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www.isystems.com

  #21 (permalink)
Market Wizard
Boca Raton
 
Futures Experience: Advanced
Platform: Variety
Broker/Data: Optimus Futures, LLC
Favorite Futures: Futures
 
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Posts: 1,960 since Sep 2010
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I do not think you can combine systems together via iSystems itself, but I have a few customers who downloaded it via CSV to Excel spreadsheets in an attempt to build some negative correlations.

Thanks,
Matt Z
Optimus Futures

There is a substantial risk of loss in futures trading. Past performance is not indicative of future results.

PM with any questions about optimusfutures (800) 771-6748 (561) 367 8686. THERE IS A SUBSTANTIAL RISK OF LOSS IN FUTURES TRADING.
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  #22 (permalink)
Market Wizard
Cleveland Ohio/United States
 
Futures Experience: Advanced
Platform: Tradestation
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Favorite Futures: futures
 
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SMCJB View Post
Here's some analysis I did do the other night. I filtered to only include systems that have a track record of over a year and are profitable. I think of this as every system that is through it's 'incubation period'. I then calculated their "Profit per Day since Start Date", and "Profit per Day since 'Tracked Since' Date". The chart shows what I got.

Obviously everything below the "y=x" line has performed worse since being tracked while everything below the "y = 0.5x" line has significantly performance worse (less than 50%). The line of best fit, y = 0.2989 says that the average system performance being tracked is approximately 30% of what it was for the full history, but a 21% R Squared isn't that high.

While I can think of several reasons why this may not an effective way to look at every system I would also point out that the "Full History" includes the "Tracked Since History". If I extracted that, the disparity would be even worse. This is why I wanted to have a performance table based purely upon tracked data, excluding the backtest data. The results would be very different. Three of the four systems with the highest Dollars/Day are in the bottom quartile of the ratio.

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As an aside, 9 of the 13 (~69%) systems I screened to take a more detailed look at were FDAX systems.

I'm travelling for the next few days but will follow up next week.


This is some great work. Hopefully people will realize the implications of this - real time performance is usually not as good as backtest performance.

Thanks for sharing!

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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  #23 (permalink)
Market Wizard
Boca Raton
 
Futures Experience: Advanced
Platform: Variety
Broker/Data: Optimus Futures, LLC
Favorite Futures: Futures
 
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Posts: 1,960 since Sep 2010
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kevinkdog View Post
This is some great work. Hopefully people will realize the implications of this - real time performance is usually not as good as backtest performance.

Thanks for sharing!

I observed that you have a variety of results as it pertains to hypothetical. Some fall far from the desired results, yet some may resemble the hypothetical results, but with bigger gains and bigger drawdowns. As I mentioned, it is important to look at both as a reference.

Thanks,
Matt Z
Optimus Futures

There is a substantial risk of loss in futures trading. Past performance is not indicative of future results.

PM with any questions about optimusfutures (800) 771-6748 (561) 367 8686. THERE IS A SUBSTANTIAL RISK OF LOSS IN FUTURES TRADING.
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  #24 (permalink)
Trading Apprentice
Chicago USA
 
Futures Experience: Advanced
Platform: NinjaTrader
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Posts: 15 since Jun 2011
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AMP FUTURES has an ISystems page that you can check out as well. I believe that firms are only allowed to list systems that are trading live with real money


Sent from my iPhone using futures.io

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  #25 (permalink)
Elite Member
Reno, Nevada
 
Futures Experience: Advanced
Platform: NinjaTrader
Favorite Futures: ZN, ZB, FDAX
 
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Posts: 144 since May 2011
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mattz View Post
I do not think you can combine systems together via iSystems itself, but I have a few customers who downloaded it via CSV to Excel spreadsheets in an attempt to build some negative correlations.

Thanks,
Matt Z
Optimus Futures

There is a substantial risk of loss in futures trading. Past performance is not indicative of future results.

Is there a link to download as a CSV file? I didn't see one at your website. Thanks.

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  #26 (permalink)
Market Wizard
Boca Raton
 
Futures Experience: Advanced
Platform: Variety
Broker/Data: Optimus Futures, LLC
Favorite Futures: Futures
 
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Posts: 1,960 since Sep 2010
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phantomtrader View Post
Is there a link to download as a CSV file? I didn't see one at your website. Thanks.

Go to https://optimusfutures.isystems.com/
1) choose the system you wish to evaluate
2) Scroll to the bottom of the systems where is shows performance
3) Click on the Tab that says "Trade Log" or "Session Log". Both will have a small X logo for Excel, and you can just click on it.

I hope this helps.

Regards,
Matt Z
Optimus Futures

There is a substantial risk of loss in futures trading. Past performance is not indicative of future results.

PM with any questions about optimusfutures (800) 771-6748 (561) 367 8686. THERE IS A SUBSTANTIAL RISK OF LOSS IN FUTURES TRADING.
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  #27 (permalink)
Elite Member
Reno, Nevada
 
Futures Experience: Advanced
Platform: NinjaTrader
Favorite Futures: ZN, ZB, FDAX
 
phantomtrader's Avatar
 
Posts: 144 since May 2011
Thanks: 9 given, 216 received


mattz View Post
Go to https://optimusfutures.isystems.com/
1) choose the system you wish to evaluate
2) Scroll to the bottom of the systems where is shows performance
3) Click on the Tab that says "Trade Log" or "Session Log". Both will have a small X logo for Excel, and you can just click on it.

I hope this helps.

Regards,
Matt Z
Optimus Futures

There is a substantial risk of loss in futures trading. Past performance is not indicative of future results.

Thanks for the prompt reply.

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  #28 (permalink)
Market Wizard
Houston, TX
 
Futures Experience: Advanced
Platform: XTrader
Broker/Data: Advantage Futures
Favorite Futures: Energy
 
Posts: 1,978 since Dec 2013
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SMCJB View Post
Here's some analysis ....

The line of best fit, y = 0.2989 says that the average system performance being tracked is approximately 30% of what it was for the full history, but a 21% R Squared isn't that high.

Turns out that if you plot the R Squared in an excel chart and you set the intercept to zero, then the R Squared is ALWAYS wrong. I found this is out when I did the chart below and it gave me a negative R Squared! The R Squared of the original data, without a forced zero intercept was actually 29%.


SMCJB View Post
As an aside, 9 of the 13 (~69%) systems I screened to take a more detailed look at were FDAX systems.

Face Palm Moment!
I must admit that I have never traded FDAX before and had no idea that it was so large (€320k vs say ES which is $120k). My initial screen was Net Profit and % Tracked PnL / All History PnL. No wonder there were so many DAX systems! Why Net Profit you ask? That's a terrible metric! I know that but Profit is one of the few fields in the table that you can get purely for 'since tracked'.

Anyway this leads me to a slightly modified chart. The following chart is the same data, but instead of calculating daily PnL I calculated Annual PnL as a % of Required Capital. Again X Axis is "All History" and Y Axis is "Since Tracked". Performance is even worse although R Squared (8%) is much worse as well. Eye balling it, it appears that the six data points in the bottom right are skewing the regression. Obvious problem with least squares being overly influenced but outliers but couldn't bother to calculate something more robust. My new initial sort list of 10 systems covers 6 different symbols, with NQ the most popular.

By the way modifying the chart, I realized that the original chart was $/Calendar Day not $/Business Day

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Big Mike View Post
Great ideas @SMCJB. Does this have the capability to do portfolio level testing, to look for risk opportunities?

As far as I know, and based upon @mattz comment it does not, but my goal is to develop a methodology to do exactly that myself. Portfolio of uncorrelated systems to maximize Return/Drawdown. As they say, Diversification is the only free lunch!


mattz View Post
I do not think you can combine systems together via iSystems itself, but I have a few customers who downloaded it via CSV to Excel spreadsheets in an attempt to build some negative correlations.

Thanks,
Matt Z

Exactly. Matt I hope to call you tomorrow.


kevinkdog View Post
This is some great work. Hopefully people will realize the implications of this - real time performance is usually not as good as backtest performance.

Thanks for sharing!

When it comes to system performance, in sample vs out of sample, incubation etc, I've learnt a lot from you Kevin, and would have probably approached this differently (and incorrectly) before I met you! Thank You.

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  #29 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
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SMCJB View Post
As far as I know, and based upon @mattz comment it does not, but my goal is to develop a methodology to do exactly that myself. Portfolio of uncorrelated systems to maximize Return/Drawdown. As they say, Diversification is the only free lunch!

Excellent work as always @SMCJB.

Diversification is the only holy grail

Mike

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  #30 (permalink)
Market Wizard
Houston, TX
 
Futures Experience: Advanced
Platform: XTrader
Broker/Data: Advantage Futures
Favorite Futures: Energy
 
Posts: 1,978 since Dec 2013
Thanks: 1,662 given, 3,042 received
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mattz View Post
Go to https://optimusfutures.isystems.com/
1) choose the system you wish to evaluate
2) Scroll to the bottom of the systems where is shows performance
3) Click on the Tab that says "Trade Log" or "Session Log". Both will have a small X logo for Excel, and you can just click on it.

I hope this helps.

Regards,
Matt Z

Not the best of formats, but usable.

So this is the 10 Systems I quickly picked. Haven't done any portfolio optimization at all at this point, just constructed a portfolio that trades one lot of each system, which is obviously very unweighted.

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Slope ...
during pure backtest (blue) was $195/calendar day
during mixed backtest/live (red) was $334/calendar day
during pre live-tracked (blue+red) was $268/calendar day
during live/tracked (green) was $143/calendar day

Obviously live is quite a bit less than backtest. Max drawdown was about 13K but since all 10 systems have been live, just over 13 months, there's been two different 10k drawdowns.

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