Hi all, I have been trading ES with an automatic trading system for the last year, please have a look and let me hear your verdict! The attached image shows actual net performance as from broker. For the actual trading, performance stats are as follows: KPI Actual / Benchmark ===================== ========== =========== Capital invested: $1370.00 / $1370.00 Current equity: $5269.79 / $1594.06 Net ROI 1 day (+/-): $183.48 / $16.75 Net ROI 1 day (%): 3.62% / 1.06% Net ROI 1 week (+/-): $218.28 / $3.75 Net ROI 1 week (%): 4.34% / 0.24% Net ROI 1 month (+/-): $1854.84 / $34.25 Net ROI 1 month (%): 54.64% / 2.17% Net ROI total (+/-): $3899.79 / $224.06 Net ROI total (%): 284.66% / 16.35% Ann. return (%): 272.79% / 15.95% Ann. volatility (%): 198.14% / 12.79% Modigliani measure: 3.23% / 2.99% Alpha: 240.41% / 0.0% Ann. Sharpe Ratio: 1.53 / 1.23 Max drawdown: 68.67% / 8.87% Win-to-loss ratio: 1.01 / N/A Beta: 2.89 / 1.0 R Squared: 0.37 / 1.0 VaR (5%, 1 Month): 90.65% / 5.92% Regards
No automatic trading system is perfect unless it is developed by a bunch of maybe the most talented people on earth, like doctors in maths, doctors in computer and doctors in physics, etc. And it is sold for sky high price or millions. I believe it is only used by the most prestige hedge fund/funds or national/central banks. That's the holy grail. As far as I know, no trading system developed sololy by any individual can work in any situation(bull/bear/netural) of the market and make profit sustainably, or you would be the richest person in the world.
Although I was asking for more specific feedback on the performance in my case, I appreciate your overall reflection, although I beg to differ on a number of points: 1. No system in the world is perfect - not even those used by large investment banks. These also tend to blow up from time to time (e.g. LTCM etc.) 2. Traders at large investment banks are not more clever than people in general. Even if they hire 10,000 guys with 160+ in IQ, there are still millions with equal intelligence available in the world. Secondly, as Ernie Chan points out is his book Algorithmic Trading, many banks are constrained by policy and red tape, and often cannot run the best algos available. Third, investment bankers are incentivized to attract cash and produce returns, but seldom are liable in case of loss, as we've seen with the London Whale case etc. The only advantages these guys have is their brand and resourcefulness. In case of information advantage, we're probably talking about insider info which is illegal anyway. Any other information is a commodity and available for anyone who can pay for it. Nevertheless I thank you for your feedback, which makes me even more motivated to prove my contrarian view. And if history is indicative of the future, things look quite promising I'd say...imagination is the limit!
Would you mind telling me what is the red tape you talked about? And about the London white whale case, it was because the trader broke the regulation and used the fund for his personal use to gamble in the market, that's an independent/extreme case, that's not the case we can see everyday, but instead we see a lot of retail traders broke their accounts every day. If you can do a statistics about what's the overall losing percentage among the investment banks and retail traders, the overall losing rate among the retail traders would be significantly higher than the overall losing rate among the big investment banks.