Automated strategies risk/return profiles examples

Discussion in 'Automated Trading' started by jelite, Jan 12, 2011.

  1. Off the top of my head, it would be a sign of an edge or niche that has been farmed out over the past 3 years.
     
    #21     Feb 17, 2011
  2. pipo

    pipo

    Hello to everybody.

    I'm trading in signals market with rentasignal. Now I'm testing its 2nd ranking signal "Control USDJPY".
    Anybody is investing with this?

    If someone knows anything about signals and can check it, please warn me if you see something strange. I am considering to invest a great quantity of money in this signal.

    Thank you.
     
    #22     Feb 18, 2011
  3. Kohanz

    Kohanz

    Why would you ever invest "a great quantity of money" in something you haven't checked and are confident in yourself?! Always do your own due diligence.
     
    #23     Feb 18, 2011
  4. Hi,
    Here's a hypothetical portfolio that has been running in real time automatically for a little more than a year, so all out of sample:

    Quick Stats as of 2/17/2011
    Total Return 146.31%
    Benchmark Return 20.69%
    Active Return 125.63%
    Annualized Return 131.12%
    Annual Turnover 2,604.85%
    Max Drawdown -10.65%
    Overall Winners (566/819) 69.11%
    Sharpe Ratio 4.27
    Correlation with DJ Wilshire 5000 0.78

    I am trading a variation live. Live results were less due to higher volatility (because of less positions) and whipsaws from market timing that was not used in the portfolio above. In my live account I offset the increased volatility by trading other strategies.
     
    #24     Feb 18, 2011
  5. Bowgett

    Bowgett

    Nice numbers!
     
    #25     Feb 18, 2011
  6. pipo

    pipo

    Sorry, but I believed that forums could help you to solve your doubts.

    Seeing the past results that this signal has, it seems nice. And I prefer asking someone if has tested this signal that to test this signal by myself.

    Some another help? Thank you
     
    #26     Feb 21, 2011
  7. StateWX

    StateWX

    Hi pipo,

    Control USDJPY seems a good signal, the worst of this signal is that it invests a few trades per month (approximately 10).

    A few but sure...

    I think that is good to have also in your portfolio this kind of signals.
     
    #27     Feb 28, 2011
  8. Kohanz

    Kohanz

    You're missing my point. Sure, you can use a forum to get help with questions like: what are the best tools? How do I use these tools? etc. - those are good questions to get help with.

    However, I would personally never trade something based only a test result obtained from a forum.

    What if I responded to you with a detailed test result: Sharpe factor of 2.3, max. drawdown of 10% - it looks fantastic! Except I fabricated the entire test result. Would that be more "helpful"?
     
    #28     Feb 28, 2011
  9. regento

    regento

    Hi there,

    which platform is best to develop and backtest full automated systems ?


    Regards
     
    #29     Feb 28, 2011
  10. regento

    regento

    only for equities I mean
     
    #30     Feb 28, 2011