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.

market becoming more efficient as machine learning and strategy mining becoming more affordable and popular 🙁

Yes, exactly. All my strategies have passed ALL stability tests, are not complex at all (dead simple entries), WFM, 15 years of data (M30), 7 yeras of tick-data, at least worked well on one other pair too, backtests in MT4 match the ones of SQ almost 99%, I have no slippage during live trading and live trades match the backtest in SQ / MT4 as well if testing afterwards… yet NOTHING for the last 5 months I have put on is making any profits. Max sideways, but rather downwards instead… It´s a pity. However, seeing most other EA´s out there the last months and also seeing the silence in the strategies section here + the accounts published here which are all going side-ways or down too, I see I am not alone. However, what to conclude out of this? Let´s stop the efforts as it is not worth it? I don´t know anymore…

Ive been asking myself lately just how effective/important historical data is becoming because I believe that there has been a paradignm shift with trading over the last few years on all markets not just forex, so how effective is Quant trading becoming? Especially with cost of CPU dropping 

Yes, that´s the question… actually I´ve tried so many approaches the last 2 years… from the above method with 15 years of data, to generating just on the last few months / weeks / days… nothing is really working to be honest. And it seems this is the case for almost everyone except some people doing HFT and front-run the market with arbitrage etc. Honestly, if it would work so well, more people would show off their systems here.. I mean not sharing them, but brag with their MyFxBooks… as you can see, no one is doing this here. The few (serious people!) that show their MyFxBooks here, all go side-ways or down the last 5 months.

Apart from the portfolio posted here, another nice example of this is actually the blog post by Mark here: https://strategyquant.com/articles/strategyquant-success-storyLook at that backtest (they look like mine) and look like it is doing live so far (also looks like mine, haha):

http://www.myfxbook.com/members/strategyquant/portfolio-1/1188718

I got same problem. After renting fastest servers in the world I have generated around 400 robust strategies. I have also made great portfolios from them. And what? Everytime that I try them on real, market goes opposite to my ways. Always DD is bigger in few days, than in last 10 years. Strange? It does not matter if strategies are D1, H1 or M5… even, to avoid mistakes on trades, I created strategies with closing on every day, every weekend… SAME!

WysÅ‚ane z mojego Z30 przy uÃ…¼yciu Tapatalka

I’m happy to share as I like to see how everyone else is going.   Maybe we should look at setting up a SQ index of accounts.  

Some of strategies are still running at minimal risk settings (0.5%) which I then adjust to full risk (2%) after they have track record of +ve growth on real $$ over a number of trades.

My Live account, but is too early to tell as has only been running live with SQ strategies since 24th Sep.  Before then was a mix of some commercial and manual hence why the manual dates set

http://www.myfxbook.com/members/madeinoz/mt4-528501-live-test/1006982/Taas7t2C1aS8254Ec2p1

You are doing good seaton, sure not a long time yet, but a good start! Any hints on your strategies / timeframes / methods?

I got same problem. After renting fastest servers in the world I have generated around 400 robust strategies. I have also made great portfolios from them. And what? Everytime that I try them on real, market goes opposite to my ways. Always DD is bigger in few days, than in last 10 years. Strange? It does not matter if strategies are D1, H1 or M5… even, to avoid mistakes on trades, I created strategies with closing on every day, every weekend… SAME!

WysÅ‚ane z mojego Z30 przy uÃ…¼yciu Tapatalka

Hi Adrian,

very interested.

If you have done all robustness tests the result is ==> that we need more curvefitting tests in the SQ.

Have you done a WFA with all the strategies ?

Have you tested the strategies on different Brokers?

thomas

Yes, exactly. All my strategies have passed ALL stability tests, are not complex at all (dead simple entries), WFM, 15 years of data (M30), 7 yeras of tick-data, at least worked well on one other pair too, backtests in MT4 match the ones of SQ almost 99%, I have no slippage during live trading and live trades match the backtest in SQ / MT4 as well if testing afterwards… yet NOTHING for the last 5 months I have put on is making any profits. Max sideways, but rather downwards instead… It´s a pity. However, seeing most other EA´s out there the last months and also seeing the silence in the strategies section here + the accounts published here which are all going side-ways or down too, I see I am not alone. However, what to conclude out of this? Let´s stop the efforts as it is not worth it? I don´t know anymore…

Are the strategies logic?

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 🙁

Yes it’s a bit disappointing but not entirely.  If you look at the monthly percentage changes it is achieving a modest gain while undergoing minimal drawdown.  I was not looking for a 100% profit a year portfolio.  What I wanted was a portfolio that could match that of the stock market, but with very little drawdown.  So far that has worked out, and I’m the profit regardless.  The one thing that will cause me to give up is if the drawdown becomes excessive, and/or if the drawdown significantly exceeds what testing showed it should be.

Hi guys

I throw my portfolio. 🙂  .It is only out for 4 weeks so its too early to judge but so far its a good beginning. The portfolio contains from 26 strategies so far which are correlated less than 40%.. I and my friend in Prague want to get heads together and try to code extra money management and insert block into actual code..It would include progressive martingale , grid , safety net, piramiding…and some more good ideas.We tried to do some work with wizard and it worked ok. If any of you is good in using wizard and want to participate on our little project feel free to contact me. Spoken languages are – Slovak , Czech , Polish , English.

http://www.myfxbook.com/members/ASGroup/asgroup-portfolio-16-strategies/1395777

I have noticed strategies are struggling with lower volatility and when markets going sideways. Potentialy portfolio balanced with grid could cover current loses. What you think guys?

Regards , Ed 

Would anybody actually be interested in starting a new thread and collaborating to build a user-created system? I’m a bit disappointed by the lack of activity on these boards. Perhaps we should post some basic parameters to create a system around, and get started.

Yes aegis i was thinking the same thing, a collaborative study group surrounding the process and fine tuning the approach would be useful

Sent from my iPhone using Tapatalk

guys chillout. sometimes this happens. it is impossible to have only rising equity. look on anothers: hedgefunds are very weak,  etc for me is important to have similiar results like in backtest

You are right clonex. But with progressive money management we can unlock number of new possibilities.Anyway I and my partner we decided to wait for SQ4 because backtesting and optimizing within MT4 is just awful.Hopefully It will be released by end of the year as beta version.