Automated Trading Systems That Work...
I have been trading automated systems professionally for more than one year. During this time, I have purchased and traded more than 20 automated strategies and have found only 3 to withstand forward testing.
What has been your experience? How robust have you found automated trading strategies to be? Do you have any strategies that work better than those that I have?
Thanks,
What has been your experience? How robust have you found automated trading strategies to be? Do you have any strategies that work better than those that I have?
Thanks,
Hi AsystemTrader, Am new to auto trading. Seems to be the only kind I can do (too much fear and greed) am looking at Gina ES and really like Viper AutoTrade. What systems do you use?
Yes love to know more about automated systems if you can share some insight.
I have tried the Viper Trading Systems (eminiautotrader.com) autotraders and after backtesting them starting on 6/11/09, only three are in the black today, and all endured huge drawdowns. Too much red ink for me.
For a thorough analysis of each, see attached .xls spreadsheet.
It is unfortunate that the proprietors of these autotraders do not provide any historical analysis of their systems. That is a red flag in itself. In addition, when the first autotraders began to lose money, they recommended suspending their use until they tweaked (curve-fitted) them or came out with a new one. Multiple iterations, and multiple no-trade times says these systems are not ready for prime time. They are essentially leasing a product while it is still in development. But I wanted real data to prove it.
In order for me to evaluate their long-term performance, I had to tediously input every trade manually from the charts. Even though 5 months back is not really enough time to properly evaluate them, it is long enough for me to know I don't want to be a subscriber.
-Tom
For a thorough analysis of each, see attached .xls spreadsheet.
It is unfortunate that the proprietors of these autotraders do not provide any historical analysis of their systems. That is a red flag in itself. In addition, when the first autotraders began to lose money, they recommended suspending their use until they tweaked (curve-fitted) them or came out with a new one. Multiple iterations, and multiple no-trade times says these systems are not ready for prime time. They are essentially leasing a product while it is still in development. But I wanted real data to prove it.
In order for me to evaluate their long-term performance, I had to tediously input every trade manually from the charts. Even though 5 months back is not really enough time to properly evaluate them, it is long enough for me to know I don't want to be a subscriber.
-Tom
Click link to access uploaded file:
Viper AT results.xls
Viper AT results.xls
Thanks Tom - appreciated!
I have been following the Viper automated trading systems for a while now and I must say that the results posted by Tomgilb do not seem to correct and accurate in may respects for many of the strategies.
Anyone who has followed these systems knows that they are not all traded everyday, nor are they traded during certain times of the day when reports of major impact are released. In reviewing his results, it is obvious that he has not taken these factors into account, and therefore the results are not reflective of the true results for many of the strategies being examined.
For instance, the Russell Viper automated trading strategy shows results of being up over 1800 ticks ( that's $18,000) since November 1, 2009 yet the results posted show it up only over a little over $5,000 for that same period. On Friday, November 13th the strategy made over $2,900 alone in a single day. The results posted show that it made only $800. Furthermore, he was showing results of a loss of approximately $600 on 11/3 ( the day before the FOMC interest rate announcement) when the instructions to the strategy clearly state that this strategy is not traded on the day before the FOMC announcement and therefore, not trades should have been posted for that day.
In the future I believe it would be wise to make sure that all of the trading rules and parameters are understood fully before someone attempts to post results for an automated strategy and that the test results are accurately and correctly posted to enable members to consider the pros and cons of an examined trading strategy.
Anyone who has followed these systems knows that they are not all traded everyday, nor are they traded during certain times of the day when reports of major impact are released. In reviewing his results, it is obvious that he has not taken these factors into account, and therefore the results are not reflective of the true results for many of the strategies being examined.
For instance, the Russell Viper automated trading strategy shows results of being up over 1800 ticks ( that's $18,000) since November 1, 2009 yet the results posted show it up only over a little over $5,000 for that same period. On Friday, November 13th the strategy made over $2,900 alone in a single day. The results posted show that it made only $800. Furthermore, he was showing results of a loss of approximately $600 on 11/3 ( the day before the FOMC interest rate announcement) when the instructions to the strategy clearly state that this strategy is not traded on the day before the FOMC announcement and therefore, not trades should have been posted for that day.
In the future I believe it would be wise to make sure that all of the trading rules and parameters are understood fully before someone attempts to post results for an automated strategy and that the test results are accurately and correctly posted to enable members to consider the pros and cons of an examined trading strategy.
trading truth,
I used the default settings in the scripts. The RussellsViper has the no-trade times hardcoded, except for the news times. I did not exclude the news times on any of the scripts because on average you win sometimes and you lose sometimes.
I question the published results since they are so divergent from mine, and because there are no backtested results. Do your own research and count the ticks on our own charts. I've decided not to subscribe based on my posted results. Caveat emptor.
-Tom
I used the default settings in the scripts. The RussellsViper has the no-trade times hardcoded, except for the news times. I did not exclude the news times on any of the scripts because on average you win sometimes and you lose sometimes.
I question the published results since they are so divergent from mine, and because there are no backtested results. Do your own research and count the ticks on our own charts. I've decided not to subscribe based on my posted results. Caveat emptor.
-Tom
I have autotraded various systems over the years and have had varing degrees of success...mostly I have developed my own and then traded via Neoticker platform which allows you to autotrade - I use a dedicated pc with backup ups - i then remotely login several times a day to make sure everything is operating as expected - sometimes it doesn't...actually neoticker has a number of "systems that really work" that they provide logic for free - they are often excellent starting points...you can look at their blog to get an idea of what is there.
my experience has been if I am willing to suffer drawdowns of ~10K to 12K or more on a single contract you can realistically expect returns on the order of 50% or more based on a starting equities of $15K - i often wait for a large drawdown on paper before beginning with real money..
for instance here are the results of a system that I developed - this is without hindsight: (sorry for not formating better)
Period Net Profit % Gain % Gain Init Cap Profit Factor # Pos % Profitable Max DD Sharpe Acc. Profit
2006 $7,142.50 70.88% 71.42% 1.11 448 45.09% $5,940.00 0.86 $7,142.50
2007 $34,615.00 201.02% 346.15% 1.42 579 44.73% $4,430.00 5.18 $41,757.50
2008 $41,515.00 80.09% 415.15% 1.29 609 44.50% $10,800.00 2.7 $83,272.50
2009 $8,567.50 9.18% 85.67% 1.12 430 41.86% $9,175.00 0.58 $91,840.00
but that said I have gradually become a discretionary trader because it seems (so far) I don't have to live through those types of drawdowns on a single contract basis...
my experience has been if I am willing to suffer drawdowns of ~10K to 12K or more on a single contract you can realistically expect returns on the order of 50% or more based on a starting equities of $15K - i often wait for a large drawdown on paper before beginning with real money..
for instance here are the results of a system that I developed - this is without hindsight: (sorry for not formating better)
Period Net Profit % Gain % Gain Init Cap Profit Factor # Pos % Profitable Max DD Sharpe Acc. Profit
2006 $7,142.50 70.88% 71.42% 1.11 448 45.09% $5,940.00 0.86 $7,142.50
2007 $34,615.00 201.02% 346.15% 1.42 579 44.73% $4,430.00 5.18 $41,757.50
2008 $41,515.00 80.09% 415.15% 1.29 609 44.50% $10,800.00 2.7 $83,272.50
2009 $8,567.50 9.18% 85.67% 1.12 430 41.86% $9,175.00 0.58 $91,840.00
but that said I have gradually become a discretionary trader because it seems (so far) I don't have to live through those types of drawdowns on a single contract basis...
Tomgilb
You have stated that you "used the default settings in the scripts" yet when I looked at your results for the Russell Viper for instance I noticed that on line "p25", "trailstoptrigticks2" you have input the value of "20" when it should be a value of "40" ( 40 is the default setting). This makes a huge difference in the performance of the overall strategy since the value of 20 which you are using would cut short many of the profitable trades that the Russell Viper strategy goes on to make by utilizing the trailing stop feature. I submit to you that this is partially the reason that you are only showing net profits of approximately $7,000 for the period from October 28 to the end date of your data, when in fact the strategy results show net profits of approximately $18,000 for that same period.
You also stated that "I did not exclude the news times on any of the scripts because on average you win sometimes and you lose sometimes". Unfortunately, this is not how the scripts are to be run, and the instructions given in the printed material and the webinars are quite clear regarding the other strategies that adherrance to the time settings when the strategies are to be traded and not traded is of paramount importance to the peformance of the strategies. Your decision to ignore the news times when the various strategies should or should not be traded have totally made the results you have posted not only totally incorrect and meaningless, it again reiterates my previous statement that people should not be posting results of strategy back tests on this forum or any other forum for that matter if they do not follow the recommended trade times and settings of the strategies they are testing and then go on to make claims that the strategies that they "have tested" do not match the published results of the strategy provider.
As a final note, I wish to emphasis that the results that I previously posted regarding the performance of the Russell Viper system ( up approximately $18,000 since late October) are the result of a combination of both my own personal back testing on a day be day basis, and real time live trading using the default settings in the strategy and following the instructions for its use to the letter. My results for this period closely match the results posted by the strategy vendor, within a few ticks on a day by day basis.
Your choice to subscibe or not to subscribe based upon upon your flawed back test results obviously is your personal decision, but it is unfortunate that you have attempted to influence the thinking and decision making process of others who read the posts in this formum by posting results which are inaccurate because you did not follow the rules and instructions for the strategies that you "backtested".
It should be noted that since the Russell Viper strategy was released, it is up over $9,000 which is over 30 times what the monthly subscripion fee is for this strategy and which also includes all of the other 5 strategies which are also included in the subscription price.
Res Ipsa Loquitor ( "The thing speaks for itself")
You have stated that you "used the default settings in the scripts" yet when I looked at your results for the Russell Viper for instance I noticed that on line "p25", "trailstoptrigticks2" you have input the value of "20" when it should be a value of "40" ( 40 is the default setting). This makes a huge difference in the performance of the overall strategy since the value of 20 which you are using would cut short many of the profitable trades that the Russell Viper strategy goes on to make by utilizing the trailing stop feature. I submit to you that this is partially the reason that you are only showing net profits of approximately $7,000 for the period from October 28 to the end date of your data, when in fact the strategy results show net profits of approximately $18,000 for that same period.
You also stated that "I did not exclude the news times on any of the scripts because on average you win sometimes and you lose sometimes". Unfortunately, this is not how the scripts are to be run, and the instructions given in the printed material and the webinars are quite clear regarding the other strategies that adherrance to the time settings when the strategies are to be traded and not traded is of paramount importance to the peformance of the strategies. Your decision to ignore the news times when the various strategies should or should not be traded have totally made the results you have posted not only totally incorrect and meaningless, it again reiterates my previous statement that people should not be posting results of strategy back tests on this forum or any other forum for that matter if they do not follow the recommended trade times and settings of the strategies they are testing and then go on to make claims that the strategies that they "have tested" do not match the published results of the strategy provider.
As a final note, I wish to emphasis that the results that I previously posted regarding the performance of the Russell Viper system ( up approximately $18,000 since late October) are the result of a combination of both my own personal back testing on a day be day basis, and real time live trading using the default settings in the strategy and following the instructions for its use to the letter. My results for this period closely match the results posted by the strategy vendor, within a few ticks on a day by day basis.
Your choice to subscibe or not to subscribe based upon upon your flawed back test results obviously is your personal decision, but it is unfortunate that you have attempted to influence the thinking and decision making process of others who read the posts in this formum by posting results which are inaccurate because you did not follow the rules and instructions for the strategies that you "backtested".
It should be noted that since the Russell Viper strategy was released, it is up over $9,000 which is over 30 times what the monthly subscripion fee is for this strategy and which also includes all of the other 5 strategies which are also included in the subscription price.
Res Ipsa Loquitor ( "The thing speaks for itself")
Originally posted by Kel
I have autotraded various systems over the years and have had varing degrees of success...mostly I have developed my own and then traded via Neoticker platform which allows you to autotrade - I use a dedicated pc with backup ups - i then remotely login several times a day to make sure everything is operating as expected - sometimes it doesn't...actually neoticker has a number of "systems that really work" that they provide logic for free - they are often excellent starting points...you can look at their blog to get an idea of what is there.
my experience has been if I am willing to suffer drawdowns of ~10K to 12K or more on a single contract you can realistically expect returns on the order of 50% or more based on a starting equities of $15K - i often wait for a large drawdown on paper before beginning with real money..
for instance here are the results of a system that I developed - this is without hindsight: (sorry for not formating better)
Period Net Profit % Gain % Gain Init Cap Profit Factor # Pos % Profitable Max DD Sharpe Acc. Profit
2006 $7,142.50 70.88% 71.42% 1.11 448 45.09% $5,940.00 0.86 $7,142.50
2007 $34,615.00 201.02% 346.15% 1.42 579 44.73% $4,430.00 5.18 $41,757.50
2008 $41,515.00 80.09% 415.15% 1.29 609 44.50% $10,800.00 2.7 $83,272.50
2009 $8,567.50 9.18% 85.67% 1.12 430 41.86% $9,175.00 0.58 $91,840.00
but that said I have gradually become a discretionary trader because it seems (so far) I don't have to live through those types of drawdowns on a single contract basis...
Kel,
Are you saying you are willing to accept a $12k drawdown on a $15k acct? Wow! Too rich for me! If you started at the wrong time you would only have $3k in your account. That is a blown account by my standards.
My experience with autotraders so far is that they all have big drawdowns and/or wide stops. This is because the market is too dynamic to fit into an algorithm. The concept of an autotrader is intoxicating because we all want a money tree. But controlling greed is a key ingredient to successful discretionary trading, and it should also be a personal goal in all areas of life, IMHO.
-Tom
trading truth,
Are you Viper's autotrader programmer, Rich Staiton? Your writing style and defensiveness are just like his. Plus, it sounds like you are promoting the product more than a mere user would. Who else would write two long detailed posts just to refute me? I'm only one former subscriber with an unfavorable opinion.
"The [gentleman] doth protest too much, methinks."
Are you Viper's autotrader programmer, Rich Staiton? Your writing style and defensiveness are just like his. Plus, it sounds like you are promoting the product more than a mere user would. Who else would write two long detailed posts just to refute me? I'm only one former subscriber with an unfavorable opinion.
"The [gentleman] doth protest too much, methinks."
I've been trading for about 12 years and haven't seen an automated strategy that works consistently. The ones that have worked in the past or are making money right now will probably fail miserably in the next couple weeks or months at best. I'd rather rely on my own ability to trade than a computer.
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