and act on it. BUT, he was going to do the opposite of thier trading, because almost all accounts lose money!!!!

I know of a similar story. I had friends working at an institution when a known hot-shot trader opened an account with them. He was known to have made a lot of money for some of his clients and there was a lot of competition for his services. In any case he opened an account with this institution to trade his personal account.

The guys at the trading desk all executed his orders, so had real time access to his trades. When they saw the trades come in, no one thought to trade alongside him as they regarded the trades too risky and stupid. Once his account was up close to 1,000% in less than a year (pyramiding into a single trend), everyone admired his guts, but everyone still considered his strategy too risky.

After that, he had a couple of losing trades and the account was only up about 500% (down approx 50% from its peak) when he closed it. Funnily enough all of the traders considered themselves right, i.e. the guy was just lucky, he was taking on too much risk, etc. So even though they had access to the data to analyse the trades and see what made him rich, none of them considered it worth their time. They all thought they were smarter...

Reply With Quote
The following 5 users say Thank You to grausch for this post:
 
  #272 (permalink)
Elite Member
Dubai + United Arab Emirates
 
Futures Experience: Intermediate
Platform: Tradestation
Favorite Futures: Emini ES, Crude CL, Gold GC, Currency Futures, Nasdaq, treasuries
 
Posts: 3 since Jan 2017
Thanks: 0 given, 3 received

Single WFA vs CLUSTER, MoneteCarlo in Ts, Variable exits

Hey @kevindog

Firstly, wanted to thank you for all the insightful information presented in your book. Its truly a great read.
I really liked the practical & simple step by step methodology for creating trading strategies compared to all the hi-tech overcomplicated quant stuff we come across these days

I wanted to ask you 3 things

1) Tradestation has 2 options of WFO analysis
a) Single WFA - &
b) Cluster WFA - this uses anywhere between 5 - 20(In-Sample) runs of data and applies it to anywhere between
10-30%(Out-of Sample) Data.

Does a strategy have to PASS all the combinations of Cluster analysis or just the SINGLE WFA analysis to be considered to be taken to the Next step of Monte-Carlo analysis / incubation?

2) Tradestation has added a monte-carlo feature to their WFO, is this the same as the one you recommended in your book ?


3) If the only optimisable variables in a strategy are the exits, and if the exits itself are not fixed dollar value
( except for a fixed stop loss to minimise unforseen losses) but variable exits such as trailing ATR exits, Parabolic Exits, or exit based of a bollinger band then would one need to run the to optimise these exits in a WFO ? Wouldn't that be curve fitting ?

Reply With Quote
The following user says Thank You to arjunwhabi for this post:
 
  #273 (permalink)
Elite Member
Dubai + United Arab Emirates
 
Futures Experience: Intermediate
Platform: Tradestation
Favorite Futures: Emini ES, Crude CL, Gold GC, Currency Futures, Nasdaq, treasuries
 
Posts: 3 since Jan 2017
Thanks: 0 given, 3 received


attaching an img for reference in regards to question 1
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Reply With Quote
 
  #274 (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, 4,339 received


arjunwhabi View Post
Hey @kevindog

Firstly, wanted to thank you for all the insightful information presented in your book. Its truly a great read.
I really liked the practical & simple step by step methodology for creating trading strategies compared to all the hi-tech overcomplicated quant stuff we come across these days

I wanted to ask you 3 things

1) Tradestation has 2 options of WFO analysis
a) Single WFA - &
b) Cluster WFA - this uses anywhere between 5 - 20(In-Sample) runs of data and applies it to anywhere between
10-30%(Out-of Sample) Data.

Does a strategy have to PASS all the combinations of Cluster analysis or just the SINGLE WFA analysis to be considered to be taken to the Next step of Monte-Carlo analysis / incubation?

2) Tradestation has added a monte-carlo feature to their WFO, is this the same as the one you recommended in your book ?


3) If the only optimisable variables in a strategy are the exits, and if the exits itself are not fixed dollar value
( except for a fixed stop loss to minimise unforseen losses) but variable exits such as trailing ATR exits, Parabolic Exits, or exit based of a bollinger band then would one need to run the to optimise these exits in a WFO ? Wouldn't that be curve fitting ?


Thanks for the kind words, and for the questions. Here are some answers:

1. I do not use TS Walkforward tool. I use an inexpensive 3rd party piece of software that does the analysis differently

2. I use my own Monte Carlo simulator, written in Excel

3. Any time you are doing any sort of optimization you are curve fitting. I do not see your particular setup of variables being any better or worse than any other set (say with just entry parameters you optimize). The key is really to keep the # of variables low.

Sorry I could not be of more help!

Kevin

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
Reply With Quote
 
  #275 (permalink)
Elite Member
sweden
 
Futures Experience: Advanced
Platform: NinjaTrader,MetaTrader
Favorite Futures: futures, FX
 
Mabi's Avatar
 
Posts: 84 since Oct 2010
Thanks: 59 given, 64 received

I use WFO more like a robustness test. If the strategy will work similar with different settings it would be a sign of robustness. However I also find that if leaving say 1 year of OOS to test the WFO strategy on 50 % of them do not improve from original and can be even worse wile the other 50 % benefited from it. I usually pick my strategies to trade from a batch that have performed recent months and find that 8 times of 10 they will perform in the near future as well so one way to do WFO could be to test it against last 1-6 months data to see if it's performance is such that you want to trade it.

Reply With Quote
The following user says Thank You to Mabi for this post:
 
  #276 (permalink)
Trading Apprentice
Espoo Finland
 
Futures Experience: Intermediate
Platform: TradingBlox
Favorite Futures: Stocks
 
Posts: 32 since Sep 2015
Thanks: 0 given, 10 received

I've read your book and it's a great piece of work. However, I am having a hard time understanding why using Walk Forward is so important. Usually what I do is optimize on my in-sample and use Monte Carlo Annual Return and Draw Down (95% confidence) to see how well my strategy works.
I then test my system on out of sample data and again use Monte Carlo so see whether I am happy with the results. Shouldn't this provide enough proof of robustness before taking it to the incubation phase?

What is the added benefit of using WFO?

Reply With Quote
The following user says Thank You to bluefightingcat for this post:
 
  #277 (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, 4,339 received


bluefightingcat View Post
I've read your book and it's a great piece of work. However, I am having a hard time understanding why using Walk Forward is so important. Usually what I do is optimize on my in-sample and use Monte Carlo Annual Return and Draw Down (95% confidence) to see how well my strategy works.
I then test my system on out of sample data and again use Monte Carlo so see whether I am happy with the results. Shouldn't this provide enough proof of robustness before taking it to the incubation phase?

What is the added benefit of using WFO?

Thanks for the kind words about the book.

Regarding walkforward, if you use a different process and verify it works well with real money, I say stick to it. Next month, I am hanging out with 3 great trader friends of mine in New York, and I'm the only one who uses walkforward. So, you definitely don't need it to succeed, but it is what I use.

That being said, here is why I like walkforward compared to traditional out of sample testing. For me, it is about maximizing the amount of out of sample results:

Traditional out of sample 80/20, Test on 10 years of data >>> optimize first 8 years, last 2 years is out of sample

Walkforward, Test on same 10 years of data, with 2 year IN period >>> 8 years out of sample performance.

So, over the same data, I get 4x the amount of out of sample data with walkforward.

Hope this helps!

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


kevinkdog View Post
Thanks for the kind words about the book.

Regarding walkforward, if you use a different process and verify it works well with real money, I say stick to it. Next month, I am hanging out with 3 great trader friends of mine in New York, and I'm the only one who uses walkforward. So, you definitely don't need it to succeed, but it is what I use.

That being said, here is why I like walkforward compared to traditional out of sample testing. For me, it is about maximizing the amount of out of sample results:

Traditional out of sample 80/20, Test on 10 years of data >>> optimize first 8 years, last 2 years is out of sample

Walkforward, Test on same 10 years of data, with 2 year IN period >>> 8 years out of sample performance.

So, over the same data, I get 4x the amount of out of sample data with walkforward.

Hope this helps!

Thanks for the reply. I got mixed feelings about WFO. I want it to work but at the same time, I'm worried it creates another layer of curve fitting possibilities and potential mistakes.

Reply With Quote
The following user says Thank You to bluefightingcat for this post:
 
  #279 (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, 4,339 received


bluefightingcat View Post
Thanks for the reply. I got mixed feelings about WFO. I want it to work but at the same time, I'm worried it creates another layer of curve fitting possibilities and potential mistakes.

Understood. If you do walkforward wrong, it can easily be curvefit. Many common software packages allow you to curvefit walkforward, with certain settings/features...

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
Reply With Quote
The following user says Thank You to kevinkdog for this post:
 
  #280 (permalink)
Market Wizard
Houston, TX
 
Futures Experience: Advanced
Platform: XTrader
Broker/Data: Advantage Futures
Favorite Futures: Energy
 
Posts: 2,077 since Dec 2013
Thanks: 1,722 given, 3,279 received
Forum Reputation: Legendary


Walkforward (the way Kevin teaches it) is the bane of my existance, but also probably a life saver. I have so many things that look good at first but never can get past walkforward. That tells me they wouldn't work in real life either.


kevinkdog View Post
If you do walkforward wrong, it can easily be curvefit. Many common software packages allow you to curvefit walkforward, with certain settings/features...

Do you have any examples (settings/features not packages) where this is the case. If done correctly I can't see how your walkforwards could be increasing curve fitting.

Reply With Quote

Reply



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

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Adam Grimes: TBA

Elite only

NinjaTrader: TBA

Dec 7

Linda Bradford Raschke: TBA

Elite only

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Webinar: Designing an Algo Trading System from A-to-Z, code included (Kevin Davey) Big Mike Elite Automated Trading 82 April 21st, 2017 09:51 AM
Webinar: Developing a Rule Based Trading Algorithm - Kevin Davey Big Mike Elite Automated Trading 68 December 1st, 2013 09:05 PM
Market Profile Trading Academy / MissTrade's Matt Davio - Ask Me Anything (AMA) Big Mike Trading Reviews and Vendors 81 November 27th, 2013 06:04 PM
DeCarley Trading's Carley Garner (Senior Strategist/Broker) - Ask Me Anything (AMA) Big Mike Options on Futures 1 March 6th, 2013 07:00 PM
Your experience with Kevin Lowry-free range trading ? mjwfinc Trading Reviews and Vendors 3 August 16th, 2012 09:12 AM


All times are GMT -4. The time now is 09:18 PM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-11-18 in 0.07 seconds with 19 queries on phoenix via your IP 54.80.157.133