Systematic Trading works

lonstud

Active Member
#1
Hello all,

I would like to share systematic performance of my model for the last financial year as a tribute to this forum its help. The objective is to reinforce the trading community's faith in the success of systematic trading.



I shall not be able to share details of the strategy for obvious reasons, but if any of you have any question relating to aspects of systematic trading in general, I'll be more than happy to share my thoughts.
 

bunti_k23

Well-Known Member
#2
Hello all,

I would like to share systematic performance of my model for the last financial year as a tribute to this forum its help. The objective is to reinforce the trading community's faith in the success of systematic trading.



I shall not be able to share details of the strategy for obvious reasons, but if any of you have any question relating to aspects of systematic trading in general, I'll be more than happy to share my thoughts.
great ,go ahead bro:thumb: expecting clarity....:thumb:
 
#3
Hello all,

I would like to share systematic performance of my model for the last financial year as a tribute to this forum its help. The objective is to reinforce the trading community's faith in the success of systematic trading.



I shall not be able to share details of the strategy for obvious reasons, but if any of you have any question relating to aspects of systematic trading in general, I'll be more than happy to share my thoughts.
Good smooth equity curve. Well done.

Without being specific if you can provide some of the inputs that may be of interest to many. Things like a daytrade or swing trade system, profit factor,trend following or trend anticipating, futures or options,number of winning trades to number of losing trades,time frame ,multiple timeframe or single timeframe etc.As it is posted in algo trading section I guess it is auto system using algorithm.

Smart_trade
 
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lonstud

Active Member
#4
It is a daytrading system. Mixture of trend following and reversal without a fixed timeframe depending on market conditions. Recalibrations are done every week. All positions need are squared off latest by 3:28. Trading in futures. Profit factor for the whole period is 2.72(considering EOD result for each trading day). I am yet to do an exhaustive analysis of winning trade to losing trade, but I expect the percent of winning trades in the region of 60.
 

lonstud

Active Member
#6
Only single lot trades. Consistency is most important to me in systematic trading. I do not expect few trades to make money for me.

I do not want to get into the specifics of timeframes, contracts traded or number of trades in a day. What I can disclose is timeframe for each trade is not fixed and it varies depending on the market conditions.
 

lonstud

Active Member
#7
I did calculations about my winning trades and I had grossly exaggerated my estimate of winning trades. Here are the updated statistics;

1) Winning trades as a percentage of total trades - 50.85%
2) Profit factor (considering each settled trade, instead of EOD result) - 1.14
3) Ratio of average profit to average loss per trade - 1.1


It is a daytrading system. Mixture of trend following and reversal without a fixed timeframe depending on market conditions. Recalibrations are done every week. All positions need are squared off latest by 3:28. Trading in futures. Profit factor for the whole period is 2.72(considering EOD result for each trading day). I am yet to do an exhaustive analysis of winning trade to losing trade, but I expect the percent of winning trades in the region of 60.
 
#8
I did calculations about my winning trades and I had grossly exaggerated my estimate of winning trades. Here are the updated statistics;

1) Winning trades as a percentage of total trades - 50.85%
2) Profit factor (considering each settled trade, instead of EOD result) - 1.14
3) Ratio of average profit to average loss per trade - 1.1
50 winning percentage is not bad at all:thumb: . I am highly doubtful about your 300%(approx) return in one year. So I have few doubts so bare with me

  1. What is the green line representing in the graph?
  2. Did you automated your strategy or are you manually executing this?
  3. Did you optmized the strategy or just using general prameters?
  4. Is this strategy for long, short or both?
  5. What was the approximate maximum drawdown and period?
  6. Did you forward tested your strategy what was the result?
 

lonstud

Active Member
#9
1) The report is broker generated and I needed to have a benchmark. The green line is performance Powershares India ETF. Not an appropriate benchmark and please ignore it.
2) Prefer not to disclose
3) Conceptualised, coded and tested the strategy myself. Nothing run-of-the-mill.
4) Both long and short.
5) Maximum drawdown (notional) for model occurred during first week of December during the time of RBI announcement. I also did a major discretionary trade in November beginning and carried the losing position for about 2 weeks. That might appear as bigger drawdown in the graph.
6) I am not doing forward testing of my strategy. The parameters are updated every week. Every now and then I do do reconciliation of actual trades and simulated trades to verify if there are any underlying errors/issues but that is purely on ad-hoc basis and I do not maintain any record of the same.

The returns generated are by Time-weighted rate of return (TWR) methodology. It does compound daily returns over the course of the year but it is considered most effective in eliminating distortions due to deposits/withdrawals.

50 winning percentage is not bad at all:thumb: . I am highly doubtful about your 300%(approx) return in one year. So I have few doubts so bare with me

  1. What is the green line representing in the graph?
  2. Did you automated your strategy or are you manually executing this?
  3. Did you optmized the strategy or just using general prameters?
  4. Is this strategy for long, short or both?
  5. What was the approximate maximum drawdown and period?
  6. Did you forward tested your strategy what was the result?
 

DSM

Well-Known Member
#10
Lonstud,

Thanks for your post.

* Understand this is a model and not actual performance?

* If so, how many points you have allocated for brokerages, slippages and taxes?

If as I assume this is result of backtesting, the actual reality will be much harsher.

My 2C.


Hello all,

I would like to share systematic performance of my model for the last financial year as a tribute to this forum its help. The objective is to reinforce the trading community's faith in the success of systematic trading.



I shall not be able to share details of the strategy for obvious reasons, but if any of you have any question relating to aspects of systematic trading in general, I'll be more than happy to share my thoughts.
 

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