Discussion in 'Automated Trading' started by bbpp, Jan 31, 2017.
CkNN Algo trades gold ETF, which I know little about.
ETF Capital Builder hold position for several months, I saw one of his position held over 10 months. I am not familiar with this kind of trading style.
He could base his trading on long term technicals, and it could work well. Just I never did long term trade, so I can't say how well is his trading.
He has over one year good performance record with low DD , I incline to trust his performance.
You need to go through each strategy on Collective 2 in order to give you some color of what is offered. You can look at their frequency of trading, drawdowns, etc. Systems are not an "asset class" in my opinion, and while there are general guides lines, I suggest to go through each one to find the ones that match your risk capital and risk tolerance (Past performance is not indicative of future results).
I was reading their message board, specially the thread about following multiple systems. One guy said he followed 10+ systems and after 9 months his profits were break evenish. That tells everything about the hardness of finding good/safe systems. Sure diversification is good, but there will be always a few stinkers in the group, basically making the whole process not economical.
Personally I wouldn't diversify into more than 4 systems, otherwise that is just too much commission. But one has to have at least 1 high flying system, if not you can just pick a boring and safe one and no diversification is needed....
This strategy got very good performance in its first month, with very high win rate and very low drawdown.And it immediately attracted a lot of subscribers.
At that point I was ready to write a review, because it was actually trading against trend, then all of a sudden I saw a trade that was actually follow market momentum. It got me puzzled, so I decided to give it more time.
I later found the developer only did follow trend trade when his previous trade got stopped out, and he then immediately place a trade at the opposite direction with his first trade.So the second trade would be a follow trend trade.
However, the majority of his trades were still counter trend trades.
During the first month when he had good performance, Russell 2000 index was in a weak trend period, almost always had a retreat in an intraday trend. So he got very high winrate.
But later that situation discontinued, and his later performance went down.
So its future performance depends on whether there will be weak trend situation in the index , which I don't expect to often happen.So the chance is the strategy's performance will go down over time.
Curious what you'd say.
Your stats, in my humble opinion, do not look that great.
First if we look at your win rate, we get this.
Avg Loss $518
Avg Win $594
# Winners 40
# Losers 20
% Winners 66.7%
On the surface, this doesn't look too bad at all. But when we go into the individual trades, we see that your drawdowns are easily 3-6% on many trades before they turn around. I see one trade, this one, that is especially alarming:
8/21/15 15:56 SSO PROSHARES ULTRA S&P500 LONG 369 59.30 8/25 15:56 53.64 15.71% ($2,096)
Here, its obvious it didn't come back to you so you could close it out at a lower loss and you took a 15% hit on your account in just one trade. In fact, your losing trades often have a much higher DD than what the trade ends up being closed at. What this tells me if that when your luck runs out, you are screwed.
If you actually used stops and stuck to them, I imagine your profits would be drastically less. You may use this as a reason to not use stops, since it does come back to you often so why get out, but given that you let trades go against you much more than how much you let profits go in your favor, it might only be a matter of time until the blowup happens.
I do often see this on C2. Win rates are good, but when you look at the DD for the losing trades, or the trades closed at BE, its starts to become obvious that there is a huge hole in the system.
I am not so good at his trading style.
He hold positions from a few days to a few months. That is something I am not familiar.
However, I can guess what mechanism he uses.
At first glance, he was not good at picking market tops and bottoms. He sold on 11/4/2016, which was right bottom. In past 3 year market down days, he also got big hit.
He often sold position and bought back the next day, which seems meaningless to me.
Maybe he got some cycle theory to decide which day to sell and which day to buy, but as far as I know, this doesn't help him anyway.
What really helped him, was that during a market up trend, he tends to hold position for quite long time, but during market big down days, he frequently buy and sell, only hold position 1 or 2 days.That may cut quite a loss he otherwise could suffer. Because there were some big down days on which he didn't hold position.
Most big down days come consecutively. If you check market daily chart, correction come with consecutive down days. So if you avoid holding position in some of down days, you outperform market.
Thanks, that's a pretty good analysis actually. The strategy doesn't pick tops or bottoms, but it does use "some cycle theory" as part of its entry/exit selection. The strategy does hold longer for the occasional trend capture. The shorter trades of a few days or less are mean reversion trades which are its primary trade. You are also correct that the frequent sells in down periods cuts losses and helps outperform the market.
The previous commenter is right that this end-of-day system doesn't use stops though it will close a trade that doesn't go as expected. The point he makes of the drawdowns it can take while holding a trade are overstated IMO. In particular I disagree it implies a blow up at some point in the future. It trades a broad index not an instrument with big surprises like individual stocks or forex. At a max leverage of 2 beta it's not a futures scalping system and at worst faces a daily move of 2x the S&P500 which is almost never "blow out" material, especially for a swing system which by its nature holds over a number of days. Indexes can make rare big moves but they aren't surprises and the system scales down against such volatility. Expected max drawdown is under 25% (estimated by backtest and monte carlo simulation) and most years it is significantly less.
You are doing nice job here..!
Can you evaluate this one
He is doing a lot of small trades..