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This is a new strategy (only 5 months old) that I have been trading at TradeStation (that’s why no TOS) along with some other followers. What I find interesting is that out of the 5 months traded, the system is +50% on realistic capital required with one losing month. After the losing month, I lost 60% of my subscribers, but then so far in June, almost 80% of the may loss has been recovered in the first week of trading in June. I’m not sure if this is usual, but people that jump because of one losing month may be missing a recovery opportunity.
I’m not sure I can attach any text reports here but I will try. The monthly statistical data since 2000 along with Monte Carlo simulations hopefully are attached to this post. Follow along, it is fun. I’m doing this mostly for fun and to try to make consistent profits for my followers. I just found out that I can’t upload my text files giving the statistical reports for the end of May. Anyone have any suggestions, or just send me your email and I will send the files to you directly.
You can put a link to the text reports if you want to share the backtest, although a backtest doesn’t means nothing here in C2… but it is always nice to have. You could upload the document to google Drive or Dropbox or some other document-sharing place. A good place to put the link would be in the strategy description.
I’ll come back in some months to this strategy, seems nice, let’s hope that it still continue working.
I would make your other two failed systems public again. I always consider going private “hiding something”.
Making systems private makes me terrified you blew up those accounts, when in fact you might have just not outperformed the S&P or it just wasn’t trading to your liking.
Sub trade systems , like they trade stocks, if a companies earnings go down, they get dumped.
Most of the subs on C2 are daytraders/swing traders, they want to see instant results, they ain’t Warren Buffet investors.
Great suggestions. Can someone tell me how to make the previous two systems public. I was not hiding anything, if I remember it correctly, one of the systems was operator error, and the other one had a major draw down out of the box. I was just screwing around then. I will look to make them public and come back here to discuss it.
I will also place the Monthly data in a link to Drop Box, great idea, and put it as part of the strategy description also. I just don’t update it every month, like every 90 days to check if the portfolio is still within its statistical performance. Again, thanks for the suggestions and I will work on showing the other two systems public.
Ok, the first strategy that I no longer support was called the LazyES DT. It was only one strategy where I was trying to get the hang of C2. It was just one strategy and had two trades, both being unprofitable. These two trades were at the end of February, 2018 and the DD was -20% +. I had made two errors in trying to first use the C2 site. I thought I was adding a portfolio of strategies, but really only implemented one and the first strategy was a doozy. It lost on the first two trades listed, but these were not the correct trades in my simulated strategy. It seems I did not have the Tradestation to C2 connector set up correctly. This one was just operator error, and when I thought a stop trade was going to be issued, it seems that the opening trade was not correct nor was any stop seen.
This was not a C2 issue at all. As a matter of fact, since that time, C2 has been rock solid. It has not missed any trade since then, as long as I make sue the transmit button is on on my platform. Again, the first strategy was totally operator error, one on the strategy itself and one on the connector to C2
The second strategy was called BU SP500. There were 8 trades made in this portfolio and during the February disaster, the system was trading way to many contracts per the initial capital. Although there was not any issue with communicating with C2, the portfolio construction was problematic with the leverage way too large when a volatile month like February appeared. It had a -8.2% after 8 trades but the draw down was 50%. The portfolio was 10 strategies but only a $30K account, way too small for 10 maximum ES Contracts. Probably should have been at least 100K portfolio but the drawdown of 50% still would be a very lousy 25%.
I was upset with myself, in that I still did not have a handle on opening capital and also a stop loss environment that would perform well in a volatile month like February.
After those two trials, I finally got the system correctly situated in the SlowESa portfolio which was my third attempt. All of the communication issues have been worked out, the level of capital is reasonable and the portfolio was initially limited to 5 different strategies at 5 different time frames, but that now has changed to be trading 6 different strategies. After a 50%+ gain with only a 13% drawdown, I decided to add another strategy to the portfolio to increase our exposure after we made $13K + in the first 4 months of trading.
So, bottom line, the first two strategies had some operator errors that have since been rectified, as shown by the outstanding results posted so far.
Again, thanks for the suggestions, and I will work on offering a DropBox link to the text files here very soon.
One final issue that i never really state, is that I use no money management tools to try to approach optimal f portfolio sizing or something else this crazy, since I will let my followers choose the account size and amount of risk they want to trade. All I am saying is that under the present portfolio of 6 day trading strategies, even though you can get DT margins of $500 per contract and conceivably trade this program with $3K to $5K, I think you are asking for trouble and would essentially be throwing money away. My personal opinion is that you have to have at least $8K per contract for day trading and $15K per contract for swing trading. Thus, the reason for the $40K account size in the statistic section of the portfolio.
Let me know if you have any more questions, and tonight I will post a link of the May ending 2018 backtest, walk forward and verification testing and the Monte Carlo results for 5000 randomly generated different trading data bases.
One comment that I should include is the above reports are for the full portfolio after parameters are set and the walk forward has been completed. As part of the development process when I work on a new strategy, I usually use 60% of the data for training purposes, 25% of the data for verification. I reserve 15% of the data for validation and do not use that data in any of the optimization, walk forward calculations and verification. After that is complete, if the strategy performs similarly to the original back test and verification on the validation section, I consider this a candidate to add to the trading portfolio. I usually place this new strategy on a simulation platform and see how it runs on a real time basis against in a simulation account. If everything holds up, I then start using it.
The point I am trying to make is that each strategy in the portfolio was developed with back testing, full walk forwarding, and finally validation under hidden data. As I develop future strategic candidates, I will post a screen shot of the equity curve which shows clearly the training, validation, and verification in the equity curve
To me the trend is sideways chop to upward bias for the next few days. But I could be wrong since there is no certainty in trading unless someone has a crystal ball
I kindly suggest to add this reports (and may be some comments about them, like you did here) in the strategy description. That information will be more visible to your possible subs.
