Robo Futures Trader Blog/Vlog/Portfolio Update Article And Video

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Viewing 11 posts - 1 through 11 (of 11 total)
  • 01/27/2020 at 3:23 PM #118043
    deletedaccount100622

    Hi

    thanks for your patience but I have finally produced my first video update (see if you can tell it’s the first……)

    In the article and video I discuss the Alpha portfolio performance since launch, plans for the future and much more. This is a real money portfolio and I have also included some of my discretionary trades so I hope you will enjoy the video.

    I will be producing new strategies and content for the site full time from next week so please sign up for a free membership which will allow you to get faster content updates, more resources and to comment on articles or provide suggestions for topics to discuss

    The article is linked below so I hope you will check it out and leave some comments*

    https://robofuturestrader.com/alpha-talks-1/

    *you need to sign up for a free membership to comment and have the first comment approved

    Thanks

    Ruark

    2 users thanked author for this post.
    avatar Edmond, avatar Francesco
    01/28/2020 at 5:37 PM #118170
    Francesco

    Love it! Big up Ruark 🙂

    01/28/2020 at 7:12 PM #118174
    Francesco

    If I can give you some advice, Vimeo is a very bad platform. I have to watch the video in 360p and still suffer from buffering although I have a very powerful connection.
    In my opinion Youtube would be better!

    EDIT: I saw that you already uploaded the video on yt. Sorry 🙂

    02/04/2020 at 9:40 PM #118682
    deletedaccount100622

    Hi the second Alpha Talks video is now available Alpha Talks 2

    This is a shorter video than last week coming in at around 10 minutes in which I discuss the results of the Alpha Portfolio last week, systems performance and system generations.

    I have finished up my last project other than trading, making systems and developing content for the site so please look out for updates as I take a code from the forum and explain how I would apply my process to the system to develop it from Raw code to a third generation Robo Futures Trader system

    The Vimeo settings should allow for 1080p but an alternative viewing platform is Youtube

    If you have any questions or comments please sign up for a free membership which will allow you to post or contact me via the contact form on robofuturestrader.com

    Thanks

    Ruark

    02/10/2020 at 2:29 PM #119178
    deletedaccount100622

    Hi

    I have written an post updating the performance of the Alpha Portfolio here https://robofuturestrader.com/alpha-portfolio-results-week-8/

    The posts has a number of graphics showing the breakdown of the portfolio both last week and to date

    Overall the portfolio has a 27.42%  gain in six week six weeks of live trading

     

    03/10/2020 at 8:27 PM #121761
    eckaw

    Hey Ruark,

    Do you have any updates on your project? I’m inclined to see how you are performing and if you have optimised the strategies further.

    03/24/2020 at 11:23 AM #123116
    deletedaccount100622

    Hi @Eckaw

    I had turned the algos off at the beginning of March due to the increased volatility, spreads and the way that fundamentals and news had taken over the movement of markets, since then I have been trading manually using the knowledge gained during the Amplify training course that I mentioned in the last vlog

    I will be putting together and evaluation of how they would have performed and changes to make, I would ideally like to have a Vix related cut off but this can probably be achieved through ATR

    I had a cursory look and it was a mixed bag, in the last vlog I had identified problems with one system that bought the dip, that one didn’t do well, some of the others are a mixed bag but to do it properly I would need to run the back tests with the increased spreads that we have seen recently

    At the moment perhaps like you I am on lock down with the kids at home, so I will be starting to put out new content

    I hope your trading is going well

    Ruark

    03/30/2020 at 12:29 PM #123940
    deletedaccount100622

    Hi all

    I have added an update in the link below and copied in the summary from the article regarding how the algos would have performed if left and and what the next steps are for the systems and the Alpha Portfolio

    Summary:

    Following the heightened volatility in markets due to the Corona virus outbreak I took the decision to being to pause some of the automated trading systems before pausing all of them and moving to manual trading. With the knowledge that I had gained from the Amplify Trading Course and the daily ranges of the indices (particularly) the Dax that I trade most often I felt that the better opportunity lay in having full control and taking my own trades. Having only 100k bar back tests and multiple systems that ran on 5 to 15 minute time frames the systems had all been developed using data from the post financial crisis period in which there had not been a great deal of volatility, the systems I felt would be optimised for lower volatility markets that are tending to trend upwards.

    However the systems may have been more robust than I thought and the portfolio combination may have overcome the new market conditions, so the first thing to to is to look at how they would have performed had they been left on. To do this I will run the back tests beginning on Jan 2nd 2019 to allow the money management rules to update position sizes and then run the systems that were live to date. (Results shown in the post below)

    Given the unprecedented nature of the recent market moves especially the moves at weekends although some systems would have made a profit I feel I made the correct choice in halting their trading as the change to spreads and market conditions drastically changed the risk to reward profile of the systems. This was especially evident in those systems that held positions over the weekend and suffered a near 10% gap down on the open of the 6th March.

    I have posted an update here: https://robofuturestrader.com/28-03-2020-was-turning-off-the-algos-the-correct-choice/

    Thanks

    Ruark

    03/31/2020 at 12:51 AM #124012
    jebus89

    I love the fact that your so open with you whole trading journey.

    Im in the camp “do not turn off strategies – if you do they are not designed good enough and shouldnt be run in the first place”. If you think it should be turned off, find a way to code “do not trade when volatility is crazy” rather than making the decision yourself that you should turn things on and off. Why would you turn it off? The high-low is too big? Code it in and backtest. Just my perspective on things.

    If your worries is regarding amount of data, you can get the PRT premium and get 200K backtest, for “free” even with a PRT sponsored account, just saying.

    Keep up the good work, inspirational to follow.

    03/31/2020 at 8:30 AM #124023
    deletedaccount100622

    Hi @Jebus89

    Thanks for taking the time to read the post and comment

    I had been in the camp of leaving them on especially with the systems that had slightly wider stops as a number of time I had overruled them and missed out on a bunch of profits due to my own biases. Going forwards some sort of volatility switch will be the way forward, the volatility didn’t bother me so much as the spreads widening. For those systems that were on lower time frames trading the Dax a move to a 10 point spread removed most of the expected gains from them due to the stop loss and P&L on most systems being set figures.  I did also find that I slept better without positions over the weekend or perhaps a line to say if the daily range is above X close out at the weekend?

    I do have an account through IG.com but at the moment they only have 100k bars, do you know who sponsors a 200k bar version of PRT?

    It’s an exciting time at the moment and I think that one of the things the professional discretionary traders have been saying will ring true for the algos, if you can trade this period then you can trade anything. This new data can only be a positive.

    I spent a couple of hours last night looking into making some of the changes described above to one of the existing codes and the results are looking fantastic, I look forward to sharing them when it is all ready

    Thanks

    Ruark

    03/31/2020 at 8:55 AM #124037
    jebus89

    I had a basic PRT account with IG.com myself, i then opened a new one via PRT (So it is an IG account, but sponsored by PRT, meaning they will get a small cut of your spreads (Introduction broker) other than that is 100% the same as you got today, just premium PRT account.. The price is the same as basic account, 4 trades per month or something like that. I dont have the link right here and now but should be easily found in this forum, mentioned usually 1-2 times a month somehwere it feels like 🙂

    ———————————————————————————

    I totally get it, stopping the systems on smaller timeframes when your margin is just gone from the spreads.

    For me, im still in my “test all my systems live” phase and this crazy markets are just the ultimate test. The systems that survive this will truly gain my utmost confidence.

    I just fucked up bigtime with a system where i stopped after an all time big drawdown and now 1 week later it is at a new all time high 😛 😛 Story of my (and most other traders) life. I took the fat loss of -1000€, turned off the system and it gained 1500€ in a matter of 2 weeks. I just couldnt stomach it i guess.

    Just on a random sitenote, these crazy markets has really rattled my mean reversion systems, ive found to actually hate my mean reverting systems. Everyone knows that mean reversion has many small wins and a few big losses, but in my head, buying a “falling knife” just feels so bad lol. Even if the market is close to all time high and normal volatility, i still feel so much emotions from doing mean reversion trades. Is it just me? 😛

    Majority of my systems are trend/momentum/swing trading, how about you?

     

    Edit: Ive found some good filters using high-low in %. meaning if the candle is fucking huge it will kill my stop in 1 sek.

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