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  #1 (permalink)
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Hi all,

Have you came across isystems.com, and what's your opinion?
The site rents algos and will sell you signals for a monthly fee per algo.
To me, this sounds counter-intuitive to all good teachings about this topic. Why?

- We know a system could be profitable in a Tradestation env. and NOT profitable when run over another source of data like IQFeed. This is caused by various differences in handling the data - especially for futures, like back-adjusting, etc. So as far as I'm concerned, those algos could run on purely <random generated> data. There's no specification of where does the data come from.
- We only see the profit of those algos in their "ideal" setup - with their own data, etc. Customer performance can only be worse and who knows what's the profitability of customers following their signals is.
- Liquidity is a player - Algos always assume they get a fill while in the markets you might not. No idea of what's the decrease in profitability for those algos for various degrees of slippage.
- It's well known your own "monkey" (copyright FT71 ) will mess with your trades, when the homework is not yours and you don't know how the Algo works, so you cannot trust it fully. And you cannot trust it fully, as you know the picture those signals sell is not true because the other mentioned reasons.
- It's interesting their services started to be offered by various brokerages, Stage5 include.

To me, this sounds like another path to ruin disguised in a "pain free holy gail" algo journey to unexisting fortunes.
But I'm open to your comments

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Hi guys,
I am also interested to know if anyone has any personal experience with the automated isystems platform?

The backtested results for some of the algo systems are certainly ...interesting, but if someone could give their experience on what it's actually like to have real money vested into any of the automated trading solutions (and not just a sim account) that would be great.

Thanks,
~J

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We have implemented the iSystems services and the automated execution of trading.
I do not think you can talk in terms of "personal experience" because there are many systems with a variety of results.
Therefore, the experience will vary on the performance of the system that was chosen.
Prior to use of this automation engine, I must have spent 10 hours on this to develop a due diligence process in the system selection. These systems can not be chosen blindly based on performance only. There are many variables that you can consider prior to choosing one. I find that the execution and reporting of the systems is one of the highest calibers out there.

THERE IS S SUBSTANTIAL RISK OF LOSS IN FUTURES TRADING. PAST PERFORMANCE IS NOT INDICTIVE IF FUTURE RESULTS.

Matt
Optimus Futures

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 support@OptimusFutures.com
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  #5 (permalink)
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Hi guys,

It is my pleasure to welcome Anthony Giacomin from Stage 5 Trading and Walter Gallwas from iSystems on Thursday, April 27th @ 4:30 PM Eastern US.

The title for this webinar is "Introducing iSystems with Stage 5 Trading", and bullet points include:

- 650+ Automated Trading Strategies to choose from
- Clients start and stop systems via the platform online, not requiring any actions by the broker
- Manage your account live with the Award Winning S5 Mobile Trader, S5 Trader, and S5 Trade Analyzer!
- Once you have access, you will have 24-hour liquidity and 100% transparency.
- Does not require an LOD (letter of direction)
- The account is set up as a SELF DIRECTED Account. One account and trade as many systems as you like.
- Process for a system to get added to S5 iSystems
- Backtest, Forward Test and Live Trading
- This gets into more detail on how we test and post-performance

State of the art development tools.
- SDK systems are developed using modern Microsoft technologies, the same way regular software and websites are coded.
- Smooth learning curve for experienced trading systems developers. Programming language is very similar to other platforms (EasyLanguage, Ninja, C#)
- Completely free for developers. Not only tech support, but also software tools, historical market data, etc.,
- SDK strategies are compiled into machine code, so developers' intellectual property is protected (no source code is needed)

You can learn more about iSystems with Stage 5 here:
S5 iSystems - Stage 5 Trading Corp

Register for the event:
https://on.futures.io/cveuc

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  #6 (permalink)
Milan/Italy
 
 
Posts: 51 since Oct 2013
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Hello world!

I need and can share some helps about iSystems coding!

In particular, in Trading Motion SDK I need to code in C# the following conditions in advanced order method:

---------------------------------------------------------------
If time is 12:00am then enter a long stop order with a stop price of current bar + 5 ticks.
if time is 13:00am and the order above is not filled yet then cancel order.
----------------------------------------------------------------

Any help is appreciate!

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  #7 (permalink)
Milan/Italy
 
 
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jadejaguar View Post
Hi guys,
I am also interested to know if anyone has any personal experience with the automated isystems platform?

The backtested results for some of the algo systems are certainly ...interesting, but if someone could give their experience on what it's actually like to have real money vested into any of the automated trading solutions (and not just a sim account) that would be great.

Thanks,
~J

I am using iSystems with my AMP account since months and it works great. What I really love is that it lets tradings totally hands free. I am using 2 different trading systems and it looks to work efficiently and sharp.
There are several systems coming from different developers and firms. I think that what really matters is to choose the right systems or the one that fits our needs.

Sorry for my poor English,

Bye!

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  #8 (permalink)
Wherever I want to be
 
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Hello,

I too have had a go with the isystems for the past few months. Still no holy grail, but some of the systems did managae to make some money while others either lost or breakeven so far. Overall, my account is still breakevenish after comms and fees. I did get rid of some of the systems that was losing me , which in hindsight wasnt a really bad decison or good but less stressful to watch.

Just fyi, some systems regarding gold (gc) can have insane slippage more so than other more liquid products i have tried thus far.

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  #9 (permalink)
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How much is the % share on subscription fees for the system developpers ? Any other revenue type (commissions split maybe) ?

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  #10 (permalink)
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mattz View Post
We have implemented the iSystems services and the automated execution of trading.
I do not think you can talk in terms of "personal experience" because there are many systems with a variety of results.
Therefore, the experience will vary on the performance of the system that was chosen.
Prior to use of this automation engine, I must have spent 10 hours on this to develop a due diligence process in the system selection. These systems can not be chosen blindly based on performance only. There are many variables that you can consider prior to choosing one. I find that the execution and reporting of the systems is one of the highest calibers out there.

THERE IS S SUBSTANTIAL RISK OF LOSS IN FUTURES TRADING. PAST PERFORMANCE IS NOT INDICTIVE IF FUTURE RESULTS.

Matt
Optimus Futures

even if one of these systems work as more and more users come online and others leverage up is it not dooms day at some point.

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  #11 (permalink)
 
 
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forgiven View Post
even if one of these systems work as more and more users come online and others leverage up is it not dooms day at some point.

Well, what you can do is follow the slippage that is available on the platform. You can directly see the difference between the hypothetical and real-time execution. If you find it growing over time you can make a decision as far as the impact it has on the performance. If you need help with seeing this, I would be more than happy to guide you.

Thank you,
Matt Z
Optimus Futures

There is a substantial risk of loss in future 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 support@OptimusFutures.com
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  #12 (permalink)
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mattz View Post
Well, what you can do is follow the slippage that is available on the platform. You can directly see the difference between the hypothetical and real-time execution. If you find it growing over time you can make a decision as far as the impact it has on the performance. If you need help with seeing this, I would be more than happy to guide you.

Thank you,
Matt Z
Optimus Futures

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

do you not have your own systems for your managed accounts that work better than theses.

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Posts: 37 since Apr 2013
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Thanks again for hosting the S5 iSystems webinar!

It was a lot of fun, and certainly a topic I look forward to digging into more detail with the futures.io community. Again, if there are questions about anything S5 iSystems related just drop us a note. Submit the form on the following link and a broker will follow up and assist you.

https://stage5trading.com/alternative-investments/s5-isystems/

Have a great weekend all!

Best,
AG

Risk Disclaimer: Trading Futures, Options on Futures, and retail off-exchange foreign currency transactions involves substantial risk of loss and is not suitable for all investors. Past Performance is not indicative of future results.
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  #14 (permalink)
Legendary Market Wizard
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@mattz @Stage5 Anthony
Is there a way to look at the performance data only for when the systems have been tracked or traded live? I've filtered the data to have been tracked for at a least year, but all the performance data is still from inception. So the few systems I have looked at all have great back tests - and good looking performance data - but most have performed significantly worse since being tracked. It would be good to be able to search without their (in many cases unrealistic) back tests.

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  #15 (permalink)
 
 
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SMCJB View Post
@mattz
Is there a way to look at the performance data only for when the systems have been tracked or traded live? I've filtered the data to have been tracked for at a least year, but all the performance data is still from inception. So the few systems I have looked at all have great back tests - and good looking performance data - but most have performed significantly worse since being tracked. It would be good to be able to search without their (in many cases unrealistic) back tests.

There is a filter called "live since" which allows you to choose the period you want to see the live results from. However, you should see the live results along with the theoretical model because you get to see the deviation from the model. I think this is critical when you choose a trading system because you may often find that even if the live system is positive, it could be slightly different than the theoretical model. Both could provide pertinent information.

When iSystems was launched, I spent hours to find a reasonable method to evaluate the systems and diversify among them. I would be more than happy to walk you through some of the key points I have found if we talk.

Have a good weekend.

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 support@OptimusFutures.com
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  #16 (permalink)
Legendary Market Wizard
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Thanks @mattz, I'll try and call you this week, but it may slip to next week.

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SMCJB View Post
Thanks @mattz, I'll try and call you this week, but it may slip to next week.

Next week or after is fine. Looking forward to talking to 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.
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SMCJB View Post
@mattz @Stage5 Anthony
Is there a way to look at the performance data only for when the systems have been tracked or traded live? I've filtered the data to have been tracked for at a least year, but all the performance data is still from inception. So the few systems I have looked at all have great back tests - and good looking performance data - but most have performed significantly worse since being tracked. It would be good to be able to search without their (in many cases unrealistic) back tests.

@SMCJB,

Great question and one of the reasons I like the S5 iSystems software as much as I do. It allows individuals to create multiple filters to hopefully find something that works for them, or to better determine that this is something you are NOT interested in.

We made the below video to help navigate the S5 iSystems software and filters. It should help you refine your search and hopefully find something that you like. I hope it helps. As always feel free to reach out to us if you have any questions or would like a one on one walkthrough of the S5 iSystems software with a broker.



Best,
Anthony Giacomin
Stage 5 Trading

Risk Disclaimer: Trading Futures, Options on Futures, and retail off-exchange foreign currency transactions involves substantial risk of loss and is not suitable for all investors. Past Performance is not indicative of future results.
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Legendary Market Wizard
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Broker: Primary Advantage Futures. Also ED&F and Tradestation
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Posts: 3,959 since Dec 2013
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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.



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.

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

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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.

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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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.



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!

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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.

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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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


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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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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.

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 support@OptimusFutures.com
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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
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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Legendary Market Wizard
Houston, TX
 
Experience: Advanced
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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







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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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

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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.



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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and...


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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.

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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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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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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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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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@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
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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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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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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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I have recently discovered that some systems do get deleted, and don't show in the performance reports anymore. Unfortunately things does bring survivorship-bias into the equation!

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SMCJB View Post
I have recently discovered that some systems do get deleted, and don't show in the performance reports anymore. Unfortunately things does bring survivorship-bias into the equation!

I have never seen a system with subscribers that was "wiped" but if you have seen a system that you had an interest in that was removed, I have zero qualms approaching isys and discussing that. Please PM me and/or email me the system you had an interest in. I will help as much as I can.

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Thanks Matt. The systems in question were bad and probably never had subscribers. I only know they are missing because I compared database downloads I have. I was just alerting people that there is now a survivorship bias component to any analysis.

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Hi guys,

It is my pleasure to welcome back Max Timmins from Stage 5 Trading and Walter Galways from iSystems, for a webinar on Tuesday, June 5th @ 4:30PM Eastern US.

The title for this event is "Digging Into the Details of S5 iSystems", and bullet points include:

- Successfully navigating the 1000+ Automated Trading Strategies to find the right fit for you
- How clients can easily start and stop systems in real time via the online platform
- Managing your account live with the Award Winning S5 Mobile Trader, S5 Trader, S5 Web, and S5 Trade Analyzer!
- Why S5 iSystems was built utilizing 24-hour liquidity and 100% transparency.
- How single account access allows for trading of as many systems as you like
- Why risk control is built into everything S5 iSystems does.
- Analyzing systems past performance across Backtested, Forward Tested and Live Trading Results
- How to use the S5 iSystems Developer Kit to create your own systems
- Why we made the SDK completely free for developers, including tech support, software tools, historical market data, etc.

Register for the event:
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Just a note, this webinar has been rescheduled to Tuesday, June 5th @ 4:30PM Eastern US.

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Webinar recording:



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What did everyone think of the webinar?

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Stage 5 has updated their Elite Members offer to the following:

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The details of this Elite Members offer, plus all the other Elite offers from other site sponsors, can be found here:

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Big Mike View Post
What did everyone think of the webinar?

As always another information packed webinar, my thanks to you, Stage 5 and Walter Gallwas. The amount and quality of webinars you have here is truly amazing.

Having used/traded the isystems product I can honestly say that the explanation and descriptions of it in this video is spot on. Switching systems on/off, confirmation emails, slippage, seeing trades in real time, all worked both efficiently and flawlessly. Obviously your primary source of support will be your broker but I have also exchanged several emails with Walter Gallwas and he was always extremely responsive and helpful. The isystems platform is top class - all you have to do is pick the right systems - which is obviously the difficult part!

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Anybody put real money in any of these systems? And what was the result?

I seem not to be able to find anybody with real life experience with real $$ in any of those systems.

I'm a bit skeptical as I had a bad experience few years ago with a professional managed account that was auto traded. There was a lot of things that weren't disclosed before investing.

The profit factors seem to be optimistic to say the least and not count all the fees/commissions,etc... If you ever developed your own system you know how hard it's to get a PF > 1.5 after expenses in real world.

Anyone??

Please, no 'depends' type answers... I just want to know which system you invested in and what is the results so far.

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dstrader View Post
Anybody put real money in any of these systems? And what was the result?

Yes. Me! I had a hypothesis I tested. I was wrong. I lost money. I'm hoping to correct that soon.


dstrader View Post
I seem not to be able to find anybody with real life experience with real $$ in any of those systems.

Yes. Me!
Yes. Me!
Yes. Me!


dstrader View Post
I'm a bit skeptical as I had a bad experience few years ago with a professional managed account that was auto traded. There was a lot of things that weren't disclosed before investing.

Skepticism is actually good. Way too many snake all salesmen in this arena. But watch the video. They explain that not only are full commissions included but they also include an estimate for slippage. My performance was 100% as advertised. I've been trading full time for over 20 years. Please don't take this as a noob with no idea what they are doing.


dstrader View Post
The profit factors seem to be optimistic to say the least and not count all the fees/commissions,etc... If you ever developed your own system you know how hard it's to get a PF > 1.5 after expenses in real world.

I agree PF > 1.5 is difficult. @kevinkdog runs a "members only 6 month system club". One of the qualifying conditions is annual Return/Drawdown of 2.0. Sure I can break the rules and meet that qualification, but then the system inevitably fails the true 6 month test. Meeting the requirement and passing the 6 month test is really tough. I hate it. It's my arch nemesis. As I have stated above, I believe the isystems platform is the real deal - but the real issue is can you pick the right systems. In my first attempt I failed. If it was easy. Everybody would do it.

dstrader View Post
Anyone??
Please, no 'depends' type answers... I just want to know which system you invested in and what is the results so far.

Being blunt did you actually read the entire thread and my related journal? If you do, and have more questions feel free to ask, here, in my journal or by PM, I'm more than willing to help others who are seriously interested, assuming they are willing to share as well.

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  #52 (permalink)
Toronto Canada
 
Experience: Intermediate
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At one point I thought that the fund manager relied on several systems to handle several markets and that made sense for a while.

Then I realised they were turning them on and off when it suited them.

In my own system testing, I realised that when the market was trending the trend following systems made a lot more money than the ones that did well in channels and the trend following systems actually lost money if the channel type environment went on long enough.

Volatility was another variable. Some days were low range others were worth a weeks worth of trading in one day.

News was another variable.

Seasonality was also a factor.

And sometimes the markets just did random stuff one could not explain, that any system would struggle with.

So it became apparent to me that it was vip to know what systems you want to be running in what environment.

No sense paying commissions for nothing.

Some systems can trade every few seconds. Some can trade two times a year and make the same money.

Diversifying is one way to approach this but we are not all Bill Gates funded. So having one for channels and one for trends is a minimum capability or nice starting point.

So the idea of adding a layer of complexity by NOT knowing how exactly a system makes its decisions to buy or sell on any given bar, day or week seems to make the process harder by a factor of 100 if you don't program yourself. Because you want to match the right system to the right market condition choosing the right system is vip to me.

Knowing when to turn it (them) on and off is vip. So unless you can diversify you have to read the market too.

I got to the point where i was thinking when product A does this product B should do that. So the ideal system would be cross linked to multiple products (thinking US dollar, gold, oil, equity indexes, commodities?) as well as a news service and NOT be in the market during eco releases. This required a calendar.

And that is when real life interrupted.

So to sum up having the decision making process cloaked/hidden when you buy a black box makes the whole system trading process much harder. I think you are much better off to program your own ideas and that way you know why you made or lost money.

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  #53 (permalink)
Chicago, USA
 
Experience: Advanced
Platform: TS, NT, TOS, SSE, IRT
Trading: ES, currency futures, options, stocks
 
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SMCJB View Post
Being blunt did you actually read the entire thread and my related journal? If you do, and have more questions feel free to ask, here, in my journal or by PM, I'm more than willing to help others who are seriously interested, assuming they are willing to share as well.


I did not. Will do that when I have some time.

To be honest with this structure of fees and high commissions (+ slippage), I doubt anyone would be making consistent profits (>6 months) on any of these systems. That was the issue with the system I invested in (and supposed developed and run by one of the best CTAs of that company). The goal was just to churn clients capital with fees + commissions, not to help any client.

The same issue probably here. I would love to be proved wrong... anybody made any money (live!) with these systems on a period greater than 6 months?? Can someone put their results live month by month?

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Experience: Advanced
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Trading: ES, currency futures, options, stocks
 
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mmaker View Post

So to sum up having the decision making process cloaked/hidden when you buy a black box makes the whole system trading process much harder. I think you are much better off to program your own ideas and that way you know why you made or lost money.

Agree 100%.

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  #55 (permalink)
Andorra
 
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Sorry didn't take time to read the thread. I did contact iSystems directly though but never got an answer.

How are providers compensated ? Do they get a split of results / buffed-up commissions / subscriptions ? What's the model ?

Derivatives prop trader // Rad maker
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