Does automated trading and technical analysis work?

Following on from the discussion at:

https://strategyquant.com/forum/topic/3255-portfolio-doing-well/

I thought I would create a new topic. 

I anyone wants to share views on this (does it work, here’s the proof) please do.  There’s no right or wrong answer, let’s keep it open minded and as scientific as we can.

Any links to myfxbook verified results appreciated, doesn’t have to be your own system, just something that proves real money is being made by traders over a number of years. My personal view is it can’t be done by using historical prices alone, you need an edge outside of just number crunching past data.  It needs to know the market sentiment now, and what’s happening in the near future.  Any ideas along these lines welcome.

If technical analysis alone worked, we’d be falling over forex millionaires down the pub. All I see is people getting rich selling courses and books and software.  If you ask where the rich forex retail traders are, they have all mysteriously gone silent on some exotic beach, never to reveal their success.

New service from Amp futures. Algos for lease looks pretty good. Amp futures was my first data feed some 10 years ago. Thats why i still get emails from them.

https://ampfutures.isystems.com/?utm_campaign=Client+Notice&utm_source=hs_email&utm_medium=email&utm_content=29780126&_hsenc=p2ANqtz-9Bi8EmDflnfE4PzrKyvCkvxspX9iZgKOw9t9dAwE2DEWLyMk2-4cDVbosAHHMbCCm2b6zjRdeRfvLZVKCJShwWzJky-A&_hsmi=29780126

 

 

 

LongEntryCondition = (HighDaily(5) > ThisBarOpen())

ShortEntryCondition = (LowDaily(5) < ThisBarOpen())

 

This is a simple entry condition.  It has 15 years of OOS data with only a few loosing years.I currently play around with different exit conditions which i find gives interesting results.

 

This is a classic pattern, very robust. Can expand on it with some good money management (stops/trailing/exits etc). Spread it across coffee, sugar, oil, nat gas, gold, cattle, S&P, couple FX Pairs, and bonds and you will have a damn nice portfolio thats really robust from just one strategy.

Personally I wouldn’t be willing to trade such a system with real money.  Drawdown/stagnation periods that last years are just not bearable, not for me anyway.  After a few months you’d be questioning whether the strategy really works and I would probably pull the plug.  It’s human nature.

 

Out of interest what is the Return/DD figure?

I assume we’re looking at a SQ backtest on a single asset. Take that system, spread it across 10 low correlated assets then merge all those backtests into Q.A.
I doubt there will be any losing years and very little stagnation and this is a simple trend following system….
Add a high probability mean reversion to complement it and again add that to 10 low correlated assets…

People are crazy, they want 1 system on 1 forex pair with perfect equity curve. :rolleyes:

I assume we’re looking at a SQ backtest on a single asset. Take that system, spread it across 10 low correlated assets then merge all those backtests into Q.A.
I doubt there will be any losing years and very little stagnation and this is a simple trend following system….
Add a high probability mean reversion to complement it and again add that to 10 low correlated assets…

People are crazy, they want 1 system on 1 forex pair with perfect equity curve. :rolleyes:

I agree fully, However to create systems that you can afford to trade is the main reason we are having a hard time. If i had 200k and did not care if i had a 30 % drawdown Algo trading futures would be no brainer. Look at Kevin Davey took him close to 20 year’s to figure it out and the biggest reason for that was as he mentioned because he was underfunded.And since that nerdy looking friendly nice guy could do it so can We.  😀   

I assume we’re looking at a SQ backtest on a single asset. Take that system, spread it across 10 low correlated assets then merge all those backtests into Q.A.
I doubt there will be any losing years and very little stagnation and this is a simple trend following system….
Add a high probability mean reversion to complement it and again add that to 10 low correlated assets…

People are crazy, they want 1 system on 1 forex pair with perfect equity curve. :rolleyes:

Take 10 assets being traded with 10% OPEN drawdown each and your looking at a margin call.  You can use SQ and QA all you like to find these great portfolios but nothing in either of these tools shows the open trade drawdown and the margin you will require to cover it, especially if you think 10 systems on 10 assets will work.

Granted if you’ve got 500K to trade with and 500:1 leverage on that you might be okay….

You’re projecting your own trade size which is clearly too big and a recipe for disaster.

How would I have an insanely stupid 10% OPEN DD on a single asset (nevermind 10% openDD on 10 non-correlated assets that all happened to have simultaneous signals for losing trades open, what?) when I risk 1% per trade like every single other professional trader does? No, I don’t have 500:1 leverage on some back-ally dogcrap OTC broker selling fake futures contracts. This is FX kiddie thinking. Thats illegal for US citizens. I trade futures on the real american exchanges.

Your argument is stupid. Were you drunk when you commented that revealing how much you risk which shows me your (discretionary?) trading has 100% chance of eventual implosion. This is very telling. I’m still wondering how you think its so easy to have a 10% open DD on a single trade. It must be from a lot of experience.

You’re projecting your own trade size which is clearly too big and a recipe for disaster.

How would I have an insanely stupid 10% OPEN DD on a single asset (nevermind 10% openDD on 10 non-correlated assets that all happened to have simultaneous signals for losing trades open, what?) when I risk 1% per trade like every single other professional trader does? No, I don’t have 500:1 leverage on some back-ally dogcrap OTC broker selling fake futures contracts. This is FX kiddie thinking. Thats illegal for US citizens. I trade futures on the real american exchanges.

Your argument is stupid. Were you drunk when you commented that revealing how much you risk which shows me your (discretionary?) trading has 100% chance of eventual implosion. This is very telling. I’m still wondering how you think its so easy to have a 10% open DD on a single trade. It must be from a lot of experience.

Your usual approach to answering anything here I see. Good luck with your incredibly intelligent approach, I hope it brings a good return.

Just because it is daily strategies you do not need more money to trade it. Depends on the stops. I think discussed strategy had a 500 usd stop and then a break even stop after bar closed.

You use less contracts on higher timeframes because of wider stops, but timeframe is not relevant to my previous comment.

the point is that Mikeyc wants high winning rate and for this he needs huge SL and small TP. Thats why he has too big open loss. 

Some info from www. Striker.com. The best strategies right now is generic generated algos. Here is a link to the top 5 leaders MJ tradeing systems check their Development tab. ( looks familiar)  🙂

http://www.mjtradingsystems.com/our-automated-trading-systems/

http://www.striker.com/En0303_trading_systems_performance_ranking.php?webpageID=8&webmainID=3