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



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


Discussion in Trading Reviews and Vendors

Updated by justmg
      Top Posters
    1. looks_one kevinkdog with 180 posts (404 thanks)
    2. looks_two SMCJB with 23 posts (39 thanks)
    3. looks_3 Mabi with 17 posts (10 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 2.2 thanks per post
    3. looks_3 SMCJB with 1.7 thanks per post
    4. looks_4 Big Mike with 1.4 thanks per post
    1. trending_up 94,681 views
    2. thumb_up 632 thanks given
    3. group 111 followers
    1. forum 433 replies
    2. attach_file 15 attachments




Welcome to futures io: the largest futures trading community on the planet, with well over 100,000 members
  • Genuine reviews from real traders, not fake reviews from stealth vendors
  • Quality education from leading professional traders
  • We are a friendly, helpful, and positive community
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts
  • We are here to help, just let us know what you need
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

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

Closed Thread
 
Search this Thread
 

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

(login for full post details)
  #401 (permalink)
Reno, Nevada
 
Experience: Advanced
Platform: NinjaTrader
Trading: ZN, ZB, CL
 
phantomtrader's Avatar
 
Posts: 313 since May 2011
Thanks: 69 given, 508 received

I see. Thanks.

The following user says Thank You to phantomtrader for this post:

Can you help answer these questions
from other members on futures io?
Scan by comparing SMAs within 5 mins
ThinkOrSwim
Cumulative Bid/Ask Chart resets after 2Billion
MultiCharts
TOS Custom Implied Volatility Rank Watchlist/Scanner Column
ThinkOrSwim
FYI plot bug & workaround: changing color or width is delayed 1 bar
EasyLanguage Programming
Tradestation behind Firewall
TradeStation
 
Best Threads (Most Thanked)
in the last 7 days on futures io
Life sacrifice loneliness trading futures
65 thanks
Is anyone actually making money?
48 thanks
Are sharks watching on the other side?
38 thanks
What VPC configuration/specification do you use for TS?
32 thanks
Spoo-nalysis ES e-mini futures S&P 500
25 thanks
 
(login for full post details)
  #402 (permalink)
sweden
 
Experience: Advanced
Platform: NinjaTrader,MetaTrader
Trading: futures, FX
 
Mabi's Avatar
 
Posts: 129 since Oct 2010
Thanks: 117 given, 121 received

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 ?

 
(login for full post details)
  #403 (permalink)
Cleveland Ohio/United States
 
Experience: Advanced
Platform: Tradestation
Broker: Tradestation, DeCarley, others
Trading: futures
 
Posts: 2,776 since Jul 2012
Thanks: 1,425 given, 5,344 received



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
 
(login for full post details)
  #404 (permalink)
sweden
 
Experience: Advanced
Platform: NinjaTrader,MetaTrader
Trading: futures, FX
 
Mabi's Avatar
 
Posts: 129 since Oct 2010
Thanks: 117 given, 121 received


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.

The following user says Thank You to Mabi for this post:
 
(login for full post details)
  #405 (permalink)
Virginia
 
 
Posts: 42 since Oct 2010
Thanks: 153 given, 41 received

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?

The following 2 users say Thank You to drm7 for this post:
 
(login for full post details)
  #406 (permalink)
Cleveland Ohio/United States
 
Experience: Advanced
Platform: Tradestation
Broker: Tradestation, DeCarley, others
Trading: futures
 
Posts: 2,776 since Jul 2012
Thanks: 1,425 given, 5,344 received


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
The following 4 users say Thank You to kevinkdog for this post:
 
(login for full post details)
  #407 (permalink)
Sydney, NSW, Australia
 
Experience: Intermediate
Platform: Sierra Chart, Python, C#
Broker: Interactive Brokers
Trading: MJNK, ASX, SPI
 
amoeba's Avatar
 
Posts: 205 since Jan 2014
Thanks: 98 given, 260 received

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!

The following 2 users say Thank You to amoeba for this post:
 
(login for full post details)
  #408 (permalink)
Cleveland Ohio/United States
 
Experience: Advanced
Platform: Tradestation
Broker: Tradestation, DeCarley, others
Trading: futures
 
Posts: 2,776 since Jul 2012
Thanks: 1,425 given, 5,344 received


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
The following 8 users say Thank You to kevinkdog for this post:
 
(login for full post details)
  #409 (permalink)
Fort Lauderdale
 
Experience: None
Platform: 1911, NT8, Tradestation
Broker: CQG
Trading: ES
 
Devil Man's Avatar
 
Posts: 746 since Oct 2009
Thanks: 2,575 given, 1,180 received


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!

The following 2 users say Thank You to Devil Man for this post:
 
(login for full post details)
  #410 (permalink)
Cleveland Ohio/United States
 
Experience: Advanced
Platform: Tradestation
Broker: Tradestation, DeCarley, others
Trading: futures
 
Posts: 2,776 since Jul 2012
Thanks: 1,425 given, 5,344 received


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 backtest | Futures Magazine

Follow me on Twitter
The following 6 users say Thank You to kevinkdog for this post:

Closed Thread

futures io Trading Community Trading Reviews and Vendors > KJ Trading Systems Kevin Davey - Ask Me Anything (AMA)


July 5, 2019


Upcoming Webinars and Events
 

Relative Rotation Graphs w/Julius de Kempenaer

Elite only
 

Every journal equals ten meals for the hungry

Now
     



Copyright © 2020 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