Switching between systems using equity curve feedback

Discussion in 'Risk Management' started by Murray Ruggiero, Apr 24, 2011.

  1. Murray Ruggiero

    Murray Ruggiero Sponsor

    #11     Mar 30, 2015
  2. Handle123

    Handle123

    As I get older, I prefer to concentrate more on not trading and more on automating, just tired of sitting and watching little marks on a screen, make enough bucks and let computers find the rest.
    I have developed some 35 systems and have eight of them automated so far but on first weekend of each month, I look at equity curves of all systems and I seek a bit different on those I am not following/trading, I am looking for the worst of them in equity curves, I have designed what average mean drawdowns expected and when this point is reached, volume is added near expected drawdown lows, so many more percentage points lower more contracts added, BUT never more than 8% of overall original position. For me, this has worked out and tested better than finding which are strongest as often times those will go other direction. Matter of fact, I backtested mean for making new equity highs and when these areas are made, volume starts cutting back at increments of 10%. One huge reason people lose so much money at highs as they trading largest amount of shares or contracts.
     
    #12     Apr 1, 2015
  3. Murray Ruggiero

    Murray Ruggiero Sponsor

    You can test this concept in TradersStudio
     
    #13     Apr 1, 2015
  4. Handle123

    Handle123

    Thanks but my staff made me platform, charting and back testing from own coding.
     
    #14     Apr 2, 2015
  5. Murray Ruggiero

    Murray Ruggiero Sponsor

    Ok, but TradersStudio can be extended with COM DLL's as well as our scripts, so it would be cheaper to use it to test somethings you would need to write from scratch.
     
    #15     Apr 2, 2015
  6. Murray Ruggiero

    Murray Ruggiero Sponsor

    Notes on Equity Curve Feedback
    1) Classic moving average crossover of equity requires trades to have dependencies.
    2) If trades to not have dependencies you can use a partial martingale with a 4 sigma turn off.
     
    #16     Apr 16, 2015