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  #1 (permalink)
 andby 
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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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 jadejaguar 
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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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  #4 (permalink)
 mattz   is a Vendor
 
 
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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)
 Big Mike 
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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

Mike

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  #6 (permalink)
Astrogirl
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)
Astrogirl
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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)
 Opstar 
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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)
Kalisto
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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)
 forgiven 
Fletcher NC
 
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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)
 mattz   is a Vendor
 
 
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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)
 forgiven 
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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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  #13 (permalink)
 Stage5 Anthony   is a Vendor
 
 
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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)
 SMCJB 
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)
 mattz   is a Vendor
 
 
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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)
 SMCJB 
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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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  #17 (permalink)
 mattz   is a Vendor
 
 
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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.
1 800 771 6748 local 561 367 8686 email support@OptimusFutures.com
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 Stage5 Anthony   is a Vendor
 
 
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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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  #19 (permalink)
 SMCJB 
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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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  #20 (permalink)
 Big Mike 
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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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 mattz   is a Vendor
 
 
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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.
1 800 771 6748 local 561 367 8686 email support@OptimusFutures.com
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 kevinkdog   is a Vendor
 
 
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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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  #24 (permalink)
Three1seventy
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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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 phantomtrader 
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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.
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 phantomtrader 
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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

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Thanks for the prompt reply.

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 SMCJB 
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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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 Big Mike 
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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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 SMCJB 
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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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 SMCJB 
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and...


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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
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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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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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 SMCJB 
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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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 SMCJB 
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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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 SMCJB 
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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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 SMCJB 
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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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 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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 SMCJB 
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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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 SMCJB 
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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:

"Receive the first 2 months of license fees FREE for select developers on S5 iSystems"

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

https://futures.io/elite_membership/

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 SMCJB 
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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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 dstrader 
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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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 SMCJB 
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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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 mmaker 
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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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 dstrader 
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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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 dstrader 
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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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 Viro Major 
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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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 jharthun 
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dstrader View Post
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.

I've put real money on several systems and lost money on almost all of them. I've been trying to make a profit on iSystems for over two years with no luck. I choose a system with what appears to be an outstanding track record, but shortly after I activate the system it starts losing and continues losing for months. I'm not talking about a couple systems. I've watched this happen over and over again on almost every system I've traded. I've traded almost two dozen different systems. I wish I could tell you why this keeps happening but I can't figure it out.

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 SMCJB 
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jharthun View Post
I've put real money on several systems and lost money on almost all of them. I've been trying to make a profit on iSystems for over two years with no luck. I choose a system with what appears to be an outstanding track record, but shortly after I activate the system it starts losing and continues losing for months. I'm not talking about a couple systems. I've watched this happen over and over again on almost every system I've traded. I've traded almost two dozen different systems. I wish I could tell you why this keeps happening but I can't figure it out.

They are all over fit!

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 Sazon 
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jharthun View Post
I've put real money on several systems and lost money on almost all of them. I've been trying to make a profit on iSystems for over two years with no luck. I choose a system with what appears to be an outstanding track record, but shortly after I activate the system it starts losing and continues losing for months. I'm not talking about a couple systems. I've watched this happen over and over again on almost every system I've traded. I've traded almost two dozen different systems. I wish I could tell you why this keeps happening but I can't figure it out.

You're getting these results due to data mining bias and curve-fitting. The best explanation that I've seen regarding the phenomenon of data mining bias is the paper on System Parameter Permutation here:

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2423187

This should at least provide the reason for your problem.

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 Tirutrade   is a Vendor
 
 
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We looked at the TradingMotion / iSystems platform. It's well done technically, but in our opinion it has one important design flaw:

There was no way to retire a system.
However, the management of systems is essential!

Only the vendor knows when a system is not viable anymore and therefore it should be the vendor's responsibility to take care of this.

Retiring could mean that a system data is still there for later review but the system is stopped, no more data is collected and nobody can be subscribed to it.

We requested such a feature but it never happened.

The result now is that there is a huge number of systems which are not taken care of. The customer has no idea if a system is still valid.

This makes it almost impossible to be profitable for the customer. How can he know when to stop a system?

We should not forget, markets change and no system will work forever. At least fine adjustments may be required over time.

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We found Striker superior to TradingMotion / iSystems because with Striker, only live trades are tracked. Usually the developer trades the system himself with Striker.

Given this fact, the systems on Striker are much better managed than on TradingMotion / iSystems.

Another advantage is the Portfolio Feature

Striker offers to the developer the possibility to create Portfolios. A portfolio is a group of systems and the developer can change the selection of systems any time. Tracking happens always live of whatever the portfolio consists of.

This means a customer can subscribe to the Portfolio and the developer then looks for the best selection of systems at any moment of time. The customer has not to worry about systems not being viable anymore, or requiring updates. The developer takes care of this.

In my opinion in this way the customer has the best chances to be profitable.

I trade in my personal account 3rd party systems on Striker profitably. But I only look at vendors which are profitable for the totality of ALL the systems they offer. And I only subscribe to Portfolios of systems.

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 Sandpaddict 
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jharthun View Post
I've put real money on several systems and lost money on almost all of them. I've been trying to make a profit on iSystems for over two years with no luck. I choose a system with what appears to be an outstanding track record, but shortly after I activate the system it starts losing and continues losing for months. I'm not talking about a couple systems. I've watched this happen over and over again on almost every system I've traded. I've traded almost two dozen different systems. I wish I could tell you why this keeps happening but I can't figure it out.

My apologies for jumping in right here if this has already been stated but there is absolutely a reason for this.

In his book Market Sense and Nonsense, Jack Schwager has a whole topic on this.

The super basic answer is just like markets no equity curve goes straight up all the time.

So in essence what people generally end up doing is "Buying High" into the equity curve usually near the top as it has had the most recent good performance.

Of course once everyone piles on in at the top and the more it starts sliding from the peak the more people bail out. Especially as it nears the bottom of the equity drawdown.

Where do they go with that money?

Back into a fund/account reaching equity highs usually advancing further losses as that fund comes off it's equity highs and they exit.

To boot... to paraphrase the great Daniel Kahneman... "just because I understand certain underlying psychology human biases doesn't mean I am any more immune to them than anyones else".



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 Sandpaddict 
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We looked at the TradingMotion / iSystems platform. It's well done technically, but in our opinion it has one important design flaw:

There was no way to retire a system.
However, the management of systems is essential!

Only the vendor knows when a system is not viable anymore and therefore it should be the vendor's responsibility to take care of this.

Retiring could mean that a system data is still there for later review but the system is stopped, no more data is collected and nobody can be subscribed to it.

We requested such a feature but it never happened.

The result now is that there is a huge number of systems which are not taken care of. The customer has no idea if a system is still valid.

This makes it almost impossible to be profitable for the customer. How can he know when to stop a system?

We should not forget, markets change and no system will work forever. At least fine adjustments may be required over time.

I immediately thought the same thing when Big Mike first started promoting them and they were boasting about 650+ strategies!

That was shocking to me. If you are selling signals for 650+ different strategies you are just selling strategies whether they WORK OR NOT no question.

I don't care how many graphs, charts, backtests... there is absolutely NO GUARANTEE that any algo will continue to work going forward. (Of course they'll say that but still sell the systems)

Only if they were all managed together and turned on and off by some OTHER switching software that might be something.

Short of that. I'm out.

And hey, if anyone has had good results great!

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Sandpaddict View Post
Only if they were all managed together and turned on and off by some OTHER switching software that might be something.

Short of that. I'm out.

I think this is the missing part which TradingMotion / iSystems does not seem to understand. Right now the setup is like this:

1) A developer uploads 10 systems. Let's assume they are curvefitted and have no real edge. What will happen that a few may actually look good for a few months, just by pure luck. It's pure statistics.
Then a customer subscribes and soon enough the system start to loose money.

2) Same can happen with portfolios. There still could be an issue here if the developer defines a number of different portfolios which basically represent different combinations of systems. In this case again, out of pure luck some portfolios will actually look quite good for some time, even if all the systems are curvefitted. Again. It's just statistics.

Best case for customer

From a customer perspective, the best scenario is where the customer can say: Ok developer, I want to trade 20K with you systems. Please select the best systems for this task and run those systems for me.
If your view regarding the best systems changes over time, please adjust the systems run.

In this case the responsibility of system selection is with the developer, who knows best, and NOT with the customer. We believe then the chance for being profitable longer term for the customer are highest.

This approach actually puts customer interest first.
With its current setup iSystems puts developer interest first.

But it's not really in the interest of iSystems, because they will not be able to build a customer base. Most people will loose money and will leave again after a few months.

https://www.tradingmotion.com/ actually lists the current numbers:
Gain access to 2619 Automated Trading Systems - created by 97 professional developers, tracked in real-time across 223 client accounts, at 18 different brokers.
223 customers over 18 brokers is nothing. And most of those customer are probably the developers trading their own systems over the platform in order to create a live track record.

TradingMotion / iSystems could be a nice platform if they would address those design flaws.

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 Tirutrade   is a Vendor
 
 
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In June 2016 they actually had 312 customers:
https://web.archive.org/web/20160629200942/www.tradingmotion.com/

They went in almost 5 years from
June 2016 = 312 customers to
April 2021 = 223 customers.

Once again, as a vendor I really think they have done a great job with the platform technically. But it's 90% complete only.

And the current design flaws are significant and unless they address that, it's too difficult to succeed for the customer.

Of course this is just our opinion. We approached them 2 years ago with our suggestions, but unfortunately there was no reply.

Best regards,

Michael

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Here a summary, what TradingMotion / iSystems should change in our opinion:

1. Offer the possibility to the developer to PAUSE or RETIRE a system.

If paused, the monthly fees would not be deducted anymore. Pausing can be used if a system is not behaving like expected and the developer wants to review a system or wait for confirmation the system is still viable.
Another useful application would be special market situations: If some unexpected or significant macro event happens, is the system really ready for that? The developer may want to decide to pause the system in such a case.

Retire can be used if the developer comes to the conclusion that a system logic is broken and the system is no more viable. The system still should be visible for later review, but no subscription should be allowed.

2. Offer the possibility to the developer to create Portfolios

The developer can create portfolios and assign systems to them. The composition of a portfolio can be changed any time.

Ideally the developer creates one portfolio for different account sizes:
DEVELOPER1 10K
DEVELOPER1 50K
DEVELOPER1 100K
...

This means the customer only has to choose the developer and decide, how much capital he wants to allocate to him.

We believe this would result in the best possible result for the customer.

We implemented this approach on Striker. Since Striker.com supports Portfolios, it can be done there.

Having said that, trading futures involves risk and is no easy task. There is no guarantee of success.

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  #66 (permalink)
 SMCJB 
Legendary Market Wizard
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Thanks @Tirutrade for all the comments and suggestions. Not sure if you saw it but I tried to develop a framework for identifying and trade profitable isystems several years ago. This was a real money experiment which can be put down as a failure. I even revisted the thread 18 months after I finished and did an update. Not a pretty picture. The thread is

Tirutrade
A developer uploads 10 systems. Let's assume they are curvefitted and have no real edge. What will happen that a few may actually look good for a few months, just by pure luck. It's pure statistics.

I think this is what happened, Maybe wasn't intentional at the beginning but that's what we ended up with. People don't realize that if you have a 1000 systems, and each system has a 50/50 chance of profitability, that in 10 years time you would expect one system to have made money in all 10 years. Great system or just pure luck? From my thread....

SMCJB View Post
I have 15498 samples of data, with 15 consecutive months of since tracked, not backtest, data. For now I am keeping back the most recent data and using 13924 samples. If a system has a 50% chance of being profitable each month, then the probability of being profitable 12 months in a row is 0.5^12 which would equate to 3.4 of my 13924 samples. In fact I have 4! Maybe surprisingly all 4 of these lost money over the next 3 months! The distribution of winning months is as follows. With a mean of 5.31 and sd of 1.89 the distribution is skewed to the lowerside


An additional issue I have is that there is no way to have a system developed use a rolling walkforward optimization. That will always lead to either a) over optimization or b) an out of date system.

With regard to stopping or pausing systems they definitely do deactivate systems as there are systems no longer available that used to be. Not sure if this is due to developer request or another issue. There are also systems on the platform that no longer trade, and haven't for years so I assume the developer has a date condition in the code.


Tirutrade
In this case the responsibility of system selection is with the developer, who knows best, and NOT with the customer.

While I like your portfolio idea, system creation and portfolio optimization are two equally complex and equally difficult tasks. In my experience of developers trying to build portfolios, systems are not being selected based upon how they work together, but how their combined equity curve looks. They are using overfitting further by using risk/reward optimization.

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 Tirutrade   is a Vendor
 
 
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SMCJB View Post
Not sure if you saw it but I tried to develop a framework for identifying and trade profitable isystems several years ago. This was a real money experiment which can be put down as a failure. I even revisted the thread 18 months after I finished and did an update.

Hi @SMCJB, I actually just finished reading it 10 minutes ago.

It was a very interesting read. I actually wanted to reply on that and thank you which I can now do here! It's was a very interesting experiment and worth trying.

I think the best way is that the developer decides about the viability of a system, because he can understand the results of the system in relation to market behavior. This is basically the context which is required to know if a logic is broken or not.

To make an example: Let's say we have a system which trades pullbacks in a trend. It only take trades in direction of the larger trend and only attempts to take a high probability portion of that trend.
This system will work fine if the market is trending. However when there is a trend change, losses will happen. It's normal for this strategy.
Therefore I know in advance, whenever the market changes trend the loss is acceptable and normal. However let's say the system starts to make losses in a trending market, then it would be a red flag and the system would have to be reviewed.

What I want say by this, is that it is very difficult to understand if a system is still viable by just looking at the results. If the logic is understood, then it's much more easy to see if all is normal or not. And any unexpected behavior can be identified early, hopefully before major drawdowns occur.

Therefore the best solution in my opinion is that the developer decides if a system is viable or not.


SMCJB View Post
An additional issue I have is that there is no way to have a system developed use a rolling walkforward optimization. That will always lead to either a) over optimization or b) an out of date system.

Yes, the system should be updated if required. I don't remember with TradingMotion / iSystems if it's possible, but I thought it is. Of course the reporting will be confusing, because backtest will not be valid. If I remember correctly, they leave the initial backtest and just run track / live trades with the newest version. But I am not 100% sure here. It's quite some time I looked at it.

With Striker the systems for sure can be updated or paused. We do this with Striker. Since Striker only shows live trade results, the integrity of the results is always there.


SMCJB View Post
While I like your portfolio idea, system creation and portfolio optimization are two equally complex and equally difficult tasks.

Yes indeed.
But it's really about making sure only viable systems are traded. It should be an easy subscribe and let run approach for the customer. Why else subscribe to such a service?

In my opinion with the portfolio approach it will be much easier for the customer to identify the best developers, because only those who can manage their systems well will be profitable. It's an essential part of successful systematic trading:
When to run and when to stop a system. When to review.

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  #68 (permalink)
 Sandpaddict 
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SMCJB View Post
Thanks @Tirutrade for all the comments and suggestions. Not sure if you saw it but I tried to develop a framework for identifying and trade profitable isystems several years ago. This was a real money experiment which can be put down as a failure. I even revisted the thread 18 months after I finished and did an update. Not a pretty picture. The thread is
I think this is what happened, Maybe wasn't intentional at the beginning but that's what we ended up with. People don't realize that if you have a 1000 systems, and each system has a 50/50 chance of profitability, that in 10 years time you would expect one system to have made money in all 10 years. Great system or just pure luck? From my thread....


An additional issue I have is that there is no way to have a system developed use a rolling walkforward optimization. That will always lead to either a) over optimization or b) an out of date system.

With regard to stopping or pausing systems they definitely do deactivate systems as there are systems no longer available that used to be. Not sure if this is due to developer request or another issue. There are also systems on the platform that no longer trade, and haven't for years so I assume the developer has a date condition in the code.


While I like your portfolio idea, system creation and portfolio optimization are two equally complex and equally difficult tasks. In my experience of developers trying to build portfolios, systems are not being selected based upon how they work together, but how their combined equity curve looks. They are using overfitting further by using risk/reward optimization.

Great read SMCJB thank you.

The whole exercise of outsourcing your system and strategy design in the first place is the problem in my opinion.

Why are you looking for someone elses system in the first place?

Maybe you don't have time to develop your own.

Maybe you have tried and failed in the past?

Maybe you just see those incredible returns (as the SORT them by highest returns at the top).

Regardless there is an inherent problem with picking systems. Its akin to picking stocks.

You buy the stocks that are rocketing up only to find you buy at the top.

Sell (with everyone else as it falters) and jump on the next red hot system.

Think your too smart? None of us are. (Unless your system takes that into account and can override your brains signals)

You have to exit your system as it's RED HOT. (Not easy) And enter another system at or near it's lows. (even harder)

And even that could be the wrong decision.

So in reality your ADDING an extra layer of complexity to an already incomprehensibly complex situation!!!

Add to that ANY system will have drawdowns...

Why? Because although the system doesn't change the market does. When the market and the system are in alignment they system will do well. On the flip side when they are out of alignment clearly things will not do as well.

Its the old "a broken clock is still right twice a day" thing. Meaning your system is the clock just waiting for time (the market) to align with it... breifly.

As always just one guys opinion.





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 Tirutrade   is a Vendor
 
 
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Sandpaddict View Post
Regardless there is an inherent problem with picking systems. Its akin to picking stocks.
You buy the stocks that are rocketing up only to find you buy at the top.
Sell (with everyone else as it falters) and jump on the next red hot system.

That would be true if you think all systems are just curvefitted and provide no real edge.

But if a system is a mathematical description of a high probability setup and is able to execute it reliably, then the system will outperform the market as long as the edge is there.

Now the question is, do you believe such edges exist?
If yes, do you believe they can be described with mathematical formulas?

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Tirutrade View Post
That would be true if you think all systems are just curvefitted and provide no real edge.

But if a system is a mathematical description of a high probability setup and is able to execute it reliably, then the system will outperform the market as long as the edge is there.

Now the question is, do you believe such edges exist?
If yes, do you believe they can be described with mathematical formulas?

Great discussion.

I do think that *most* systems are curvefitted and provide no real edge. In fact I would say most provide a NEGATIVE edge.

A "high probably setup" is subjective and a moving target.

If you can "mathematically" define a setup which is a prerequisite for a mechanical system anyway then it is STATIC.

The MARKET will then be the deciding factor IF the system is profitable.

The system will do well as long as its aligned with the market.

It won't when it's not and it's aggregate will be the profit/loss given the time exposure to the market.

And for it to work for an individual they must stick with the system to reap the gains. With that I %100 agree.

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Sandpaddict View Post
Great discussion.

I do think that *most* systems are curvefitted and provide no real edge. In fact I would say most provide a NEGATIVE edge.
A "high probably setup" is subjective and a moving target.
If you can "mathematically" define a setup which is a prerequisite for a mechanical system anyway then it is STATIC.
The MARKET will then be the deciding factor IF the system is profitable.
The system will do well as long as its aligned with the market.

Yes great conversation.

I think all the things you describe above are typical characteristics of a curvefitted system, not of a system with an edge. I agree however that many systems are curvefitted.

For me an edge is a particular behavior of a specific market, which this market keeps doing over and over again. The system exploits this behavior. Therefore as long as the edge = behavior is there, the system will be profitable.

It's not really a moving target and it's not about the system being aligned with the market. That would apply to a curvefitted system only.

But a system with an edge does not care what the market it trades does in general, but relies only on a very specific behavior which occurs here and there. Only on that. And if it's there, the system will work. Of course if the edge is gone, then it's game over too here.
But usually it's an edge because it's a behavior which been around for a long time. Else it would not be an edge.

I hope all this is not too confusing. It's also a bit too about how your understand the term edge here. This is basically how I understand it.

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Tirutrade View Post
Yes great conversation.

I think all the things you describe above are typical characteristics of a curvefitted system, not of a system with an edge. I agree however that many systems are curvefitted.

For me an edge is a particular behavior of a specific market, which this market keeps doing over and over again. The system exploits this behavior. Therefore as long as the edge = behavior is there, the system will be profitable.

It's not really a moving target and it's not about the system being aligned with the market. That would apply to a curvefitted system only.

But a system with an edge does not care what the market it trades does in general, but relies only on a very specific behavior which occurs here and there. Only on that. And if it's there, the system will work. Of course if the edge is gone, then it's game over too here.
But usually it's an edge because it's a behavior which been around for a long time. Else it would not be an edge.

I hope all this is not too confusing. It's also a bit too about how your understand the term edge here. This is basically how I understand it.

Sure in that case I would say buying a dip in an up trend or selling a spike in a down trend is an edge.

You can see that on EVERY chart on ANY timeframe.

Trend-following is impossible to deny has an edge.

I do know of one fully mechanical system I've seen work first hand and work over time.

It's edge? The system is built around IF the market is in THIS environment trade THIS WAY and take these set of signals. If on the other hand the market is signaling it's in THAT environment then trade THAT WAY and take a different set of signals.

It looks to exploit certain signals IN certain environments only. The signals rely on the environment. And environment is described by the system.

Al Brooks says a 2/1 risk/reward within the proper context IS an edge.

Support and resistance used a certain way can be an edge.

To me these are ALL "edges" as are... "patience"... "perseverance"... "ability to learn from ones mistakes" ect...

But other than trend-following I've never seen a short term mechanical system work other than the one mentioned.

Not that they don't exist. I'm sure they do. But they are exceptional to the nt degree.

As always only my opinion.

Again... good discussion

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Sandpaddict View Post
I do know of one fully mechanical system I've seen work first hand and work over time.

It's edge? The system is built around IF the market is in THIS environment trade THIS WAY and take these set of signals. If on the other hand the market is signaling it's in THAT environment then trade THAT WAY and take a different set of signals.

It looks to exploit certain signals IN certain environments only. The signals rely on the environment. And environment is described by the system.

Yes, I think this is a very good approach.


Sandpaddict View Post
Al Brooks says a 2/1 risk/reward within the proper context IS an edge.
Support and resistance used a certain way can be an edge.
To me these are ALL "edges" as are... "patience"... "perseverance"... "ability to learn from ones mistakes" ect...

I see. Well you are really using the term edge in regards to discretionary trading. I was never talking about that.

I am a system trader. In this context an edge is a repeating pattern in the market which can exploited by a mechanical trading system. Whatever I said was related to that.

It's really about how you use the word edge here.

I agree with what you said about discretionary trading and edge. Anything which gives you and advantage vs. random is an edge then.

But in system trading, since it's rule based, the definition of the pattern has to be much more precise.

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Tirutrade View Post
Yes, I think this is a very good approach.



I see. Well you are really using the term edge in regards to discretionary trading. I was never talking about that.

I am a system trader. In this context an edge is a repeating pattern in the market which can exploited by a mechanical trading system. Whatever I said was related to that.

It's really about how you use the word edge here.

I agree with what you said about discretionary trading and edge. Anything which gives you and advantage vs. random is an edge then.

But in system trading, since it's rule based, the definition of the pattern has to be much more precise.

Thank you. Noted. I can wax ecstatic sometimes about nothing lol.

The only thing I can add is I agree that in a purely mechanical/algo/quant system there really HAS to be an edge.

Like I've said I've only ever seen ONE. EVER.

At least if you don't count trend following, but then diversification would be have to be an edge because thats the main idea but thats about the only one I can think of?

I understand your looking for REPEATABLE PATTERNS leading to a slight tipping of the odds in your favor with numerous trades making up the difference but I just can't believe it works over time.

As always just my opinion.


P.S. The system I mentioned above IS totally mechanical and can be programmed. I can't trade it anyway! Even though I believe in it %100!!!

It's got probably the best equity curve I've ever seen and I just want to override it constantly. So I guess I'm the anti-edge?

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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.

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Agreed @Tirutrade. At one point I created a Random Forest Machine Learning model and feed it all my data and created a variable for Developer. While the results were not good enough to want to allocate money to it, there were quite a bit better than randomly picking systems. If I remember correctly 'developer' was not Statistically Significant when it came to identifying good systems, but if you turned the model around, and tried to predict bad systems 'developer' was Statistically Significant!

@Tirutrade since you have the data already in spreadsheet could you calculate Tracked/Total and sort based upon that percentage. Looks like Rombo Capital and Quantum Financial may have semi decent results.

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SMCJB View Post
Since you have the data already in spreadsheet could you calculate Tracked/Total and sort based upon that percentage. Looks like Rombo Capital and Quantum Financial may have semi decent results.

Not sure what you want to do, but I attached the data in XLS.

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SMCJB View Post
If I remember correctly 'developer' was not Statistically Significant when it came to identifying good systems, but if you turned the model around, and tried to predict bad systems 'developer' was Statistically Significant!

I think this is very interesting. For sure if the approach of a developer is not sound, it will result result in strongly curve fitted systems which will fail quite quickly.

Reducing the eligible universe to systems of overall profitable developers would probably improve chances quite a lot.

Also I think the profitable developers with a limited number of systems may manage systems differently than those with 100s. Therefore selecting those may be more profitable live.

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Tirutrade View Post
Not sure what you want to do, but I attached the data in XLS.

Thank You. Obvious issue with what I was proposing is that it doesn't take into consideration how long a system has been tracked vs its total. For example the developer with the highest ratio is GE Investment but a quick look at their two systems shows both have very short backtests vs tracked PnL but the systems are both extremely volaitile with little apparent edge.

https://www.tradingmotion.com/explore/System/PerformanceSheet?Id=21136
https://www.tradingmotion.com/explore/System/PerformanceSheet?Id=21132


Tirutrade View Post
Reducing the eligible universe to systems of overall profitable developers would probably improve chances quite a lot.

Of the 6 largest developers, 5 have a negative sum of live PnL and the 6th is barely positive (<$1000). Eliminating developers with negative Live results eliminates 52% of the developers and 73% of the systems!

I know my journal is now several years old but this brings me back to this chart which shows the rolling 12 month pnl (x axis) vs next 3 month pnl (y axis). Clearly shows that a system being profitable in the past is not in anyway a predictor of it being profitable in the future. I might see if I can find this data and rechart for profitable developers only.


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SMCJB View Post
Of the 6 largest developers, 5 have a negative sum of live PnL and the 6th is barely positive (<$1000). Eliminating developers with negative Live results eliminates 52% of the developers and 73% of the systems!

Live PL is tracked when somebody is subscribed to it. For out of sample results of a specific system you have add Tracked PL and Live PL.

I think Live PL by itself says more about subscriber behavior than about the system itself. At least that's my understanding here.

I noticed subscription is usually quite patchy. Sometimes they subscribe, then not, then again.

Example:
https://bfl.tradingmotion.com/System/PerformanceSheet?Id=21826

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