Welcome to the new Traders Laboratory! Please bear with us as we finish the migration over the next few days. If you find any issues, want to leave feedback, get in touch with us, or offer suggestions please post to the Support forum here.
Albnd
-
Content Count
20 -
Joined
-
Last visited
-
I mean, dropping (selling) part of the portfolio in case of a major drawdown, so to restore the original Kelly ratio. It may look counterintuitive (and scary), but makes sense. -
The Kelly I had in mind was the "revised" formula proposed by this guy: Quantitative Trading Quantitative Trading: How to Build Your Own Algorithmic Trading Business (Wiley Trading): Ernie Chan: 9780470284889: Amazon.com: Books [ame=http://www.youtube.com/watch?v=LJIwxiMxbaw]Ernest Chan - Capital Allocation and Risk Management (Kelly) - YouTube[/ame]
-
Thanks for your clarification. The Kelly formula I was aware of suggests to discard part of the porftolio according to some specific equity conditions. As far as I understand, this is not your case. Am I missing something?
-
Would you elaborate a bit more?
-
Is Optimizing Profit Target & Stop Loss Curve Fitting?
Albnd replied to cunparis's topic in Automated Trading
I can easily show that your 6 months won't demonstrate anything, my friend. And won't give you any certainty about not losing money, that's for sure. This is WAY too simplistic. On a statistical basis, saying that 95% of trader will fail (no matter what method they follow) would be much more realistic. But what's the point of stressing that? (Serious) automatic trading may involve the use of "your brain" much more than manual do. Maybe you were not aware of this, and are now projecting your experience onto a wider spectrum of "general" experiences. You're not supposed to generalize your conclusions simply because this approach didn't work for you. Once again (you didn't reply to that): have you performed all the required tests before and after your trading activity? Were all the calculations made in a statistically reliable way? P.S. FYI, I'm a 10-year pure mechanical trader, and I'm profitable. And I'm not a genius. So, what's the catch? -
Is Optimizing Profit Target & Stop Loss Curve Fitting?
Albnd replied to cunparis's topic in Automated Trading
That's a too pessimistic point of view, IMHO. I think that a better question would be: have you realized WHY your strategy didn't work? You just generically mentioned market changes, volatility and so on. Did you quantify the overall and range-specific reactions of your algorithm to market windows and regimes? Did you take note (with your metrics at hand) of every single interaction between the market and the results you've got? Very often automation is abandoned only because of lack of a proper analysis. -
Keep us posted about your progress with this software.
-
Is Optimizing Profit Target & Stop Loss Curve Fitting?
Albnd replied to cunparis's topic in Automated Trading
I see that no updates were posted since a lot of time. I'd be curious to know how cunparis' strategy did in the next months. -
I would possibly comment on this, even if the thread is no longer updated. On another forum I had the occasion of discussing about the usefulness of optimizations and especially of walk forward optimizations with reference to the INS/OOS balance. My point was basically as follows: WFO is probably NOT always a must in comparison with traditional optimization. In particular conditions of market and time, there's a chance that a WFO is NOT necessary and/or useful. Just a specific case, to make my point clear. I’m currently testing a (purely automated/mechanical) strategy with very few parameters, and most of them seem to be unrelated to any kind of periodical change in the market I‘m trading (QM futures contract). I basically started asking myself: is it necessary/useful to include these parameters in the optimization, if they don’t seem to be correlated to any specific change in market behavior? (i.e. they basically seem to casually change from one period to another). One of my mechanical strategies uses a fixed stop loss and evaluates the opening session gap size before taking action. I would usually prefer to set the stop loss just once, by considering the general MAE of the historical backtest. As for the gap size, I usually cannot see any particular change between the sizes of 2002 gaps and the ones related to today’s markets (I can provide data for this). So, does it make sense to include these parameters in the optimization? I agree with your suggestion about reducing the number of the parameters. In fact, my point is that a specific optimization may not be needed for strategies that have very few variables/parameters. By the way, I was replied that in most cases even a strategy with no parameters at all can hide an "implicit" (over-fitting) adaptation to the markets because of the way it's programmed and conceived.
-
For sure. Honestly I feel a bit confused, 'cause the forum is really huge. Do you know of any specific "place" (thread, etc.) related to mechanical trading over here? Any orientation is welcome. Thanks.
-
With pleasure! Thanks a lot.
-
1. Why I'm trading to make money, possibly as a career. It's an hobby, but it's also something more than a hobby. I have a job and don't depend on trading for my daily expenses. However, even if money is not a goal in itself, to have an additional income is my basic motivation. That's a major thing that presently makes sense to me. And yes, trading is also a good gym to motivate yourself in many things of your own life. 2. Commitment I'm currently spending 6-8 hours a day to learn and improve my trading. I'm lucky because my family supports me in that (well, till now it worked at least...). 3. Timeframe and method Basically intraday (5m, 30m charts), 100% mechanical trading system. Using mean reversion, breakout, gap trading strategies. 4. Account/Investment size $20.000 spread in two accounts (futures, forex and equity). 5. Money management I started apply a very profitable (but risky) strategy to CL contract, but had to move back to the more "quiet" QM because of the risk/reward ratio. I'm trying to keep my risk under control. 6. Product Basically futures. Some stocks (especially in the past), but also forex pairs. 7. Broker InteractiveBrokers and mainly TradeStation. In the next future will also open another futures account, to diversify. 8. Platform TradeStation mainly. Had some experiences with MT4. 9. News Source Don't do news trading. 10. Computer I've just recently noticed that my quad-core 3Gram PC is no longer supporting my daily activity as expected. I'm planning to do an upgrade asap. 11. Internet A regular ADSL connection. Using also my cell phone as a backup/emergency connection.
-
My posts are also currently moderated. Would you tell us the minimum number of posts required in order to be able to post freely. Thanks a lot. [Edit: I've just found the way to see the list of my own posts]
-
I didn't post very often in the past few months (in fact I didn't post at all eheheheh). Btw, just my two cents: go mechanical, 100% mechanical, and possibly stay out of reach of your keyboard. If you feel tempted of changing every parameter you just included in your strategy, let the machine do all the work and stay away. (of course this will expose you to many other risks, like bad executions, software/power failure and so on... but this is another story).
-
What is Your Maximum Profits in One Trade ?
Albnd replied to mohsinqureshii's topic in Automated Trading
$800 in less than 2 hours. But I usually go for lower (and hopefully consistent) gains.