I'm in the midst of trying a vendor's ATS product. I am going to withhold his name until this little project is over.
I have optimized the results strictly using MM because I don't have access to the indicators, so this is best one could hope for trading this. (The results using the vendor's default setting were approximately $1500 less.) This is a time bar based ATS, so the results were achievable. In addition, I have observed the ATS live and the performance backtests accurately. The posted results are for one contract. Be sure to consider the cost of commission (which I didn't include) in your analysis.
What I'm looking for from the community is an answer to this: On a monthly basis, what would you be willing to pay for this ATS, if you were interested in this sort of thing. It doesn't matter if you'd never purchase an ATS--you can still give your opinion as if you were interested. After I compile your responses--and please be serious--I will post the actual price and the vendor's name.
I am doing this because I often think there is a disconnect between what a vendor thinks his product is worth and what the market will bear. Products like this are easier to evaluate because they can produce real results and profits. It's not totally nebulous or a major leap of faith by the buyer if they believe the performance can continue in a like fashion as the past.
Be advised that I have no interest, nor affiliation with this vendor or his product. In no way is this an endorsement of the vendor.
Thanks for your participation and time.
Post script: If I determine in my sole discretion there isn't enough feedback to make this meaningful to the community, I will not disclose the vendor or his subscription price.
Can you help answer these questions from other members on futures io?
i beleive traders trade because they love to trade what fun is it to just run a program ??? thats either lazy or a lack of love for the game, i trade because i love to trade i learn code because it fun for me to do if i have free time from trading and studying so to pay for a script that traded for me would be worth paying up to 500 a month i guess if i knew that it was goning to trade better than me every day, that way i could focus on trading and not having to worry if i lost or won, but on the other hand it might give me a false sense of security and make me a sloppy trader so who really knows what a program is worth that can trade for you...sharky
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just to be on the lower end I took that 1,500 less (vendor's default settings) in consideration. I included commission as well. and by trading 2 contracts, 300 is about 20 %.
this was just a rough calculation. didn't use a calculator.
of course if this system is really consistent and you can trade 5 or 10 contracts, 300 a month is really cheap.
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Why stop at $900. Why not trade 10 times the cars and make it $9,000, so on, so forth.
In real estate they have a saying "A house is worth whatever someone is willing to pay for it". Same is true for this ATS, I suppose. Personally I would pay $0 for it.
but........................................... as i have never seen a strat work good over a period of time and i know several programmers that have spent years working on strats including our on mike then i would have to agree with him on this one...sharky
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I feel that the results will not continue. My opinion is traders should not pursue automation as a means to be successful in trading. Too many are lured in by false hopes and cherry picked charts. Too many believe just because a strategy made $900 a month in the past means it will in the future. Few understand backtesting and curve fitting. Fewer still understand proper forward testing. In the end, most people I've met that pursue automation do so because they are either lazy or foolish ("I just want a strategy that can earn $1,000 a month with low risk"), or are trying to find a short cut for their own pitfalls in their own discretionary trading (ie: failure to take responsibility for their actions, wanting to place blame elsewhere).
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LOL, OK. Interesting testing methodology to not consider results you don't like, I'm not sure why else you would throw my result out
Last, I believe you failed to mention some important considerations on determining a price. How long as this vendor been in business? How many prior strategies has he produced that have a proven track record? What is his reputation like? These should weigh heavily in anyones decision in determining a fair value if they decide they are willing to pay more than $0 for it.
I believe your response is based on a bias you have from past experiences with your own failed ATS. If you can put that behind you or explain why this is worth $0, then I'll revist.
How do you know he isn't risking his own capital? Cory, you are off topic. You are more than welcome to post here on topic. Thanks for your cooperation.
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Your welcome
Why are we forced to make a decision simply based on two screen shots? You don't believe a vendors prior reputation and experience has any bearing whatsoever? You've never visited a vendor website that has cherry picked charts or backtest reports? Or you think just because a backtest has 135 trades and a 10 month history, that is enough proof for you that it is going to continue making $900 a month?
It is late, I do not wish to argue. People will always be searching for the holy grail. No doubt, if you post the vendor here and a URL, many people will flock to it with great interest. But you should try and open your eyes a bit more. I believe it was Dr Brett that said immediately after entering a trade he starts to analyze the trade from the opposite angle, for instance if he is long he immediately starts asking himself why he should instead be short. In other words, you need to look for what you may have missed. It's not about second guessing, it is about making sure you weren't being fooled.
No good luck needed needed Mike. I have no vested interest in this--it is an academic exercise for me. I have personally backtested the results and I stand by those I have posted.
Obviously, this has hit a personal nerve with you. Given your history with your own ATS, I understand.
After having tested a "large" number of ATS over the last 6 years, I would pay 0 upfront for it. BUT I will pay 20% of the profit on an annual (or semi-annual, not quarterly or monthly) basis.
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Just a thought, but what would you pay if you instead gave your funds to a money manager who had a track record? Typically "two and twenty". That is 2% of the money you give him is his base payment per year, and he then gets to keep 20% of the profits.
You can work that math backward to see what your monthly costs should be.
In other words, you would pay only for performance regardless if you took the trades? That is not the way this works.
The vendor is selling subscriptions on a month-to-month basis with a no penaltyand cancellation at any time. that is to say, your commitment is for 30 days only. There is a pricing plan for a long term commitment, but that is not part of this exercise.
I am with Mike on this one. I pay nothing until the vendor proves himself.
Lately I have wondered whether there are new vendors emerging after hacking through Aardvark or Hurley here on futures.io (formerly BMT) and claiming that work as their own (strats of which were never meant to be traded as is). Before we know it, it shows up all over Collective2 and people are buying into it based solely off one equity curve. Wait...
That's what we are all getting asked to do here right?
Well I guess I still better answer the question. What is the going rate for an investment manager? 2 or 3% of profits? If you are good enough then you could even charge .5% of profits because everyone would want you to trade their money.
Don't get defensive, Cory. You are smart enough after reading the posts to know what is on or off topic. The choice is yours if you want to be relevant.
Zoetheus, I want to give you useful info about the retail traders: Most will pay $150-$200 per subscription for the month, and many will even pay that per lot of subscription. Small percentage will pay one a one time fee of $1500-$2500 if the account if large enough ($25K and up). Sharing profits with the vendor is out of the question if soliciting retail accounts, as that would require licensing.
Allow me to share some input that you and your vendor might find useful.
1) The "code" could not be given out to the public, and allow them to trade that on their own. If the system is any good, traders will pile up lots, and that in it self will cause slippage for and deteriorate the returns of the system. So if there is a broker trading this, he/she must be conscious of the number of lots any one trader is given and that info has to be know to him.
2) You must look at the drawdown of any given system, Double it! and ask for an appropriate account size.
Systems sooner or later go through a draw down, and if the customer is not being explained on that, sooner than later, will pull his subscription out. My suggestions: ask for bigger account sizes that trade less lots, this potentially will minimize the risk. Small accounts can't survive most systems.
3) If the system is executed in the hands of a broker or a vendor, how is it being executed? what process is taken place to come as close as possible to the hypothetical/real results for the customers that will come on board? How is the low latency execution will be done?
4) Something I have learned the hardway: Did the vendor program it himself or did he come up with the concept and someone else has programmed it? This is SO critical. The vendor will have to give support on the program that it is running on. For me, if the Vendor wrote the code it's a huge plus, and any potential problems he would be able to support.
I think the data you are gathering is an excellent idea! This shows that you want to help the vendor and the people make the right decision.
Many traders are against automated trading, and I understand the passion of being in control, getting educated and the challenge. But in reality, many traders lose. Automation allows for discipline: automation does not change the number of lots on perception, it takes losses and it takes its profits. I have seen systems that have been trading for years without one single line of code changing.
I hope this will be useful and may many gather info like you do before they release anything out.
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8500-5*135(+/-)=7825/9months=870/mo profit, so you have to trade some serious contracts to make money. To risk 10 contracts I would not ever pay him %, maybe 50-100/month after I review his statement and match it with the backtest results. What is the likelihood of that scenario?
I still have to understand why would I sell something that makes me money. On the other hand, I would sell something to make money. Said that, I would pay him 0 based on the info you provided. I hope this helps.
I have dealt with hedge funds that will pull the plug on 20% drawdown from any new equity high.
This hard to achieve with automated programming done by most retail programmers/traders.
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Interesting point Dragon and I would not be surprised given the number of commercial ATS' out there, many of which are less than ethical at the least, so plagiarism is probably rampant. I say good luck to them as if I find any useful code I may use it too. My experience with Hurley & Aardvark has been a learning one. One of the things that is obvious to me now from these threads and my own observations going back more than 15 years now is that people are very keen to invest time & $$$ on trading systems that promise more $$$ than the investment (who here hasn't done that - indicators, trading software such as Elliot Wave a few years back, etc etc) and give up after struggling to correctly understand the system or discovering that is simply doesn't work ... in their hands.
As that great sci-fi show promised "the truth is out there" and while this may be true for ATMs (someone has to be making a killing with an ATM somewhere - without sharing it) the real truth is within each of us - we just have to individually discover "what works for me". For many of us this is discretionary trading futures or Forex, for others it is trading shares or options and yet others it is an ATM, each applied using your own rules that are proprietary to you.
I have lost track of the number of times I have read about a trader who is clearly very successful and yet many and probably most others who try to use their system fail. For example I subscribe to a share trading newsletter and by following it I quadrupled my $30k starting nest egg in 3 years applying my own interpretative rules to the newsletter advice, which to me seemed totally logical. However I note from the published annual newsletter report cards many people who subscribed to the newsletter failed to be successful even though they received the exact same advice as me. Therefore there is always an "X-Factor" in trading.
Perhaps the point I'm trying to make is that any ATS also requires an X-Factor in the head of the user to be successful - some intuitive function (preferred timeframe, number of cars, variable settings etc) unique to that user that makes the difference between being a winner or a loser. Loading and forgetting is definitely not the X-Factor.
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It never fails to surprise me that so many people take the view that an "ATS can never work", or that they fail over time.
This is so wrong!
TBH I am particularly surprised that Big Mike takes his view about automated systems. He must have been barking up the wrong tree in his endeavours.
I personally know of a commercially available, but not well known, ATS based on NinjaTrader that is consistently profitable, is almost completely "set and forget" as it has very few parameters to tweak and as it trades around the natural tendencies of the market, is not prone to diminishing performance over time.
This is mainly because it does not use any indicators at all, but has a lot of internal logic to make trade decisions. BTW I am not saying anything more about what the system is or where to get it.
I am working on my own ATS and am close to finishing it. It has taken me months of work - thousands of hours, probably - but it seems solid now, though I worry that NT might not be the best platform for it (time will tell).
It is a set and forget system and this is what has been the challenge. The system has to deal with all market conditions without user intervention or parameter tweaking. Implementing this has been extremely challenging - in fact I think this is pretty much the most difficult software project I have undertaken, and I have many years of commercial programming experience with blue chip and Government clients.
Would I sell licences for this ATS, assuming that it actually works under live conditions? Almost certainly not, and if I did, I would charge $1000s per month for the licence as it would actually be worth that.
Having said that, I have two very good friends who are multi millionaires and are very senior and experienced in capital markets and both have expresssed a desire to give some me funds to manage with the ATS. They have great contacts so fund management could be a possibility, assuming that the transition to live goes smoothly. The ATS should work with any liquid future, by the way.
Another friend is the best programmer I've ever come across. He develeoped a HFT system for a major bank that made £500,000 profit a day! He has spent a year developing another HFT system for a fund that is finally live and most importantly, finally profitable.
So automated trading systems are possible, profitable and do work over time, even based on NT. They are far from easy to develop though if you want to avoid curve fitting and guarantee longevity.
To answer the question about an ATS being detrimental to the love of trading from my point of view:
I personally do not love trading, even though I find it quite enjoyable when I manually trade the signals that the ATS uses, to test the veracity of the system.
I have decided that I am not a good discretionary trader, but want to benefit financially from the opportunities in the markets.
This is why I have invested so much time in developing an ATS .I have enjoyed (mostly) the technical challenge and really deeply want the controlled risk/rewards and discipline that the ATS brings. I just don't trust myself to follow my own rules day in and day out and I also don't want to be tied to the screen for hours on end.
In effect, I am using my programming expertise, and interest in trading, to overcome my failings as a discretionary trader, but that is fine by me!
David
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David, thank you for infusing such a positive spirit about automated trading.
In my honest opinion, it also takes lots of discipline to tun your own systems on without jumping in, second guessing and letting the machine do their own thing. The benefits could be incredible, from trading a consistent number of lots to no revenge trading of "have to make my money back". I also believe that many trader could automate their trading with simple price action, using the NinjaTrader features (NinjaTrader--Tools--New NinjaScript--Strategy)
I am not saying that all methodologies could be automated, but if one can, he /she should try.
As for outside vendors:
The challenge of course is always to over come the "why is it sold?", and to that I have a few answers:
Some developers while have the ability to develop systems, don't have the ability to follow their own systems.
Like I said, it takes nerves of steel to follow...even your own system.
Not all system developers have the capital to trade the system they develop, like your friend who made $500K a day in HFT, I doubt he has the capital himself to make such profits, never the less, a talent.
I hope that those of us who do have a a passion for it, could help each others in this department.
From exploring the automation in NinjaTrader and MultiCharts to evaluating what vendors offer.
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Folks, please try to stay on topic. The purpose of this thread is not to debate the pros and cons of ATS, but rather to express an unbiased opinion of what the ATS in the OP is worth on a monthly susbscription basis.
200$ a month, if the low DDs persist this one could make more. Zoethecus, did you factor in creative position sizing techniques (market's money approach etc) in your backtesting?
IMHO, we need to differentiate a hedge fund and ATS. Successful hedge funds do not rely solely on ATS. If at all they use ATS, they know when to cut it loose. Obviously long term profits on any ATS is 0. That is essentially the Efficient Market Hypothesis (folks interested in theoritical maths can further read about it)...
I have to disagree with the part about those automating strategies are either lazy or foolish... at the end of the day, when you trade, you follow a plan... which are rules, and yes not all rules can be defined by code to follow which is why there is also discretion when trading as our experience becomes the rules over time...anyhow, if rules can be followed then they can be coded and as such automated to react much faster and process more information than we can real time... now, the only thing i find foolish is when people tend to over-optimize and not walkforward and test their strategies; just like people who trade in simm and think they can trade with real money because they were succesfull in simm.. .. to summarize, if one has a discretionary method that works, why not automate it? ... btw, that does not mean set and forget it... as no system is infallible.. just my 2cents.
Zoe... I would suggest that in order to make the data gathering for your analysis more relevant that you could perhaps create a poll that would list subscription ranges.. $0-50, $50-100, $100-200, $200-300, $300+ ... that way the data would be easier to analyze ... and you could avoid opinions that were not related to the goal..
everyone will always have their own opinion formulated on their own experienced...
as to the question, I would say assuming the system had a trial, 10-20 days, which would enable one to perform ones own testing against multiple markets, on replay data, etc... I would say a range of $100-$200 would be "acceptable" to me assuming it can be cancelled at any time and prorated.. and also, I will add one more thing... vendor support and their ability to take feedback and collaborate would be critical... and if they limited the number of subscribers to a given number or not in order to maintain whatever edge they might have found..
Since the overall futures.io (formerly BMT) response was weak reflecting, I think, a general lack of interest in ATS. I am only disclosing the fees, not the vendor.
I'm curious. Do you write your own code for your ATSs? If so, then you understand what it takes to write the rules and I would appreciate some help writing more effective rules specifically for the JMA method that I'm using.
ok then you must understand what it takes to write the rules. this is off-topic but it seems you've finished this thread for the reason it was started so I'm asking if you are willing to help me develop the rules necessary to automate. I'll do the coding. I want to understand how the rules can be constructed to stand the test of time without curvefitting.
To answer your original question , there is not enough information to definite answer but here are some thoughts.
The system needs ~60% win rate to break even, and your backtest is about 75%. It uses parameters since your changes resulted in a $1,500 change in profit from the vendors so I do suspect some curve fitting. But a 15% drop in win rate is certainly possible moving from backtesting to walk forward testing to actual trading, which would take this from a profitable system to an unprofitable one.
Does it use limit orders or market orders to enter/exit the market ? How long has someone traded the system with live money in the market? How closely do real trading results compare with the theoretical profits?
I would not pay anything for it. I have multiple reason that I will not go into, except to say caveat emptor.
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