Portfolio Doing Well

The portfolio I developed using StrategyQuant is working very well. I started it in a live account April 1, 2015 and it is up 14% and over 1000 pips.  Drawdown is minimal at 11%, my goal is to have drawdown capped at 20%, but ideally below 15%.  Although it’s too early to conclude success after only 2 months, the strategies’ drawdowns and smooth upward performance results are indicative of the back testing and forward testing results I had.  So it’s looking real good overall.

After I made 10%, I doubled the lot size.  This is a test live account (demo account was giving different trade results than the live account so I do not want to rely on a demo account’s results).  I am using a $1,000 account with a .01 micro lot to start, and am now using a .02 micro lot, and will continue to increase as profits grow to compound the returns.

The attached pic is of when I started this portfolio in a live test account April 1, 2015.  So it has accurate readings related only to this portfolio and filters out previous results from other strategies.  I also have the entire account tracked on MYfxbook (http://www.myfxbook.com/members/PrincipAnalysis/principle-analysis-sq-portfolio/1244436) but this documents the account since its inception which distorts the data related to this portfolio since I tested a grid trading strategy before and it was very wild so I stopped using it.  You can see on the MYfxbook link that the performance became significantly smoothed out once I started using the current StrategyQuant portfolio April 1st though.

I just wanted to drop by and post my results and at least short term success in using StrategyQuant to develop my own EAs.  So far so good.  I will be back again later with an updated report.

Hi, 

a very interesting conversation here…  🙂

I´m thinking about my Monte Carlo testing process. I´m not sure if I´m testing hard enough in the moment. 

I just use this methods: 

• Randomly skip trades with probability 10%
• Randomize spread from 1 to 3
• Randomize slipage from 1 to 2 

The tests are running 3x 50 times. Every strategy with Ret/DD < 2 will be deleted.

Do you have any suggestions what I could improve on? Maybe I forgot some important tests…

It seems that my live results are a little bit better than my backtests, but I have not longterm live results in the moment. Only for the time period of two months.

In my opinion You should also check randomize start bar. It simualtes how strategy behave when started in middle of week.

In my opinion You should also check randomize start bar. It simualtes how strategy behave when started in middle of week.

Ok, I´ll try this. Thank you!  🙂

Hello Toddone! I have Question to You about WFM. Do You also check “coef” parameters to WFM test also?

Hi Adrian, probably not since I’m not sure what you’re referring to. I don’t see that option for WFM testing. Can you elaborate?

Thanks,
Todd

Hi, 
 
a very interesting conversation here…  🙂
 
I´m thinking about my Monte Carlo testing process. I´m not sure if I´m testing hard enough in the moment. 
 
I just use this methods: 

• Randomly skip trades with probability 10%
• Randomize spread from 1 to 3
• Randomize slipage from 1 to 2 

The tests are running 3x 50 times. Every strategy with Ret/DD < 2 will be deleted.
 
Do you have any suggestions what I could improve on? Maybe I forgot some important tests…
 
It seems that my live results are a little bit better than my backtests, but I have not longterm live results in the moment. Only for the time period of two months.

I think you should play around with the tests and make sure they’re not too easy (where most strategies pass always) and also not too difficult (nothing passes). I don’t think Monte Carlo tests should be looked as a test to determine if it will work moving forward on its own, but more of a test to see if you should discard it or keep and continue testing it.

With that in mind, one thing I like to do is run initial tests up to a year prior to the current date. Once the strategies meet all my criteria, and the Monte Carlo tests are sound, I then test the strategies forward on the most recent year to simulate using it live. The ones that still do well I mix up the Monte Carlo testing a little more and see if the strategies still work well. From there I go to WFM testing. I think doing that a bit on your own will help you find what’s right for your strategies.

Keep in mind, I use Tradestation which has great backtesting and optimizing programs. I have walk-forward tested strategies that have been working well for over 7 years and when I put the criteria to wide or too strict, even those fail the tests. My point is that it’s important to find the middle ground between too easy of test criteria and too hard of test criteria.

That’s just my view anyway.
Todd

Hey Todd,

I noticed you myfxbook account is offline, I like to have a number of SQ portfolios on my watch list to gauge my performance and inspiration.

Thanks,

stephen… 

HI Stephen,

Can you try it again, it should be up and running still (http://www.myfxbook.com/members/PrincipAnalysis/principle-analysis-sq-portfolio/1244436).  Not sure what happened to where you weren’t able to view it.  Please let me know if it still won’t show up for you as maybe I need to change some of the settings.

Thanks

Todd

Cheers Todd,

MyFxBook is reporting the last update is 9th September @ 2:27   I appears that you updated EA is not running or account is not synchronising.

Regards,

Stephen…

Thanks for the heads up Stephen.  I switched the strategies to a new VPS and I guess there’s a step I need to do to reconnect it again.  I’ll get to it later this week and let you know when it’s done.  

Thanks again,

Todd

Okay Stephen, it looks like I had to reset the FTP in the MT4 on the new VPS and it appears to be updating properly now.

Thanks again for pointing that out, I probably wouldn’t have noticed it for a long time.

Todd

How many strategies have you got on the go now Todd?

Sent from my iPhone using Tapatalk

Looks good Todd Thanks for that.   As I mentioned I have a watch list of SQ portfolios for inspiration, Well done!

Hi Adrian, probably not since I’m not sure what you’re referring to. I don’t see that option for WFM testing. Can you elaborate?

Thanks,
Todd

Sure,

Sure, 

Yes Adrian, I do modify those levels but usually by only .01 below and above the current value for the smaller numbers less than 1, but probably would adjust it by .02 (or more) below and above for numbers above 1.

Todd

Sorry to see your account going nowhere since 5 months now… same here though, the market is changing so drastically these days, it´s just crazy. Whenever you have a new and robust strategy and bring it on to live trading: voila, sideways or down. It´s a pity. The movement behavior of each and every pair seems to be changing almost weekly now, no more repeating patterns from the past it seems. Same for you as I see 🙁