Portfolio Management.

Discussions about Money Management and Risk Control.
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sam123
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Portfolio Management.

Post by sam123 » Tue Oct 31, 2006 12:15 pm

Hello,

I have 7 forex trading systems I want to trade with mini-lots.
The maximum intraday drawdowns occurred in the past are : $2200, $2731, $2274, $1400, $1850, $1500, $1000. The Sum of all Drawdowns is : $12955.

Is this okay to trade all the systems from the same account with the Account Balance of $12955 (or $15000 rounding) which is the sum of all Drawdowns?

All systems approach the market in a different manner so the probability of all systems exceeding the drawdowns at the same is somewhat less. Please let me know a better approach or if you see any issues with this approach.

Thank you,
- sam123

BARLI
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Post by BARLI » Tue Oct 31, 2006 12:27 pm

whats a profit factor and Winning percentage? how much data you used when testing? was it eod or intra day?

sam123
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Post by sam123 » Tue Oct 31, 2006 3:40 pm

BARLI wrote:whats a profit factor and Winning percentage? how much data you used when testing? was it eod or intra day?
Hi BARLI,
Here's the details.
The first four systems trade daily charts. The last 3 trade intraday (1 hour). The backtesting period for all the systems range from 4 to 6 years.

System 1 : The Profit factor / Win % / Drawdown are 6.58 / 82% / 2200
System 2 : The Profit factor / Win % / Drawdown are 3.27 / 30% / 2731
System 3 : The Profit factor / Win % / Drawdown are 2.96 / 36% / 2274
System 4 : The Profit factor / Win % / Drawdown are 4.46 / 68% / 1400
System 5 : The Profit factor / Win % / Drawdown are 1.88 / 81% / 1850
System 6 : The Profit factor / Win % / Drawdown are 3.51 / 68% / 1500
System 7 : The Profit factor / Win % / Drawdown are 4.47 / 87% / 1000

I forgot to ask in my first post about the risk managaement.
I am particularly inclined towards Fixed fractional MM because it is somewhat conservative.

Should I apply the Fixed fractional M.M to the individual systems or to all systems based on the account balance i.e, regardless of the performace of individual systems? What Delta should I use in both situations?

Hope my questions make sense and please let me know if you need more information.

Thank you,
- sam123

BARLI
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Post by BARLI » Tue Oct 31, 2006 3:54 pm

Sam, 7-th system
System 7 : The Profit factor / Win % / Drawdown are 4.47 / 87% / 1000


and first one as well... I suppose it peeks. what testing software do you use? Note , that if you'd trade knowing tomorrow's close and would eneter at the market you'd still have a 89% Win percentage (systems frequency - everyday off the eod data). How often do your systems trade?

sam123
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Post by sam123 » Tue Oct 31, 2006 4:42 pm

BARLI wrote:Sam, 7-th system
System 7 : The Profit factor / Win % / Drawdown are 4.47 / 87% / 1000


and first one as well... I suppose it peeks. what testing software do you use? Note , that if you'd trade knowing tomorrow's close and would eneter at the market you'd still have a 89% Win percentage (systems frequency - everyday off the eod data). How often do your systems trade?
System 1 (Daily charts) generated 51 trades (27 Long, 24 Short) in the last 5 years.
System 7 (1 hour charts) generated 178 trades (72 Long, 106 Short) in the last 4 years.

Trades on System 1,2,3,4 lasts from days to weeks to months.
Trades on System 5,6,7 lasts from days to weeks.

I backtested the systems in Tradestation. I have been forward testing these systems for the last 3 months sending the signals in real time to Forex broker (Demo account) from Tradestation. I have experienced a drawdown of $2000 (all systems combined) and am up $2500 currently.

BARLI
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Post by BARLI » Tue Oct 31, 2006 4:45 pm

51 trades in 5 years thats 10 trades a year or 1 trade a month, I suppose you optimized it, try running with different parameters, over optimization is dangerous :wink:

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Post by BARLI » Tue Oct 31, 2006 6:31 pm

Actually, real peeking is 100% Winning percentage, but its REALLY peeking. One man, wrote a script which he called Upper Limit (Dr Koch's script ) and I dont think anyone could have a better peeking script. What he said is:
This is pure academic. It marks the upper limit of possible trading systems.
Generated to illustrate some points about profit distrubutions for the discussion How calculate Risk.
This system is designed to distort the profit distribution of an instrument as much as possible.

To trade this system you need a perfect clairvoyant, able to see about 17 hours into the future.

There is a small chance to improve this system, left as an excercise to the reader :)


Here are results of this script ("trading system") on Corn market 20 years EOD data.
In this example system starts with 10000$ capital and then trades same number of contracts: 29 contracts


Image
Image


Here's its code:


Code: Select all

// UpperLimit
// by DrKoch
// this is a somewhat academic exercise:
// best possible trading system if using a clairevoyant
var Bar: integer;
var C1: float;
var commission: float;

commission := 0.001; // IB's commission

C1 := PriceClose(1); // yesterday's close

for Bar := 2 to BarCount - 1 do
begin
  var O, H, L, C:float;
  O := PriceOpen(Bar);
  H := PriceHigh(Bar);
  L := PriceLow(Bar);
  C := PriceClose(Bar);

  // two overnight trades
  if O > C1 then begin
    if O / C1 > 1.0+commission then begin
      BuyAtClose(Bar-1, 'long: close->open');
      SellAtMarket(Bar, LastPosition, 'sell open');
      BuyAtClose(Bar-1, 'long: close->open');
      SellAtMarket(Bar, LastPosition, 'sell open');
    end;
  end else begin
    if C1 / O > 1.0+commission then begin
      ShortAtClose(Bar-1, 'short: close->open');
      CoverAtMarket(Bar, LastPosition, 'cover open');
      ShortAtClose(Bar-1, 'short: close->open');
      CoverAtMarket(Bar, LastPosition, 'cover open');
    end;
  end;

  // forenoon trade
  if (H/O > O/L) then begin
    if H/O > 1.0+commission then begin
      BuyAtMarket(Bar, 'long: open->high');
      SellAtLimit(Bar, H, LastPosition, 'sell high');
    end;
  end else begin
    if O/L > 1.0+commission then begin
      ShortAtMarket(Bar, 'short: open->Low');
      CoverAtLimit(Bar, L, LastPosition, 'cover low');
    end;
  end;

  // afternoon trade
  if (H/C > C/L) then begin
    if H/C > 1.0+commission then begin
      ShortAtLimit(Bar, H, 'short: high->close');
      CoverAtClose(Bar, LastPosition, 'cover close');
    end;
  end else begin
    if C/L > 1.0+commission then begin
      BuyAtLimit(Bar, L, 'long: low->close');
      SellAtClose(Bar, LastPosition, 'sell close');
    end;
  end;
  C1 := C; // yesterday's close
end;


BARLI
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Post by BARLI » Tue Oct 31, 2006 6:35 pm

Here's simpler looking ahead system

Code: Select all

{ This System takes advantage of future information!
  It buys and sells at the market open on the same bar
  that it examines closing price! }
var BAR: integer;
for Bar := 1 to BarCount - 1 do
begin
  if LastPositionActive then
  begin
    if PriceClose( Bar ) < PriceClose( Bar - 1 ) then
      SellAtMarket( Bar, LastPosition(), '');
  end
  else
  begin
    if PriceClose( Bar ) > PriceClose( Bar - 1 ) then
      BuyAtMarket( Bar, '' );
  end;
end;
Results

Image


Curve is about the same

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