take a look at my portfolia curve.

Discussion in 'Automated Trading' started by trend2009, Nov 23, 2019.

  1. I developed this strategy in 2007 and have used it since then. it produced three digits return in first several years, and then the performance went down since 2014. I guess that was due to the low market volatility. in the last 12 years till now, the maximum dd is below 2%, the sharpe ratio is around 7. below is the performance chart for this year.
    WeChat Image_20191123164516.png
  2. Nice job. Madoff's returns looked very similar! LOL! Seriously, if that's what you're doing, just keep doing it! Best wishes!
    Nobert likes this.
  3. gaussian


    S&P has returned 24% this year and has basically been a rocket ship up.

    If you've been running this for 12 years post the entire return curve, otherwise it just looks like you're deeply underperforming the market.
    GregorySG9 likes this.
  4. the bull market makes day trading more difficult. The strategy works better in high vol environment. In 2008, the return was 250%. Wish trump step down and let stock run its own course
    Overnight likes this.
  5. R1234


    Very nice! A few questions if you don't mind:

    1. Long only or Long/Short?
    2. Approx holding period of trades?
    3. Automated or manual?
    4. Average # of positions held at a time?
    5. Trend or Reversion?
    6. What instruments? Stocks, futures?

  6. 1) both long and short. not necessarily market nuetral
    2) a few seconds to end of the day, depends when the price hit my target to close .
    3-4) automated, a few hundred trades per day. so far about 1.5 million commission has paid to IB in the last decade.
    5) reversion
    6) stocks.

    btw, on average, I make more on short position.
    Last edited: Nov 23, 2019
    R1234 likes this.
  7. Craig66


    Nice consistently. My question would be, given you are generally trading reversion on stocks, how do you avoid getting nailed by bad news & large moves?
  8. sometimes i have big loss on one stock, for example, loss 40%. but since I have hundreds of positions, each stock accounts only less than 1% of my portfolia, 40% loss is less than 0.4% hit to my account, even that is very rare.

    I do not trade stocks that have news and large moves. i filter out any stocks with potential large moves.
  9. Craig66


    How do you go about doing this?
  10. R1234


    How do you backtest a beast of a strategy such as that? Tick data? Daily bars?
    #10     Nov 23, 2019