Not really. Its a stat I look at, but not part of the formal design. I'm looking for all the characteristics of a positive skew, momentum style, strategy: positive skew (obviously) ratio of average profit week: average loss week over 1 (not day, as MTM makes it too noisy) compared to zero skew, longer drawdowns compared to zero skew, shallower drawdowns less risk being taken in drawdowns (over and above kelly downsizing for account size) wouldn't be concerned about win ratio being below 0.5 You can then bootstrap the statistics of things like drawdowns for a given skew, SR, so that when you see a one year 15% drawdown you know how likely that is, and don't panic.
Todays trades: Code: code contractid filled_datetime filledtrade filledprice 3057 AUD 201506 2015-03-23 07:25:55 1 0.777100 3056 AUSSTIR 201606 2015-03-23 08:31:17 2 98.020000 3063 CORN 201512 2015-03-23 14:06:19 2 413.000000 3062 EUR 201506 2015-03-23 14:01:15 1 1.093000 3059 JPY 201506 2015-03-23 10:34:54 1 0.008352 3064 LEANHOG 201506 2015-03-23 15:33:09 -1 73.600000 3060 PLAT 201504 2015-03-23 12:14:21 1 1142.300000 3061 SOYBEAN 201511 2015-03-23 12:19:19 1 961.750000 3058 V2X 201505 2015-03-23 09:12:10 -1 21.550000 Slippage in GBP, for entire trade code gbpt_slippage_process gbpt_slippage_bidask gbpt_slippage_execution gbpt_slippage_all_trading gbpt_slippage_total 3056 AUSSTIR -37.61 12.54 -25.07 -12.54 -50.14 3062 EUR -25.14 8.38 0.00 8.38 -16.76 3061 SOYBEAN 0.00 8.38 -16.76 -8.38 -8.38 3059 JPY -8.38 4.19 0.00 4.19 -4.19 3058 V2X -0.00 3.62 -7.23 -3.62 -3.62 3063 CORN 16.76 8.38 -16.76 -8.38 8.38 3060 PLAT 6.70 8.38 0.00 8.38 15.08 3057 AUD 6.70 3.35 6.70 10.06 16.76 3064 LEANHOG 73.75 6.70 -13.41 -6.70 67.04 Total slippage: process 32.780000; bidask 63.920000; execution -72.530000; all trading -8.610000; grand total 24.170000 Almost out of the long dollar trade now. Just have a short of 2 lots in JPY and the same in GBP. Beautiful trend, thank you market. LOSS: £1,437 Below HWM: -£25K Since inception: +£355K Steady as she goes. Much less risk on now, expected variability of p&l is probably about half what it was before this 'rout' started.
Trades Code: code contractid filled_datetime filledtrade filledprice 3070 AUS3 201506 2015-03-24 02:27:38 1 98.27000 3067 AUSSTIR 201606 2015-03-24 02:04:13 1 98.05000 3073 BOBL 201506 2015-03-24 07:33:16 -1 129.23000 3074 BUND 201506 2015-03-24 07:36:27 -1 158.32000 3080 CAC 201504 2015-03-24 14:24:28 1 5085.50000 3082 CORN 201512 2015-03-24 17:50:23 1 416.25000 3078 EDOLLAR 201809 2015-03-24 12:10:18 1 97.84500 3072 GBP 201506 2015-03-24 06:22:50 1 1.49350 3071 KR10 201506 2015-03-24 02:28:43 1 124.89000 3081 LEANHOG 201506 2015-03-24 17:24:38 1 74.92500 3079 US5 201506 2015-03-24 14:02:10 1 120.03125 3075 V2X 201505 2015-03-24 09:03:04 -1 21.35000 3076 V2X 201505 2015-03-24 10:04:52 -1 21.10000 3077 V2X 201505 2015-03-24 12:02:22 -1 21.15000 Slippage in GBP, for entire trade code gbpt_slippage_process gbpt_slippage_bidask gbpt_slippage_execution gbpt_slippage_all_trading gbpt_slippage_total 3071 KR10 -12.58 3.15 -6.29 -3.15 -15.73 3080 CAC -10.85 1.81 -3.62 -1.81 -12.65 3078 EDOLLAR 4.19 8.38 -16.76 -8.38 -4.19 3082 CORN 0.00 4.19 -8.38 -4.19 -4.19 3073 BOBL -0.00 3.62 -7.23 -3.62 -3.62 3077 V2X -1.81 3.62 -0.00 3.62 1.81 3072 GBP -4.19 2.10 4.19 6.29 2.10 3079 US5 5.24 2.62 -5.24 -2.62 2.62 3075 V2X -0.00 3.62 -0.00 3.62 3.62 3076 V2X -1.81 1.81 3.62 5.42 3.62 3070 AUS3 23.45 7.82 -15.64 -7.82 15.64 3074 BUND 7.23 3.62 7.23 10.85 18.08 3067 AUSSTIR 31.34 6.27 -12.54 -6.27 25.07 3081 LEANHOG 40.23 6.70 -13.41 -6.70 33.52 Total slippage: process 80.440000; bidask 59.330000; execution -74.070000; all trading -14.760000; grand total 65.700000 Starting to build up a short V2X on the back of a decent european stocks rally. Also building up bond risk. Risk is still low though, around £4,868 a day Here is an excerpt from my daily risk report Code: Expected annual risk more than GBP6400 per year, GBP400 per day code multisignal expected_annual_risk expected_annual_risk_per_contract position expected_annual_risk_rounded_pos 18 V2X -9.8 6603 554 -11 6095 36 PLAT -9.6 6417 6667 -1 6667 0 CORN -11.6 7768 2494 -3 7481 29 GBP -18.3 12238 7779 -1 7779 38 GAS_US -15.2 10189 7909 -1 7909 19 VIX -15.2 10214 4790 -2 9580 30 JPY -15.3 10243 5523 -2 11046 37 CRUDE_W -28.3 18977 13165 -1 13165 11 BUND 13.6 9096 6533 1 6533 22 AEX 14.1 9471 8954 1 8954 20 ASX 9.8 6600 9252 1 9252 24 SMI 18.4 12319 10043 1 10043 23 CAC 11.9 7988 5140 2 10280 39 AUSSTIR 15.5 10371 936 11 10295 40 EDOLLAR 16.3 10904 2208 5 11041 Columns are code, signal (a normalised measure of risk, comparable across markets), expected risk annualised sigma if we could take non round positions, risk per contract, position in contracts, risk given we can only trade whole contracts. PROFIT: £4,385 Below HWM £21K
Trades Code: code contractid filled_datetime filledtrade filledprice 3086 CAC 201504 2015-03-25 11:24:37 -1 5049.50 3083 KR3 201506 2015-03-25 02:21:55 1 109.29 3093 NASDAQ 201506 2015-03-25 16:01:21 -1 4368.00 3094 SP500 201506 2015-03-25 16:04:35 -1 2067.00 3085 V2X 201505 2015-03-25 08:08:37 -2 21.05 3092 V2X 201505 2015-03-25 13:06:33 1 21.40 Slippage in GBP, for entire trade code gbpt_slippage_process gbpt_slippage_bidask gbpt_slippage_execution gbpt_slippage_all_trading gbpt_slippage_total 3086 CAC -12.80 3.66 -0.00 3.66 -9.14 3093 NASDAQ -6.70 1.68 -3.35 -1.68 -8.38 3092 V2X -3.66 1.83 -3.66 -1.83 -5.48 3085 V2X -14.62 14.62 -0.00 14.62 -0.00 3083 KR3 0.00 3.15 0.00 3.15 3.15 3094 SP500 50.27 4.19 8.38 12.57 62.83 Total slippage: process 12.490000; bidask 29.130000; execution 1.370000; all trading 30.490000; grand total 42.980000 LOSS £6201 £27K below HWM Markets struggling to get purchase into new trends here. Looks like we're in for a period without any. So will lose some money, but risk reduction will keep losses under control. The game is to hang on to most of the money we made in the good days.
"Success in systematic trading is mostly down to avoiding mistakes: over complicating things, being too optimistic about likely returns, taking too much risk and trading too often. I will help you avoid these errors. This won't guarantee large profits, but it will make failure much less likely."
Quote from the forthcoming book? Will you reference some of your Python code in the book (not necessarily the "secret sauce," but mostly how to handle various bits of data etc.)?
I generally put that sort of thing on my blog, it's not a python book. If you have any requests for bits of code you'd like to see ('handle various bits of data' a bit vague...) then email me.
Trades Code: Trades take 1 code contractid filled_datetime filledtrade filledprice 3100 AEX 201504 2015-03-26 13:32:31 -1 482.750000 3098 CAC 201504 2015-03-26 13:26:09 -1 4957.000000 3107 CAC 201504 2015-03-26 16:59:17 1 5008.500000 3102 CORN 201512 2015-03-26 14:06:19 1 418.500000 3105 CORN 201512 2015-03-26 15:06:56 -1 413.500000 3101 EDOLLAR 201809 2015-03-26 14:00:33 -1 97.765000 3099 GAS_US 201506 2015-03-26 13:30:19 -1 2.798000 3095 JPY 201506 2015-03-26 03:06:27 1 0.008392 3104 SMI 201506 2015-03-26 14:23:28 -1 8903.000000 3096 V2X 201505 2015-03-26 13:25:41 6 22.450000 3103 V2X 201505 2015-03-26 14:22:51 1 22.650000 3106 WHEAT 201512 2015-03-26 16:33:50 -1 532.000000 Slippage in GBP, for entire trade code gbpt_slippage_process gbpt_slippage_bidask gbpt_slippage_execution gbpt_slippage_all_trading gbpt_slippage_total 3099 GAS_US -77.08 3.35 -6.70 -3.35 -80.43 3104 SMI -45.08 3.47 -6.94 -3.47 -48.55 3102 CORN -33.51 4.19 0.00 4.19 -29.32 3105 CORN -0.00 4.19 -8.38 -4.19 -4.19 3103 V2X -7.31 3.66 0.00 3.66 -3.66 3107 CAC -3.66 1.83 3.66 5.48 1.83 3095 JPY 16.76 4.19 -8.38 -4.19 12.57 3106 WHEAT -0.00 8.38 8.38 16.76 16.76 3098 CAC 21.94 1.83 -0.00 1.83 23.76 3096 V2X 21.94 21.94 0.00 21.94 43.87 3101 EDOLLAR 16.76 4.19 33.51 37.70 54.46 3100 AEX 76.77 7.31 -21.94 -14.62 62.15 Total slippage: process -12.470000; bidask 68.530000; execution -6.790000; all trading 61.740000; grand total 49.250000 Continuing to cut risk, down to less than £4K a day expected now. Longs in bonds and STIR, and a short in Gas, are the only positions of note now. LOSS: £9891 £37K below HWM P&L since inception: £344K Obviously some chunky losses on equities, but also short crude didn't play out well today. Yesterdays expected risk was £4554, so this was a 2 and a bit sigma day, or roughly one in two months loss. NOT so easy... How to put this into perspective? Since I began writing this thread I've made about 24K, or call it 16K a month. Annualised that would still be a 50% return. My conservative expectation is to make about 12% a year (SR of 0.5). This is just trading. Unless you're exceptional, or you're running a highly negative skew strategy which one day will blow up in your face, you don't make money every day or every week. I won't be updating this journal for a couple of weeks as I'm going to be on holiday, although with access to my system so I will be checking things are ticking over, but I want to do the absolute minimum of screen time otherwise. After that I will probably step back to updating weekly.
Hello globalarbtrader, When you have the time, could you talk a bit about your back-testing methodology ? One interesting topic for me is the relation between in-sample and out-of-sample results.