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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)

  #331 (permalink)
Elite Member
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kevinkdog View Post
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

Okey the statement was based on short time experince. I picked out the best performing strategies after 6 months live trading from 3 diffrent portfolios with up to 20 strategies each and created a new portfolio. The new portfolio with the handpicked 8 strategies went straight down wile the original portfolios did just fine because other strategies was now doing good so in away diversification is the key and not short time performance of singel strategies. Or my strategies are just not good enought to make it alone wich is why i am looking into WFO.

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  #332 (permalink)
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kevinkdog View Post
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.

This has kind of opened up a can of worms. Incubation and live trading are the ultimate tests to see if things work but I would much prefer to also have some sort of confidence in my back-testing. This WF issue has reduced my confidence in WF at this point and I don't really know where to go from here.....Abondon WF....Dig deeper......?

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  #333 (permalink)
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bluefightingcat View Post
This has kind of opened up a can of worms. Incubation and live trading are the ultimate tests to see if things work but I would much prefer to also have some sort of confidence in my back-testing. This WF issue has reduced my confidence in WF at this point and I don't really know where to go from here.....Abondon WF....Dig deeper......?

I Agree, actually this is one of my reasons to start working with WFO.. Say over a 10 year period most strategies have at least 1 year or more stagnation. You never know when this will occour. With WFO it seems you can minimise this but short time performance can change greatly. I just launched 16 more portfolios with 10 strategies each . These are randomly picked from a pack of 300 i have made that all have 0 loosing years back to 2003. First week were good 10 of 16 are in profit . None has been adapted to any WFA .My plan is to implement the WFA settings asap and launch 16 more.This will take some time tought to implement and now i am on Cruise Ship

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  #334 (permalink)
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bluefightingcat View Post
This has kind of opened up a can of worms. Incubation and live trading are the ultimate tests to see if things work but I would much prefer to also have some sort of confidence in my back-testing. This WF issue has reduced my confidence in WF at this point and I don't really know where to go from here.....Abondon WF....Dig deeper......?

Find a process that you feel comfortable with, that also yields acceptable real time results. You may find this includes walkforward, and you may find it does not include WF.

There is a right way to d all this, and a wrong way. In fact, there are many right ways, but practically an infinite number of wrong ways!

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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  #335 (permalink)
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Hello Kevin,
When i started running live TS i had to deal with often disconnects (which i hoped to avoid vs MC with IB) and thus had to deal with numerous reconnection issues and putting strategies back to live.

How do you deal with disconnections? More specifically, how do you reconnect back and restore the positions and orders? Do you use any automated recovery techniques you can share? May be you can take us through your steps.
I run numerious algos on same instruments, which potentially make the recovery more difficult. Any advices in such particular situation?




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  #336 (permalink)
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alko View Post
Hello Kevin,
When i started running live TS i had to deal with often disconnects (which i hoped to avoid vs MC with IB) and thus had to deal with numerous reconnection issues and putting strategies back to live.

How do you deal with disconnections? More specifically, how do you reconnect back and restore the positions and orders? Do you use any automated recovery techniques you can share? May be you can take us through your steps.
I run numerious algos on same instruments, which potentially make the recovery more difficult. Any advices in such particular situation?




Sent from my iPhone using futures.io

Wow, you've come along way since joining futures.io, if you are running numerous algos already - nice job!

You need to find the root cause of numerous disconnects - if it is your internet connection, switching to MC will not help.

Last night there were a bunch of TS disconnects, though. Not a typical occurrence.

My strategies reconnected just fine, with no intervention on my part. A lot of it depends on your strategies. Depending on the strategy, you may need to manually re-sync strategy, manually add/cancel orders, etc. You should have a checklist handy that would run you through things to check (which I've just listed).

Are you actually running numerous strats on same instrument successfully in Tradestation? If so, kudos to you - I've never been able to make that work satisfactorily.

Keep in mind if you switch to MC, your strategies may perform differently, sometimes a lot worse (or better). That depends on the instrument.

But I would first determine for sure that switching from TS to MC is the best move to make. Such a switch will have (sometimes unintended) consequences...

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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  #337 (permalink)
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TS disconnection on my live account occur due to TS disconnects. When I called them they said that it is better to reload strategies every weekend, which clearly I do not want to do and should not in fact. I guess last Friday was again TS to blame to disconnects as you seem to confirm the same issue with your connection. I also experienced some disconnections over the weekend with IB, they also seem to do some systems checks that lead to such disconnects. At least now I will be able to compare which one is more stable.

I am just still puzzled with the system relaunch after disconnect. it seems to be easier to cancel all orders and recalc all strategies from the start, which is pain in itself.

I run some algos in MC as well connected to IB. I wanted to try TS as an addition to MC and have TS handle generic algos as TS has some embedded features that make some algos easier to implement, in my opinion.
On the other side, MC is much more powerful in calculations of algos and its portfolio trader is also better and has less bugs that Portfolio Maestro of TS (though TS does better WF than MC).

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  #338 (permalink)
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alko View Post
TS disconnection on my live account occur due to TS disconnects. When I called them they said that it is better to reload strategies every weekend, which clearly I do not want to do and should not in fact. I guess last Friday was again TS to blame to disconnects as you seem to confirm the same issue with your connection. I also experienced some disconnections over the weekend with IB, they also seem to do some systems checks that lead to such disconnects. At least now I will be able to compare which one is more stable.

I am just still puzzled with the system relaunch after disconnect. it seems to be easier to cancel all orders and recalc all strategies from the start, which is pain in itself.

I run some algos in MC as well connected to IB. I wanted to try TS as an addition to MC and have TS handle generic algos as TS has some embedded features that make some algos easier to implement, in my opinion.
On the other side, MC is much more powerful in calculations of algos and its portfolio trader is also better and has less bugs that Portfolio Maestro of TS (though TS does better WF than MC).

If you have frequent disconnects from TS, it sounds like you have something else possibly going on, because that is not indicative of my experience.

Sounds like you have a plan, though.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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  #339 (permalink)
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kevinkdog View Post
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.


By the way, Stratopt WFP, even though it has been around a while, is still heavily used by systematic and algorithmic developers. Here are some happy Stratopt users, who spent 4 days in Cleveland this past weekend building strategies (mainly with Tradestation), using Stratopt, etc.

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  #340 (permalink)
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Very Small Futures.io Meetup


A big THANK YOU to @SMCJB for treating me to the Texans and Browns football game, and for letting me stay at his great house with his super nice family. I had a great time in Houston with you! Oh yes, we also talked trading some, too!!!

Thanks!

@SMCJB on the left, me on the right)

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Last edited by kevinkdog; October 16th, 2017 at 11:38 AM. Reason: corrected handle name
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