NexusFi: Find Your Edge


Home Menu

 





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


Discussion in Trading Reviews and Vendors

Updated
      Top Posters
    1. looks_one kevinkdog with 180 posts (416 thanks)
    2. looks_two SMCJB with 23 posts (40 thanks)
    3. looks_3 Mabi with 17 posts (12 thanks)
    4. looks_4 bluefightingcat with 16 posts (9 thanks)
      Best Posters
    1. looks_one grausch with 2.8 thanks per post
    2. looks_two kevinkdog with 2.3 thanks per post
    3. looks_3 SMCJB with 1.7 thanks per post
    4. looks_4 Big Mike with 1.5 thanks per post
    1. trending_up 170,385 views
    2. thumb_up 649 thanks given
    3. group 111 followers
    1. forum 433 posts
    2. attach_file 15 attachments




Closed Thread
 
Search this Thread

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

  #401 (permalink)
 
phantomtrader's Avatar
 phantomtrader 
Reno, Nevada
Legendary Market Wizard
 
Experience: Advanced
Platform: NinjaTrader
Trading: ZN, ZB, CL
Frequency: Daily
Duration: Minutes
Posts: 588 since May 2011
Thanks Given: 217
Thanks Received: 984

I see. Thanks.

Thanked by:

Can you help answer these questions
from other members on NexusFi?
Futures True Range Report
The Elite Circle
Exit Strategy
NinjaTrader
ZombieSqueeze
Platforms and Indicators
NexusFi Journal Challenge - April 2024
Feedback and Announcements
New Micros: Ultra 10-Year & Ultra T-Bond -- Live Now
Treasury Notes and Bonds
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
Get funded firms 2023/2024 - Any recommendations or word …
61 thanks
Funded Trader platforms
38 thanks
NexusFi site changelog and issues/problem reporting
26 thanks
GFIs1 1 DAX trade per day journal
19 thanks
The Program
18 thanks
  #402 (permalink)
 
Mabi's Avatar
 Mabi 
sweden
 
Experience: Advanced
Platform: NinjaTrader,MetaTrader
Trading: futures, FX
Posts: 141 since Oct 2010
Thanks Given: 121
Thanks Received: 136

Say I have a good or several good strategies that I have been running for a couple of years. Now I have never optimized them ( more then for Robustness check reason) but did some heavy simple optimization on last 3 year data only and I got about 15 different versions of the same strategies that actually seems to have worked excellent looking back on 10 years intraday OS data as well ( of course I got 1000's of them but 15 really good ones). To my surprise many of these new versions of the same strategy has different entry and exit points that actually make them surprisingly diversified and combined it looks really good. Is this something You have ever tried or practiced in Your trading I mean trading several version of the same strategy simultaneously to create diversification.

I can see a benefit of this since if You only had 10 strategies you could create 100 of them thru optimization and use some genetic portfolio builder to pick the best set of strategies to minimize drawdown or maximize profit or both. What do You think of that approach ?

  #403 (permalink)
 kevinkdog   is a Vendor
 
Posts: 3,647 since Jul 2012
Thanks Given: 1,890
Thanks Received: 7,338



Mabi View Post
Say I have a good or several good strategies that I have been running for a couple of years. Now I have never optimized them ( more then for Robustness check reason) but did some heavy simple optimization on last 3 year data only and I got about 15 different versions of the same strategies that actually seems to have worked excellent looking back on 10 years intraday OS data as well ( of course I got 1000's of them but 15 really good ones). To my surprise many of these new versions of the same strategy has different entry and exit points that actually make them surprisingly diversified and combined it looks really good. Is this something You have ever tried or practiced this in Your trading I mean trading several version of the same strategy simultaneously to create diversification.

I can see a benefit of this since if You only had 10 strategies you could create 100 of them thru optimization and use some genetic portfolio builder to pick the best set of strategies to minimize drawdown or maximize profit or both. What do You think of that approach ?

I don't do this currently, I have looked at something similar in the past - trading slightly different versions of the same strategy.

I don;t know about using genetic portfolio builder though to pick them - that sounds like another form of optimization to me possibly.

Follow me on Twitter
  #404 (permalink)
 
Mabi's Avatar
 Mabi 
sweden
 
Experience: Advanced
Platform: NinjaTrader,MetaTrader
Trading: futures, FX
Posts: 141 since Oct 2010
Thanks Given: 121
Thanks Received: 136


kevinkdog View Post
I don't do this currently, I have looked at something similar in the past - trading slightly different versions of the same strategy.

I don;t know about using genetic portfolio builder though to pick them - that sounds like another form of optimization to me possibly.

No I use it alot for 2 years. It just looks at the list of trades with time stamp and try to pair strategies together per Your ranking criteria in regards to correlation that might be netprofit,drawdown,montecarlo performance of portfolio based on opentrades MAE, profit/loss per hour,day,week or months or anything else You might think of and can program.If to many parameters You need Genetic Evolution for this otherwise it would take forever.

Thanked by:
  #405 (permalink)
drm7
Virginia
 
Posts: 49 since Oct 2010
Thanks Given: 192
Thanks Received: 47

Kevin,

Thanks for your generosity on this forum and your website. I have a few elementary questions, as I am only at the early preliminary stages of this process:

1. You have been a proponent of Tradestation, and use them as your primary platform and broker. Have you looked at using Multicharts with another broker? How did those tradeoffs balance?

2. What are the specs of your main testing computer? Which step in your process takes the most computer time? What do you think the minimum should be as to avoid the long waits?

3. When you are walking forward a currently live strategy, would you put it in the penalty box if the WF parameters jumped significantly relative to expectations, but the strategy is otherwise performing as expected?

Thanked by:
  #406 (permalink)
 kevinkdog   is a Vendor
 
Posts: 3,647 since Jul 2012
Thanks Given: 1,890
Thanks Received: 7,338


drm7 View Post
Kevin,

Thanks for your generosity on this forum and your website. I have a few elementary questions, as I am only at the early preliminary stages of this process:

1. You have been a proponent of Tradestation, and use them as your primary platform and broker. Have you looked at using Multicharts with another broker? How did those tradeoffs balance?

2. What are the specs of your main testing computer? Which step in your process takes the most computer time? What do you think the minimum should be as to avoid the long waits?

3. When you are walking forward a currently live strategy, would you put it in the penalty box if the WF parameters jumped significantly relative to expectations, but the strategy is otherwise performing as expected?

Thanks for the questions. It is nice to know there are people at futures.io still interested in algo trading. Many people do not seem to be...

1. I have tried Multicharts, do not own it, but in the event of Tradestation platform ever becoming unavailable (doubtful, but you never know), MC would be my backup plan. Most strategies would perform about the same, AFTER you account for different rollover dates in the data - BIG point). With MC, you'd have access to many brokers, but you'd have to pay a 3rd party data vendor too.

2. I have a dinosaur by today's standards, almost 5 years old. Intel i7-4790 @ 4 Mhz, 16 Gb ram, SSD hard drive, Win 7. According to https://www.cpubenchmark.net/cpu_list.php it is the 203rd best CPU.

I run approx 80-90 charts continuously, and do optimization, all on this PC. It is just fine

Longest step: walkforward optimization
Avoiding long waits: simplify your strategy. If you find yourself running optimizations that take days, perhaps your strategy is too complicated.

3. I have never been able to correlate jumping WF parameters with future performance. But realize that this is highly dependent on your parameter range choice and resolution. Bouncing performance with a stop loss increment of 1 dollar vs 1000 dollars might matter. Right or wrong, I tend to ignore this, since I have strategies that both do good, and do bad, with and without jumping parameters.

Thanks for the questions, hope this helps!

Kevin



2.

Follow me on Twitter
Thanked by:
  #407 (permalink)
 
amoeba's Avatar
 amoeba 
Sydney, NSW, Australia
 
Experience: Intermediate
Platform: Sierra Chart, Python, C#
Broker: Interactive Brokers
Trading: MJNK, ASX, SPI
Posts: 205 since Jan 2014
Thanks Given: 98
Thanks Received: 284

Hi Kevin,

Given how much importance a discretionary trader places in daily preparation and maintaining a consistent routine, I was curious to know what a day/week in the life of Kevin looks like as a full time algo trader?

Cheers!

Thanked by:
  #408 (permalink)
 kevinkdog   is a Vendor
 
Posts: 3,647 since Jul 2012
Thanks Given: 1,890
Thanks Received: 7,338


amoeba View Post
Hi Kevin,

Given how much importance a discretionary trader places in daily preparation and maintaining a consistent routine, I was curious to know what a day/week in the life of Kevin looks like as a full time algo trader?

Cheers!

Thanks for the question. Not sure if my algo trading day is typical of what others do, but here it is:

1. Make sure all strategies are running, and are in sync - live accounts versus strategy positions. I usually check this multiple time a day, and evening.

2. Work on new strategies.

3. Work on other trading topics, for instance diversification, or positions sizing, or money management.

4. Read trading books, magazines, websites, etc.

5. Talk to other traders via Skype, or mainly e-mail.

6. Thinking of better ways to do what I am doing. May involve researching completely new trading styles.

On any given day, it is hard to say how my time breaks out, other than #1 always gets addressed. Sometimes I'll step away from strategy building for a while, to recharge my mental battery.

Hope this helps!

Follow me on Twitter
  #409 (permalink)
 
Devil Man's Avatar
 Devil Man 
Fort Lauderdale
Legendary / Stochastic Calculus is not your friend
 
Experience: None
Platform: Ninjatrader, Python API
Broker: CQG
Trading: ES,NQ,CL
Posts: 849 since Oct 2009
Thanks Given: 3,399
Thanks Received: 1,534


kevinkdog View Post
Thanks for the questions. It is nice to know there are people at futures.io still interested in algo trading. Many people do not seem to be......

Yes there are! Yes there are!...I am I am!!!!

Thank you for your contribution Kevin!

Thanked by:
  #410 (permalink)
 kevinkdog   is a Vendor
 
Posts: 3,647 since Jul 2012
Thanks Given: 1,890
Thanks Received: 7,338


This came in via PM, but I felt it general enough to share with everyone... Thanks for the questions!


As far as you can estimate, to create genuinely profitable stragies using the in built Strategy Builder on NinjaTrader8?

I have never used it, so I cannot say. But in general, the built in features of any platform allow you to create strategies. And create nice backtests. But are they any good - will they work going forward? That is the million dollar question. My feeling is that most trading software actually lures you into some bad habits - just look how easy it is to optimize a variable, add a new rule, tweak that backtest, etc. And that leads to misleading backtests.

With that in mind, I do think you can build good strategies, but you really need a solid development process that helps you avoid the pitfalls of backtesting. That is not easy.


Do you find successful intra day strategies almost always require higher timeframe analysis of some kind to generate profit?

My experience is that intraday strategies are hard to develop, period. Maybe having higher timeframes help, I have not thoroughly researched this.


Can you put your finger on an average number of indicators/conditions upon which your strategies are built, with emphasis on the intra day strategies?

My experience with any strategy is that the simpler the better. Most people fall into a trap where they keep adding rules to make the backtest better. That rarely works. Keep it simple. Try only a few conditions, maybe 1 or 2 for entry, and same for exit.

Here is a good article I wrote a few years back describing what not to do: Don't build a better [AUTOLINK]backtest[/AUTOLINK] | Futures Magazine

Follow me on Twitter

Closed Thread



Last Updated on July 5, 2019


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
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.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts