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  #81 (permalink)
Hacienda Heights, CA
Experience: Intermediate
Platform: NinjaTrader 8
Broker: NinjaTrader Brokerage
Trading: MES, ES, SPX Options
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Posts: 49 since Jul 2009
Thanks: 14 given, 29 received

Tirutrade View Post

I created a summary of the tracked results of all systems of a developer. This is in my view a good way to see how well a developer manages systems.

Choosing among those developers who do a good job here is probably a good strategy to be profitable.

@SMCJB, interesting fact is that the overall live PL is negative which confirms that picking good systems is not easy. You can see the totals in the PDF.

I can attest to the fact that "picking good systems is not easy". I was trading systems by AutoTradingBot. This developer has many systems that appear profitable until you start trading them. Based on the large number of systems I traded, it seems like some of them should have made money just based on luck. Shouldn't the goal be to pick a systems that looks profitable and/or has a good sharp ratio before you start trading it? I've tried getting in on a dip but that didn't really change the outcome on the systems I traded. Could there be something about live trading that causes a system to blow up or is this just a matter of bad timing? I noticed that several systems did very well right after the market crash. Unfortunately, I wasn't trading them at that time. The track record on most of these systems is probably not an accurate reflection of how the system performs under normal market conditions. What do you think about waiting until just after a major market pull back and then trying again?

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  #82 (permalink)
Legendary Market Wizard
Houston, TX
Experience: Advanced
Platform: Trading Technologies
Broker: Primary Advantage Futures. Also ED&F and Tradestation
Trading: Primarily Energy but also a little GE, GC, SI & Bitcoin
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@jharthun have you looked at this thread...

SMCJB View Post
Saturday 5th August

In @kevinkdog’s Strategy Factory class, he teaches how to test and develop trading systems. Once you have developed a system, he teaches that the last thing you should do before going live is to ‘incubate’ the system. This basically means that you watch the system for a period of time to verify that it’s performance is what you expect to be. If the system performs significantly different during incubation than it did in backtest, that’s probably the best warning you could get that something is probably wrong, without risking and losing real money.

I’m not going to go into detail about what iSystems is because I assume that if you are reading this then you probably already know. Something that I do want to mention though is how the iSystems timeline works. Each system has a “Start Date”, a “Tracked Since Date” and a “Live Since Date”. The way I interpret this is that the “Start Date” is the date that the backtest starts. The “Tracked Since Date” is the date that isystems started tracking or following the system, and is such outside of the backtest. Finally the “Live Since Date” is the date that somebody first started trading the system.

While I am interested in how systems have performed in there backtest, what I am really interested in is how they have performed outside the backtest, aka since being tracked. The main “Explore Systems” table has lots of good information on systems including Drawdowns, Sharpe Ratio’s etc but nearly all of this information includes the backtest. While it is possible to see the statistics only since tracked on the individual system pages, it is not possible to see this data for all systems on the “Explore Systems” page.

At the time of writing, iSystems has 869 systems that have an average start date of June’06 (11.1 years) and an average tracked since date of May’15 (2.2 years). The systems have an average backtest PnL of just over $100K (almost $9k/year) but an average PnL since being tracked that is negative!!! Obviously it is important to separate the wheat from the chaff – assuming there is some wheat to be found.

In line with Kevin’s ‘incubation’ period the first thing that I did was eliminate every system that hadn’t been tracked for a minimum period of time and any system that didn’t have a positive PnL since being tracked. This reduced my system universe from 869 to 158. The systems have an average backtest PnL of over $105K and an average PnL since being tracked of almost $12k. This equates to over $11k/year and $3.5k/year respectively.

plus lots lots more

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  #83 (permalink)
 Tirutrade   is a Vendor
Posts: 22 since Sep 2016
Thanks: 4 given, 16 received

jharthun View Post
I can attest to the fact that "picking good systems is not easy". I was trading systems by AutoTradingBot. This developer has many systems that appear profitable until you start trading them. What do you think about waiting until just after a major market pull back and then trying again?

I have been very profitable personally, but I use Striker. But many of the systems are trading on iSystems too.

The key in my opinion is if the developer uses a sound development and review process. This can be seen when looking how profitable a developer is with all systems combined.

1. Check above list for profitable vendor = Tracked PL
2. Check average profit per system of those vendors = Tracked PL / number of systems
3. Choose systems only from the best vendors. Best vendors are overall profitable and each system provides good profits.

Then you have good chances to be profitable.

Number 2 is important, because if a vendor has 250 systems with small average gains, it will be pure luck to pick to right ones. The development process is not sound IMHO. Less is more.

If you do the process above you will find, that only 4-5 vendors really qualify.

You can also check Striker. Since there it's live only, it's easier to identify the best:
On Striker, vendors usually trade their systems with real money, which automatically improves quality. On iSystems, you can upload 100 systems and just build a track record. No requirement to trade live.

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