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Forums>StrategyQuant>General Discussion>methods to decide when to remove a strategy from active portfolio

  • #255126 |
    Customer
    25 Posts

    ive started to use fx blue to track my strategies in my mt4 demo account as i test before i place on live account.

    what methods do others use to decide when to potentially remove from the active live account and maybe replace with new? and also look to place a robust strategy which has maybe been loosing on the demo account but begins to show signs of a profitable run?

    I realise this maybe a big area to explore but if some one could mention which techniques they use or point me in the right direction to where i can begin to read more and understand that would be great.

    one method which springs to mind would be to print off my data on fx blue and track each strategy with graphs on say excel. but with quant analyser im assuming this can be done much quicker?

    thanks in advance

     

     

    #255131
    Customer
    87 Posts

    This is actually a very good question (because yes, some strategies seem to ‘die’ after some time) and I do not think there is 1 proper way to approach this problem. Below just a few ideas:

    1. Remove your strategy when it reaches your maximum historical DD.

    2. Remove your strategy when it reaches your maximum historical Monte-Carlo simulated DD.

    3.  Same as 1 or 2, but do not remove, instead of removing just lower the position size and see if it will recover after some time. I have also seen people doing exactly opposite and instead of lowering the position size they increased it with a hope the worst case period is close to the end.

    4. Remove when your emotional ‘pain’ becomes too great ;)

    Note that in most cases strategies (TF>1H) can have a very long stagnation periods, even several months.

    I do personally track my results per strategy, as you said by plotting equity graphs per strategy.

    I hope it helps.

    Do you want to become a profitable trader? Join our free community to learn more about algo-trading:forum.coensio.com

    #255132
    ivan
    Participant
    129 Posts

    testing the strategies should be done on real money, cent accounts, not demo

    Timisoara, Romania
    3700X 3.6 Ghz 8 cores, 64GB RAM DDR4 3000Mhz, Samsung 970 EVO Plus M.2 NVMe

    #255137
    Customer
    358 Posts

    i am making new backtests for all of my strategies, using actual drawdown and EQ curve visual and quarterly i am building my real portfolios from scratch

    so i dont need to think about one strategy, i am thinking about the whole portfolio

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    #255148
    ivan
    Participant
    129 Posts

    personally, i dont have so many years in practical experience with EAs in general but from what i saw last year when i had the first EAs which passed the tests on real cent account, i would say this:

    EAs can have a peak performance (some of them in very favorable conditions) and all have a “cruising speed” which can be measured in several ways, pips/month or pips/trade. A decision must be made regarding the keeping or not in function, if at some point in time, the cruising performance starts to decrease. I guess that an EA must be deactivated when this decrease reaches a certain point or red line, unique to every EA, as a percentage of cruising performance.

    Pips/trade – doesn’t always tell the complete story in the sense that this number can remain the same but per month can have different values if there are fewer trades. You can have 3 or 6 trades in a month with the same performance. Also its almost irrelevant for comparison if one doesn’t specify the timeframe.

    Pips/month – probably more reliable but also problematic because we must take into account the holiday months in summer and winter. Best i think is pips/year.

    Timisoara, Romania
    3700X 3.6 Ghz 8 cores, 64GB RAM DDR4 3000Mhz, Samsung 970 EVO Plus M.2 NVMe

    #255154
    Customer
    55 Posts

    Kevin Davey and Rob Pardo I think both have chapters on this in one of their books each. Like Coensio implies, we should be looking at DD.

    they increased it with a hope the worst case period is close to the end.

    The extra risk makes this not worth doing.

    #255203
    Customer
    25 Posts

    many thanks

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