Defining Success

Discussion in 'Automated Trading' started by chuzek, Apr 9, 2010.

  1. chuzek


    Just a rather open-ended question, but what would you define as a successful automated trading strategy?
  2. IMHO (and I am not just trying to state the obvious), part of the answer is that a successful automated trading strategy is a successful trading strategy that happens to be automated. A successful trading strategy’s success (on the basis of real trades, not backtests or paper trades) is most often defined in terms of metrics like Cumulated Profit, Sharpe Ratio, Max. Drawdown, Profit Factor, Win/Loss Ratio, etc.

    Also, a successful automated trading strategy is a successful trading strategy that has been successfully automated and executed; i.e. it accurately follows the strategy rules as you have defined them; has been automated robustly enough to handle exceptions like delayed/partial fills, lost/unexpectedly cancelled orders, etc; and, all parts of your automated execution “platform” (trading computer, trading software, market data feed, internet connectivity, brokerage platform, exchange connectivity, etc) are operating at an adequate level (speed, reliability, availability, etc) to allow you to execute the strategy properly and with a material advantage over a non-automated trader trying to follow the same strategy.
  3. good post. Especially, metrics. Most traders have no clue about the "Risk-Adjusted" part of RAR...
  4. It is successful when you get a call from your broker and you are asked if you would like to manage some money for a big client of his.

    If you never get that call, you do not have one.
  5. 1. must perform on a large basket of markets over a significant time frame

    2. must have a profit factor of > 1.75

    3. manageable drawdowns
  6. rosy2


    i disagree. many strategies work on only one instrument.
  7. I have seen this, too, and it interests me. What is your view on why it is the case?
  8. celena090


    effective automated trading strategy for me is getting or acquiring the best available automated trading strategy in the trading business. if it will surely bring you success and no doubt for the possible losses, that will be the most effective.
  9. ... which generates results, consistent with the results of an identical strategy prior to it being automated.

    That is it.
  10. One you would trust to trade your own money.
    #10     Apr 13, 2010