PERFORMANCE UPDATE - ALGORITHMIC TRADING STRATEGIES SHOWN IN MY BOOK
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October 1, 2016
Many people have been asking me to post the performance equity curves coming out of Tradestation for the 2 algorithmic trading strategies featured in my trading book. These are shown below. The performance includes out of sample results during development, and simulated real time results from 2014 onwards. These are good examples of automated trading systems that have just not performed up to expectations in recent years. I believe some of this is due to market conditions changing (Euro volatility reached an all time low in 2015 timeframe), but I can't exclude some overfit possibility with the original model. The key with algo trading strategies such as these is that you turn them off when performance gets bad.
January 1, 2016
Performance of the 2 algorithmic Euro Systems improved over the last 6 months, but not by much. We are in a "gray" area with these strategies - not quite good enough to trade, but not bad enough to dismiss completely.
I am not currently trading this live, but if the performance were to improve, I would certainly consider trading the trading strategies again.
I will keep monitoring...
July 17, 2015
Performance of the 2 Euro Systems continues to be weak. Over the last period it is still trending down, although the performance lately has jumped up. But the reality is that this system has to have really good performance for a while for me to consider trading it with real money again. I don't see that happening anytime soon!
I will keep monitoring, but it is not very exciting (and not profitable, either!).
March 5, 2015
Performance of the 2 Euro Systems continues to be weak, at best. More disappointing is that even though volatility has picked up with the Greece situation, the number of trades from the Day strategy has not increased at all. Without the Day strategy - which is the main money making component of this strategy - the overall performance will continue to be dismal.
I will keep monitoring, but it is not very exciting (and not profitable, either!).
January 7, 2015
Sorry for not posting an end of November update. Instead, here are 2 months of results (and the first week in January mixed in). Performance is still weak, at best. I could give you some convoluted explanations about the poor performance, but the chart below says it all: the system is just not performing to expectations. All the hand waving in the world can't sugarcoat that fact!
I've said it before, but it bears repeating: if you only trade one or two strategies, you are at the mercy of the performance of that system or systems. That can be precarious. But, let's say this system is part of a much bigger portfolio of 10-30 strategies (as is the case for me). In such a case, I actually expect a few strategies to underperform like this. I don't like it at all when a strategy behaves badly, but it happens. The key is that there a few other strategies that do really well, and make up for this poor performance.
I'll continue to monitor this system, and we'll see what happens.
October 31, 2014
Boring month for the system.
September 30, 2014
Not many good things to say about the Euro day and night system performance this past quarter. Only 2 trades in the day strategy for the month of September, which is a lot less than normal.
Not a very good quarter for the combined system, as shown by the purple line. Performance like this is why I advocate having many strategies to trade. Some will underperform (like this one), and hopefully some better performers will make up for it.
September 13, 2014
In one of the 5 star reviews on Amazon.com, a reviewer mentions that the Euro algo trading systems I present in the book are not performing as well as expected. The reviewer made an excellent and thoughtful point. This is certainly true, which you can see in the posts below. But why? Were the strategies developed incorrectly, or did the market change, or something else?
Many times, it is not easy to see why a strategy is not performing in real time as it should. In this case, though, the answer is pretty clear: volatility of the Euro is near an all time low, as shown in the chart below (I measure volatility by using a 14 period average true range on the weekly chart). Low volatility means less price movement, and less opportunities. For the Euro Day strategy especially, this means a lot fewer trades, and the ones that do occur are typically lower quality.
Volatility will eventually pick up, and when it does, I expect the performance of the Euro Day and Night strategies to pick up, also.
August 31, 2014
Here is the updated performance of the Euro Day and Night Systems I show in the book. The book includes complete code for both systems.
As you can see, the last month was pretty bad for both strategies. Plus, the day strategy (the more profitable strategy long term) had only 2 trades all month - far below the norm.
The one lesson here is that strategies can underperform when you go live. It is just another reason why I like to be trading many strategies, and stay diversified. If you put all your tradings "eggs" into this strategy "basket," you'd be bumming right now.
But who knows, when Euro volatility picks up, so might the performance of these strategies...
July 31, 2014
Here is the updated performance of the Euro Day and Night Systems I show in the book. The book includes complete code for both systems.
As you can see, the trading results have been flat for a couple of months. What has caused this? Is the system "broken?"
The third chart - Weekly Average True Range - tells the story well. Basically volatility is down. In fact, it is down to levels unseen in the past 10 years. My Euro systems, like most trading systems, thrive on volatility. When there is no volatility there is no opportunity. In my Euro Day strategy, I got only 1 signal the WHOLE month of July. And the gross profit of that trade was +1 tick ($12.50).
I expect once volatility picks up, as it eventually will, the Euro strategies in the book will start to perform better. At the very least, they will start taking trades again!
June 30, 2014
Here is the updated performance of the Euro Day and Night Systems I show in the book. The book includes complete code for both systems.
June 17, 2014
Here is the updated performance of the Euro Day and Night Systems I show in the book. The book includes complete code for both systems.