My algo trading daily performance

[skamal7]

Hi Mech trader,
1.In backtesting, whats the accuracy of ur trades(winning/losing ratio)?
2. U seem to have around 20-30 stocks in ur watchlist.. what kinda money management principle u apply? SInce in algo if ur conditions gets satisfied even10 stocks can come per day. So curious to know abt how u manage funds?
3. From ur backtesting and going live now frankly how much % of the profit is eaten up by slippage (Rough figure is fine)
4. What's your drawdown while backtesting?
AM sorry if the above questions are answered by you already

 

[mechtrader]

Hi Mech trader,
1.In backtesting, whats the accuracy of ur trades(winning/losing ratio)?
2. U seem to have around 20-30 stocks in ur watchlist.. what kinda money management principle u apply? SInce in algo if ur conditions gets satisfied even10 stocks can come per day. So curious to know abt how u manage funds?
3. From ur backtesting and going live now frankly how much % of the profit is eaten up by slippage (Rough figure is fine)
4. What's your drawdown while backtesting?
AM sorry if the above questions are answered by you already

Hi skamal,

1. winning/losing ratio is 45-55. Yes winners are less as this system is trend following with no targets.
2. Correct, I keep a watchlist of 15 stocks. While backtesting a portfolio in amibroker there is a option to set max open positions in a portfolio. I keep max open positions as 10. Even when I backtested with max open positons as 15 there were hardly 50 more trades in around 4 years time. So, I conclude that I can apply my money management keeping 10 positions in mind.
3. This one is tough to answer. I have been testing different scenarios to reduce the slippage, but I admit that I am not yet successful at it. I cant really comment that how much is the difference as I mix discretion on some days. I will say that slippage of Rs 200 per completed trade is a conservative estimate.
4. Look I dont really look at drawdown much. I believe more so in CAR/MDD.
I believe that a realized ratio of more than 3 is considered very good for an intraday system.

Thanks,
MT

 

[mechtrader]

Thanks,
MT

 

[mechtrader]

Hello MT,

Thanks for this thread. Dose your system also performs equally good on MCX?

I have tested on commodity market as I didnot have sufficient data for it.

Thanks,
MT

 

[DSM]

Hi MechTrader,

Just a view. Would capping loss in a particular script to say a certain amount, or as a % (say 50% or 60%) of average winners improve the performance of the system?

Thanks,
MT

 

[mechtrader]

Hi MechTrader,

Just a view. Would capping loss in a particular script to say a certain amount, or as a % (say 50% or 60%) of average winners improve the performance of the system?

Thanks for the suggestion DSM, pls keep them coming.
I am afraid that it doesnt improve the performance as I have already tried optimizing the stop loss and it doesnt give a consistent output. Better combinations are there for sure but I feel that would be a curve fit.

Thanks,
MT

 

[bpr]

Hi MT,

Do you have to go through any exchange approval process for your strategy before going live?

 

[mechtrader]

Hi MT,

Do you have to go through any exchange approval process for your strategy before going live?

No approvals.

Thanks,
MT

 

[mechtrader]

Thanks,
MT

 

[mechtrader]

Thanks,
MT