kelsotrader - 2-4-2018 at 02:14 AM
I have been trying to come up with a rule based approach as to when a automated strategy should be withdrawn from trading.
ie When monthly returns fall outside of previously highest draw down.
Or outside a given expected range of a equity curve.
The opinion of others on this subject would be appreciated.
admin - 2-4-2018 at 02:53 AM
Complex subject.
RC2es hit max dd in the last month. RC2ER as at new highs. Same system, slightly different parameters.
I use if not profitable for a year, but also factor in market conditions.
Had a ES system with no profits for year. (flat) But i felt it was just a very hard market in 2017.
Same ES system made me excellent money in 2018.
How are other systems in the same market going??
For example, my opinion is gold has been a awful market for systems in the last year or so.
Monte carlo. ...
Also use 2 x previous max draw-down (this is a little conservative being realistic)
cyrus68 - 3-4-2018 at 12:34 AM
There was a discussion in another thread on poorly performing systems. They meant performance in real-time trading, beyond the
oprtimisation/testing/validation periods of the dataset. OOS should only refer to the testing/validation periods.
Anyway, there was no indication how long they monitored the performance before pulling the plug. It is quite possible for a system, based on its past
history, to enter a bad stretch right after you start real-time trading. I don't think there are any hard-and-fast rules regarding this issue.
It is also possible that the contract has entered a new regime and your system can't cope with it. One way to guard against this is to check the
performance of your system in testing and validation periods that exposes it to different market conditions. For example, in CL, how well did your
system perform in the relatively volatile 2007 to 2009 test period, and how well in the relatively less volatile validation period of recent years?
One sign of robustness is good performance in both periods. I also like linearity, among other characteristics.
Petzy - 3-4-2018 at 06:58 AM
In the latest episode on the podcast "better systems trader". http://bettersystemtrader.com/ a trader called Jane uses MA on equity curve to stop trading her systems. That might be interesting to listen to.
/Peter
cyrus68 - 3-4-2018 at 11:11 PM
You need to be careful when using MA cross on the equity curve. Quite often, it can lead to a substantial loss in profits.