this is an example of my equity lines. In real. All with prt.
@Francesco: Which timeframe you run this strategy on? 45 trades per day is A LOT!
@despair : it is a portfolio of 75 strategies, ranging from 5 minutes to 1hr. 70% of them are on 1 hour TF
OK, that is for your whole portfolio. I see. I thought it was a single strategy and was really impressed by the number of trades hahaha.
Very interesting, I thought that by running 6 strategies live it was allot. Haha clearly you have some decent capital to play around with. How many different instruments are you trading across those 75 strategies and does it include shares?
Yes. I agree with the advice above. It takes a lot of dedicated time and effort.
Which strategies have you got good results with? 🙂 I’m running pathfinder swing but got to low capital for it (so far lost money).
I think like Francesco also already pointed out that diversification is the true holy grail. It is more a portfolio of mediocre performing strategies running simultaneously than to find the one strategy that will make you rich.
@Despair: Yes, true. I saw his screenshot 😉 Testing some new ones on my demo account. Looking for some that requires low capital, otherwise it would be hard to run more than just a few. Also trying normal pathfinders but changed to max 1 contract/trade. The problem you pointed out with using old data with Pathfinder Swing doesn’t look as bad with them.
@ozz87 I think what a lot of people forget before they start to trade a system like Pathfinder is that;
- You risk a lot of money on each trade just because you want to be more right than wrong. It feels good to be right but trading are about making the max amount of money out of each dollar/euro/pound or whatever else you risk.. Just because it had a 90% win rate in the past doesn’t mean that it will be the same in the future. The win rate might even be less than 50%. What will happen to your account when you have a 50% win rate and risk 3 times what you can win on each trade?
- Also a system like Pathfinder can stay under water for a very long time without being broken.. Are you prepared lose money for a loooooong time?
- A lot of backtests I’ve seen for different version of the Pathfinder have very few trades. So what is the probability that all bad trades were filtered out in the past but might get taken in the future?
- @Despair is coming with a very good point that it’s not ONE system that will make you rich. Rather focus on diversification and position size mgmt. 10 average systems can together beat one good system. This can also smoothen your equity curve.
I’m not trying to take a shit on pathfinder. It’s just an example. Mean reversion strategies tend to have the same issues as I pointed out on pathfinder. I just want to explain why you should not make the same misstake that I, and many more people, have done in the beginning. There are great tools out there for system evaluation. USE THEM BEFORE YOU RISK YOUR MONEY! ( https://www.prorealcode.com/topic/system-quality-number-evaluation-of-performance-of-algorithm/ )
@victormork: Yes, pathfinder seems to be pretty good, but I don’t have the capital to run 10 of them. That’s why I’m looking for systems with less money required to get more diversification. Trying some different ones on my demo acc now, fractal and the “1 minute tactic” for example. Actually I’m looking for more systems with abit less capital required. Anyway thanks for your advice 🙂
Find a system that produces a good WFA or at least one OOS run (70/30).
Then run a monte carlo simulation with the OOS results you got to determine the equity requirement to trade the strategy safely (I always want the risk of ruin to be less then 10% within the first year).
Then run this system a few months on demo to see if it does there the same as it did in backtest. If after a few months the demo results are consistent with the backtest you are good to go to start live trading.
Spot on @despair! Aslo try a few different markets for the same system. If a system works on DAX it should probably work on DOW, Nastaq etc. If you have system for EURUSD then what about GBPUSD, AUDUSD etc? It doesn’t take a lot of effort to validate.
I am trying some OOS testing now, just learned how to do it. But the results vary alot. For example on pathfinder for ftse I got WF for my tests, in%: 245, 113, 140, 16, 49 . However I’m not sure how the variables should be filled in for the tests (used the ones in the PRT guide).
Sorry for offtopic…
Thank you for sharing your equity curve/s Francesco78. It created a bit of a ‘Eureka’ moment for me. The search for the massive money making holy grail is over and all those strategies that looked like they would make a little money now and then will now be given a new lease of life. Just need to find some more capital!
On the subject of diversification – what are peoples thoughts on running one strategy with different optimization results multiple times. For example you optimize a strategy and by changing just one number in the strategy you might get say more winners with one number or a higher overall gain with another number or a higher average gain per trade with another number. Why not run 3 strategies and average out the returns?
