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www.isystems.com

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  #31 (permalink)
 SMCJB 
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and...


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  #32 (permalink)
 mattz   is a Vendor
 
 
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SMCJB View Post
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.



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.

I look forward to talking to you about these systems and seeing if it's in line with the criteria that I have developed for the systems. I find that there are at times decreasing returns for "over variety" and it might better to have more than one unit in some as opposed to just adding a whole different method.

Matt Z
Optimus Futures

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

Trading futures and options involves substantial risk of loss and is not suitable for all investors. Past performance is not necessarily indicative of future results. You may lose more than your initial investment. All posts are opinions and do not claim to be facts. Please conduct your own due diligence. Use only Risk capital when trading Futures.
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  #33 (permalink)
 SMCJB 
Legendary Market Wizard
Houston, TX
 
Experience: Advanced
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Broker: Primary Advantage Futures. Also ED&F and Tradestation
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Big Mike View Post
Diversification is the only holy grail

82% of the systems that have been tracked live for at least a year and have a positive PnL are equity systems and you know what they say about people who make money in a bull market and think they are genius's! (Dax 1 year return is +27% and S&P is +16%)
1 Gold, 1 Wheat, 5 Euro, 8 Bund & 10 Crude. Those are the only non-equity systems (that meet the above criteria). Still looking for that Feeder Cattle System :-)

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  #34 (permalink)
 Big Mike 
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SMCJB View Post
82% of the systems that have been tracked live for at least a year and have a positive PnL are equity systems and you know what they say about people who make money in a bull market and think they are genius's! (Dax 1 year return is +27% and S&P is +16%)
1 Gold, 1 Wheat, 5 Euro, 8 Bund & 10 Crude. Those are the only non-equity systems (that meet the above criteria). Still looking for that Feeder Cattle System :-)

Obviously one metric is rate of return vs the Spoos, as well as the drawdown. Finding a portfolio that outperforms multiple key metrics against Spoos is part of the fun

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  #35 (permalink)
 SMCJB 
Legendary Market Wizard
Houston, TX
 
Experience: Advanced
Platform: TT and Stellar
Broker: Primary Advantage Futures. Also ED&F and Tradestation
Trading: Primarily Energy but also a little GE, SI, Bitcoin & Ether
 
Posts: 4,690 since Dec 2013
Thanks: 4,012 given, 9,395 received

Okay some stats for those that might be interested.

Some Key Metrics

Number of Systems :- 799
Number of Swing Systems :- 328 (41.1%)
Number of IntraDay Systems :- 471 (58.9%)
Number of 'Tracked' Systems Profitable :- 313 (39.2%)

Number of Developers :- 53
Number of Developers with all 'Tracked" Systems Profitable :- 12 (23%)
Number of Developers with NO 'Tracked" Systems Profitable :- 5 (10%)
Median Number of Systems per Developer :- 6

Number of Symbols :- 25
Most Popular Symbol :- FDAX, 162 Systems (20.3%)
Top 4 Symbols (FDAX, ES, TFS, CL) represent 399 or 49.9% of all systems.

Median Years Tracked :- 1.5

and the overfitting beware statistics...
(All Data includes backtest, Since Tracked excludes backtest)

Average PnL
All Data $98,039
Since Tracked ($2,989)
Median PnL
All Data $66,624
Since Tracked ($1,264)
Average ROI
All Data 28%
Since Tracked (1%)
Median ROI
All Data 16%
Since Tracked (2%)
% Greater than 0
All Data 99%
Since Tracked 39%


Symbols Traded, # of Systems per Symbol
 
Code
	IntraD	Swing	Total
CL	43	24	67
DM	27	9	36
ES	43	50	93
FDAX	124	38	162
FDXM	26	18	44
FESX	35	3	38
FGBL	1	21	22
GC	19	19	38
HG	1	4	5
HO	2	9	11
NG	2	8	10
NKD	3	4	7
NQ	24	19	43
QM	8	10	18
RB	3	6	9
SB11		1	1
SF	2		2
SI	4	10	14
TFS	55	22	77
URO	21	12	33
YM	24	19	43
ZB	1	8	9
ZN		2	2
ZS	3	8	11
ZW		4	4
Total	471	328	799

Number of Systems per Developer
Median of 6, Average of 15, Systems per Developer with a range of 1 to 102.



Number of Years Tracked
Median of 1.5, Average of 2.4 Years Tracked per System.
Remember Tracked is Out of Sample / Not the Back Test.



Perfromance Metrics

I'm not posting much here since I think I have illsutrated that for the majority of the systems available the real results do not resemble back test results, and all of the easily available performance metrics all include the back test, an as such in most cases have little value.

Sharp Ratio
Average 1.04, Median 0.92



Sharpe Ratio vs MAR Ratio

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  #36 (permalink)
 SMCJB 
Legendary Market Wizard
Houston, TX
 
Experience: Advanced
Platform: TT and Stellar
Broker: Primary Advantage Futures. Also ED&F and Tradestation
Trading: Primarily Energy but also a little GE, SI, Bitcoin & Ether
 
Posts: 4,690 since Dec 2013
Thanks: 4,012 given, 9,395 received

Regarding system performance degradation, and the effect of exchange rates

As is probably apparent isystems is a USD denominated product, and as already mentioned 20% of the systems are FDAX systems, which are Euro and not USD denominated. In fact almost exactly a third of the systems trade Euro denominated contracts. Over the last 10 years the EUR:USD exchange rate has fallen from 1.50ish to 1.10ish. Hence a FDAX system that made 100 in 2008 was making $150, while the same system, still making 100 in 2017 is only making $110. As such, in this example, the currency fluctuation could be responsible for a 27% degradation in performance.

As previously discussed one of the things I have looked at is Profit/Year for both all data, and since tracked data, here is a breakdown based upon contract currency. As you can see there is a significantly larger profit degradation for Euro denominated contracts, which given that the results are in USD and not native currency, I suspect this is heavily influenced by the decline in the EUR:USD exchange rate.

Profit Year since Tracked / Profit Year All History
All Systems ~ 799
Euro denominated Systems -168%
Other denominated Systems -36%
All System -80%

All Systems with >0 Tracked PnL ~ 313
Euro denominated Systems 47%
Other denominated Systems 103%
All System 85%

All Systems with >0 Tracked PnL and >6 Months Tracked ~ 221
Euro denominated Systems 45%
Other denominated Systems 61%
All System 55%

@mattz and @Stage5 Anthony, maybe this is something you could bring up with the developers. It would be good to see raw/underlying system perfomance metrics without the effect of the USD/EUR exchange rate.

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  #37 (permalink)
 mattz   is a Vendor
 
 
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@SMCJB you have a good and valid point for those who trade in the USA. However, iSystems also has publications in Euro for the same systems, but the commissions are also in Euros. I will PM you some info about it.

On a different note, I would not speculate which direction USD would take, but recently it has been down while the Euro has been up.

Thank you,
Matt Z
Optimus FUtures

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

Trading futures and options involves substantial risk of loss and is not suitable for all investors. Past performance is not necessarily indicative of future results. You may lose more than your initial investment. All posts are opinions and do not claim to be facts. Please conduct your own due diligence. Use only Risk capital when trading Futures.
1 800 771 6748 local 561 367 8686 email [email protected]
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  #38 (permalink)
 SMCJB 
Legendary Market Wizard
Houston, TX
 
Experience: Advanced
Platform: TT and Stellar
Broker: Primary Advantage Futures. Also ED&F and Tradestation
Trading: Primarily Energy but also a little GE, SI, Bitcoin & Ether
 
Posts: 4,690 since Dec 2013
Thanks: 4,012 given, 9,395 received

I have now opened an isystems account. To avoid filling this thread with my results I have created a journal specifically to post my system picking methodology and results at


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  #39 (permalink)
 SMCJB 
Legendary Market Wizard
Houston, TX
 
Experience: Advanced
Platform: TT and Stellar
Broker: Primary Advantage Futures. Also ED&F and Tradestation
Trading: Primarily Energy but also a little GE, SI, Bitcoin & Ether
 
Posts: 4,690 since Dec 2013
Thanks: 4,012 given, 9,395 received

For anybody interested, the first phase of my isystems experiment is finished after a $5k loss over the first 2.67 months of live trading.

It appears that how these systems perform in any (non-back tested) 12 month period is not in anyway indicative of how they will perform in the next 12 months. ie Using that analysis technique in isolation is non-robust.

The analysis of how I reached that conclusion, and details of my actual experiences can be found in the journal linked above.

I still believe that this data set can be very valuable as it contains almost a 1000 systems that in some cases have several years of real, non backtested, performance history. My next steps will be to take a different path and use some machine learning techniques to try and identify which systems to trade.

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  #40 (permalink)
 phantomtrader 
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SMCJB View Post
For anybody interested, the first phase of my isystems experiment is finished after a $5k loss over the first 2.67 months of live trading.

It appears that how these systems perform in any (non-back tested) 12 month period is not in anyway indicative of how they will perform in the next 12 months. ie Using that analysis technique in isolation is non-robust.

The analysis of how I reached that conclusion, and details of my actual experiences can be found in the journal linked above.

I still believe that this data set can be very valuable as it contains almost a 1000 systems that in some cases have several years of real, non backtested, performance history. My next steps will be to take a different path and use some machine learning techniques to try and identify which systems to trade.

For the specific systems you traded, were the results posted on the broker website similar to yours or were they way off?
Very nice statistical analysis - extremely helpful to those who want to trade an automated system.
Thanks.

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