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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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  #321 (permalink)
San Diego, USA
 
Experience: Intermediate
Platform: MC
Trading: All
 
Posts: 48 since Aug 2016
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Hello Kevin,

What settings do you use in TS for strategy fill logic automation tab? If possible, could you send the screen shot.
And what restriction thus you have to follow with the logic selected, ie cannot run multiple strategies/charts on the same instrument.

Also, what do you use instead of marketposition for LIVE trading to get strategy specific position?

I am looking for the best TS setting to run multiple algos on a given instrument (i do not want to put them in a single algo).

Thank you!

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  #322 (permalink)
Cleveland Ohio/United States
 
Experience: Advanced
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alko View Post
Hello Kevin,

What settings do you use in TS for strategy fill logic automation tab? If possible, could you send the screen shot.
And what restriction thus you have to follow with the logic selected, ie cannot run multiple strategies/charts on the same instrument.

Also, what do you use instead of marketposition for LIVE trading to get strategy specific position?

I am looking for the best TS setting to run multiple algos on a given instrument (i do not want to put them in a single algo).

Thank you!

Thanks for the questions.

The settings for the fill logic depend in part on the type of strategies you run. So, I hesitate to show what I do, because it may not be best for your situation. For example, I used to have "send stop orders to TS" selected, but found some problems with it. Because of that, and because I have a super reliable internet connection, I now choose to not have that selected.

So, what I use might not be right for you. I suggest you do what I did: try the default, and if you see problems, look at changing some settings. It sounds like a BS answer, but it is the best way.

I use marketposition for live strategies. My strategies don't know what my actual account is doing. The Tradestation Trade Manager handles the matching of strategy and actual account positions.

Running multiple algos with the same instrument is loaded with potential issues. I wrote a series of articles a while back that discusses that (I use a few of those methods for my own trading):

Trading Multiple Strategies With Same Instrument

https://systemtradersuccess.com/trading-multiple-strategies-with-the-same-instrument-part-1/

https://systemtradersuccess.com/trading-multiple-strategies-with-the-same-instrument-part-2/

https://systemtradersuccess.com/trading-multiple-strategies-with-the-same-instrument-part-3/

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  #323 (permalink)
sweden
 
Experience: Advanced
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Been looking in to walkforward period lately. I find that the shorter periods i use the larger the net profit will be.Say i choose a walkforward period of evry three months on 3 years of data and i picked it because it was the best one with only 1 loosing period. Now i test this picked period an run it on previous 3 years data which is essential OOS and if the performance is equally good would we then be able to see this Walkforward optimasation as a robust one?.By doing it this way and if it works the teoriticall performance skyrockets.

 
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  #324 (permalink)
Cleveland Ohio/United States
 
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Mabi View Post
Been looking in to walkforward period lately. I find that the shorter periods i use the larger the net profit will be.Say i choose a walkforward period of evry three months on 3 years of data and i picked it because it was the best one with only 1 loosing period. Now i test this picked period an run it on previous 3 years data which is essential OOS and if the performance is equally good would we then be able to see this Walkforward optimasation as a robust one?.By doing it this way and if it works the teoriticall performance skyrockets.

That is not the approach I use, so it would not be fair of me to say it is robust or not. The ultimate judge of that is real time performance - does the walkforward approach you are using translate to favorable real time performance, confirmed by many strategies over time? I know the way I do walkforward does, but I can't yes or no to your approach.

Hopefully you see my point. You may indeed have a valid process, but only real time performance can verify it.

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  #325 (permalink)
Espoo Finland
 
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I've come across any interesting (or actually an annoying) issue. I've been using Walk Forward to test my strategies and so far all has been good. I have a few strategies in incubation and so far things are looking cautiously promising.

However I was testing my latest strategy with WF and I came across a situation where the results were completely different depending on the start date of the WF. I've attached a screenshot with 2 different equity curves and results. The only difference between these two is the start date. The equity curve on the right starts 2 years later compared to the one on the left.
As you can see the results are totally different. I would expect the results of the equity curve on the right to mimic the one on the left (starting from 2012 onwards). But this is not the case. It implies these results are quite random. Do I need to monte carlo my WF results or something?

FYI: These are for 15min futures of NQ. Only 1 contract was traded at a time.

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  #326 (permalink)
Cleveland Ohio/United States
 
Experience: Advanced
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Posts: 2,776 since Jul 2012
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bluefightingcat View Post
I've come across any interesting (or actually an annoying) issue. I've been using Walk Forward to test my strategies and so far all has been good. I have a few strategies in incubation and so far things are looking cautiously promising.

However I was testing my latest strategy with WF and I came across a situation where the results were completely different depending on the start date of the WF. I've attached a screenshot with 2 different equity curves and results. The only difference between these two is the start date. The equity curve on the right starts 2 years later compared to the one on the left.
As you can see the results are totally different. I would expect the results of the equity curve on the right to mimic the one on the left (starting from 2012 onwards). But this is not the case. It implies these results are quite random. Do I need to monte carlo my WF results or something?

FYI: These are for 15min futures of NQ. Only 1 contract was traded at a time.


I have seen this before, sometimes when the start date only moves by a few days/weeks. You could also get widely different results with the same start date, if you vary the IN period and/or OUT period slightly.

The big question is "does robustness in results with different start dates, or IN/OUT periods etc indicate a better strategy?"

My answer to that is "possibly." Not a great answer, I know, but I just don't have enough data to draw any conclusions. I have strategies that work good and bad with all these cases:

Strategy results change a lot due to start date changes: real time -- sometimes good, sometimes not
Strategy results do NOT change a lot due to start date changes: real time -- sometimes good, sometimes not

Common sense says strategies where results do not change much because of start date differences should be more robust and better going forward. But I have also found that common sense with trading things doesn't always hold.

The real way to evaluate this is to have about 30-50 strategies with each characteristic, and then track them live for a few years and see if one group performs better.


TL;DR - I do not have enough data to support any conclusion.

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  #327 (permalink)
sweden
 
Experience: Advanced
Platform: NinjaTrader,MetaTrader
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Posts: 129 since Oct 2010
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Walkforward can for sure be beneficial. You can have diffrent settings for the same strategy and if it then still is profitable it is in my mind a sign of that it is robust. Today I do not use strategies that cant have diffrent settings and still be profitable. I like strategies that can be high % win and low payout ratio and low % win and high payout ratio just by changing stops and targets and still be profitable. Problem in trading is the time needed to find out if it is a good strategy or not by incubation and even bigger problem is that if it did perform during incubation the risk i greater that it will not perform live coming period so with that in mind my question is. After a sucessfull incubation period do You perform WFO before putting them live.

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  #328 (permalink)
Cleveland Ohio/United States
 
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Trading: futures
 
Posts: 2,776 since Jul 2012
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Mabi View Post
Walkforward can for sure be beneficial. You can have diffrent settings for the same strategy and if it then still is profitable it is in my mind a sign of that it is robust. Today I do not use strategies that cant have diffrent settings and still be profitable. I like strategies that can be high % win and low payout ratio and low % win and high payout ratio just by changing stops and targets and still be profitable. Problem in trading is the time needed to find out if it is a good strategy or not by incubation and even bigger problem is that if it did perform during incubation the risk i greater that it will not perform live coming period so with that in mind my question is. After a sucessfull incubation period do You perform WFO before putting them live.

I do not agree with your statement in red (my experience is exactly the opposite), but to answer the question I continue WF when I take a strategy live. So, if my walkforward out period was 6 months, then every six months I will reoptimize and use those parameters going forward until next reopt.

Kevin

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  #329 (permalink)
Richmond, VA
 
Experience: Intermediate
Platform: TradeStation, thinkorswim
Trading: Crude CL, Gold GC, Copper HG
 
Posts: 5 since Jun 2017
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What do you think about TS's Walk Forward Optimizer?

I notice you do not use it in your book. Using WFO seems like I am "optimizing my optimizing", but I don't have the intuitive sense to know what appropriate out of sample and in sample periods might be. It seems to provide guidance and a lot of other helpful data.

Thanks!




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  #330 (permalink)
Cleveland Ohio/United States
 
Experience: Advanced
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Trading: futures
 
Posts: 2,776 since Jul 2012
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jamesw View Post
What do you think about TS's Walk Forward Optimizer?

I notice you do not use it in your book. Using WFO seems like I am "optimizing my optimizing", but I don't have the intuitive sense to know what appropriate out of sample and in sample periods might be. It seems to provide guidance and a lot of other helpful data.

Thanks!




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I use a 3rd party tool called Stratopt WFP, which was around long before TS WF tool was part of their platform.

TS WF does a couple of things I do not particularly like. I have seen good strategies created with it though.

Be VERY careful with the Cluster Analysis - it can be very dangerous.

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