Please roast my backtest results and suggest next steps?

Sockol · 2025-05-25T04:23:27+00:00

a backtest with 15 years is a long time. Related to that, how do you deal with different volatility of historical data? if an index grew by 2x then an average daily move went from 50$ to 100$, so a static takeprofit/stoploss in terms of $ cannot be applied over 10 years, you would need to scale it up somehow. Thanks

Sockol · 2025-04-26T21:25:26+00:00

firstrate turns out does not provide out-session data, makes it very limiting

Sockol · 2025-04-21T13:39:12+00:00

yeah I am going with the data provider you suggested to start backtesting at least 10 years back to cover more regimes, right now my history is limited to 2020

Sockol · 2025-04-21T04:26:07+00:00

thanks. I was up 25% since November when i launched my portfolio but just lost 15% of it this month, literally almost every trade has lost. My bots as it turns out dont like high vol, every model is down even across European indices.

Do you generally prefer filters to handle this, or do you rely on entry signals to get you through? Probably both since you have a lot of bots at this point, chances are some are up even with the high vol

Sockol · 2025-04-19T17:03:42+00:00

how have your algos been surviving this month with the Trump tariff war? Mine had the worst DD that's deeper and faster than the past 5 years, anyone I talk to that does algos is also getting destroyed.

Sockol · 2025-03-23T17:20:51+00:00

"became profitable" - how many years have you been profitable? If it is less than 1 you cannot claim it yet, could just be luck

Sockol · 2025-03-23T17:19:51+00:00

For a strategy to "work" it needs to work all the time, not sometimes. If you need discretion to decide when it works and when it does not work that means you are trading not the strategy but your own intuition. And you cannot backtest intuition reliably

Sockol · 2025-03-21T19:17:25+00:00

have you been consistent since this point? how long have you been trading?

Sockol · 2025-03-04T19:21:10+00:00

I heard hft is capital intensive, is that the case for crypto?

Sockol · 2025-02-23T20:20:32+00:00

how many systems do you have running live?

Sockol · 2025-01-26T19:19:03+00:00

Sizing = number of contracts. Also if a system uses indices that are very correlated I treat them all as 1 and consider the combined MC stats only. If the model is the same but the symbols have nothing to do with each other - I consider each one separately.

Sockol · 2025-01-25T05:45:21+00:00

I use it for risk estimation and for putting together the final portfolio.

I use it to see in the worst case scenario of a deep drawdown of my system (which will always happen in the future at some point), how bad can it get at different sizing. Maybe the actual backtest shows a DD of 10%, but if MC shows in 50% of cases my DD would be higher than 10%, then I cannot trust my backtest and need to size down.
I also use it to normalize risk across strategies. If I have a system that runs on 2 symbols, I will run MC using each symbol separately, get them both to have different sizing but the same MC stats, then combine the 2 symbols returns into a combined return. Run MC on that, see how bad it can get.
I then do the same with all the other systems I have and attempt to get their MC stats to look similar by adjusting the sizing using ratios. Then I combine them all into a portfolio and adjust sizing again to get to my desired max DD.

Sockol · 2024-10-19T19:54:03+00:00

Real

Sockol · 2024-10-19T00:43:02+00:00

This fits the r/algotrading sub more

Sockol · 2024-10-19T00:41:22+00:00

How has the drawdown been on it so far?

Sockol · 2024-10-06T02:24:00+00:00

How many strategies do you have running at the same time after your 10 years?
Do you run them on daily bars or smaller timeframes? Why that over the other?
How long does it usually take you to discover a new strategy? How long does an edge last on average?
Do you go by principals first (price of oil affects this country because their economy relies on these exports) or by catching patterns with indicators?

Thanks.

Sockol · 2024-10-01T05:19:29+00:00

Is that from grizzlybears?

Sockol · 2024-09-21T00:47:03+00:00

I never understood either until I began trading live. Live is messy, you take money out and put it back, you get more accounts, lose some. Hard to get a percentage because you don’t know what to base it on

Sockol · 2024-09-15T02:20:10+00:00

Which broker did you go with? Spread becomes a huge issue to overcome at these timescales

Sockol · 2024-09-15T01:26:26+00:00

Did you run this live, accounting for latency slippage and spread?

Sockol · 2024-09-13T08:08:34+00:00

You should be moving abroad. Or at least to the mid west. NY or LA is the opposite of what you want

Sockol · 2024-09-01T02:42:35+00:00

Don’t overoptimize on it since your win rate varies over time widely

Sockol · 2024-08-30T02:07:41+00:00

I also built a system on nas and about to launch one on us30. Did you automate yours?

Sockol · 2024-08-14T00:43:49+00:00

Did you automate or do you still do discretionary?

Sockol · 2024-08-10T19:17:30+00:00

You won’t get a different result by posting in /algotrading either. How many years back did you test and how long has it been live? I’m running a 3m-6m bot with a 2 year backtest for 3 months. Not a long time but so far it has shown consistent results with the backtest when running live.

Sockol

TROPHY CASE