Compliments, my general ! ;-)) try also to use the discretionary bounds weapon, when appropriate. I think those can sometimes save from major drawdowns (when price approach low/bottom of range). I have created another variant of ultraflat, more frequent, (say "flat") which i am now testing I am now also adding some new rules at folio level (open positions, correlations, etc.), so that small capital investor can reduce the global exposition. PS. [ i use sometimes the width="1200" attribute in the img tag ]
Thanks for the formating tip. Yes I intend to start using my combat skills as I grow in confidence. I have tried to leave it to do things as programmed by you to first observe and learn. Also I have overwhelmed myself with instruments. All 5 folios have more than about 150 instruments combined, so there have been too many moving parts to focus on. I am now in the consolidation phase, I have closed my most successful folio 1, where 90% of the profits were made and thus eliminated 66 instruments. As mentioned earlier the next phase will be focused on protection and stable growth. Having said that I am a looking forward to the next DD period so I can learn more about the bot.
Just for further clarity, you have addressed this before but just to be sure. Do the folio's behave as completely seperate machines. When looking at open positions as you describe is there ever leakage across the different folios so that the bot makes decisions with all the folios in mind??
A crucial idea in this construction is also the (delayed) "instance overlay". In this approach, each single "trading session" is programmed to strive toward profitability and the keep it. Infact, you see that as time passes by, it engage less and less, and on more favorable positions. This sort of "convergence" to profit (which clearly cant be simply guaranteed to happen any time) is to be used in a context of instance overlay, as to also benefit of a (self-)hedging effect of the various instances. In other words, we want to spread and distribute the risk as much as possible, all over the range ;-) Tom
Yes each instance is self contained. The PNL shown by each instance may have nothing to do with the real account. I am now adding interaction within the folio (inside a given instance). At the moment there is no (algorithmic) interaction among the instances, but it's clearly the "general" who can create it ... ;-)) Tom
Ok That is the way I understood it from a previous explanation, I just wanted to make sure when you described your work on the open positions it was purely at the folio level. If I could make one further observation which I hope I am correct in, is that the DD is in fact the lifeblood of the default strategies. The very reason for the exceptional profits is the way the bot embraces DD. I will not use that word that can easily be mistaken for the approach. So something the General needs to understand that you will need to lose a few soldiers to win the war. Alternatively you need to play with the flatter versions, whereby the focus is more on the scalping.
Yes, right. DD is actually the "source" of profit. It's not by chance that we call it "investment". One could have occasional profit without DD, but that can be seen as exception within the whole picture. DD has also a cathartic value which makes what we gain, "deserved" ;-)) Money, seen as reward for risk taking, joint with know how and hard work. Systematic money making without DD would rather look like a form of stealing, and the society would not tolerated it. So DD is actually necessary. All we want, algorithmically, is to make it as bearable as possible, while we continue profiting and spreading the risk ... Tom
Hi there, I just redistributed the application to all people kindly testing and to traders. If anyone has not received the update, please let me know. I have been testing the "ultraflat" strategy with real money (and done pretty good). What i think is better is to use (with this special strat) very liquid instruments, rich of small fluctuations (es, cl, cad, eur, aud, etc. ...). In fact, the basic idea is to quickly scalp as long as possible, to be able to slide over the price curve, to find better and more favorable spots from where to open the new trades. I have been trading it live (real money) for 2 weeks, and the global folio position is still 0. Some trades just lasted few seconds. It's a pretty good approach, i think, for small capital. Intruments need to selected carefully for this game. Later i will also publish the result of simulations with random data, but they are pretty good. [The ultraflat exceeds systematically a Sharpe of 4 even on large sets of randomly generated price curves (GBM with mean reversion). ] In the new version i have also added <b>folio rules</b>. For instance now the entries will take into account the correlations among instruments. Tom