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ALN - clonex

Dear Darwinex Community,

firstly I would like to thank Darwinex and the whole community for such a fantastic project. Please let mo introduce you my ALN Strategy and few facts about the background and the way it works.

Who I am / About me

My name is Ewan, I am 35 years old and I have started doing in trading in 2006. I have 5 years of professional trading experience as the Futures trader in CE company connected to MF GLOBAL. Algo trading has been working more intensely since 2011.

Strategy ALN

The strategy consists of 11 algorithmic strategies trading EURUSD, USDJPY, GBPUSD, XAUUSD. Strategies trade mostly short-term momentum, to a lesser extent mean reversion.
Timeframes: 30 min / 60 min. Strategies enter with stop orders.
All positions are closed on Friday the latest and over the weekend we have a 0% exposure.
In 2018, ALN placed 4 times in the Darwinia competition.

Methodology and Workflow – ALN

We live in the world of overfitting. I use 31-year-old data and try to use as many OS tests as possible. I also give great emphasis to multi-market performance. I also do various standard types of robustness tests (eg. Monte Carlo).

Some strategies were developed in 2016, most of them in 2017 and two strategies in 2018.

I’m constantly comparing the real performance of strategies with their backtested performance, in case the deviation in performance occur the strategy may be shut down.

Also, on a monthly basis, I compare their real performance versus historical performance to uncover if the strategy is not losing the edge. In 2018 were two strategies discarded.

Risk / Money Management - ALN

Each position has a stop loss. As the exits, I use the trailing stops, profit targets or exit on Friday at 21:00.
The Trading is fully automated, but under constant control and in case of possible extremely volatile situations, trading can be turned off at any time (Brexit).

Goals and Plans for 2019 - ALN

Maintain good performance :joy: and gradually improve the composition of the strategy portfolio. The first goal is to develop two new strategies - GBPUSD and USDJPY. However, all changes will be made in order to maintain the risk of a whole trading stable. The maximum number of strategies that run at once is 15.

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WOW!
This is almost 20% in one week! :sunglasses:
I had to fasten my seatbelts!

Happy to be one of your 5 investors!

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Hi Cav. Thanks my algos have to manage open positions bcs friday but im checking stiuation all day. I did some bigger changes and i will write here more detailed post about it in 1-5 day here.

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Hi All,

As you can see my ALN had difficult months in 2019. Nothing new we all know this. Anyway, my analysis where I’m comparing mt4 backtest and real trading show me that few strategies had solid discrepancies. And some of them lost their edge ( 2 of them). All these funny things happen in two months. So I was facing these problems + responsibility for Darwinex clients money and Darwinia money. . .

It is no secret - I’m a user of StrategyQuant. I 've started working with this tool in mid-2014. I’ve learned a lot, earned a lot and lost a lot. If I would better describe my relationship and opinion about machine learning @integracore said it exactly:


It can be a powerful tool but is necessary to be very cautious in every step. Demon hides in details.

Why I’m saying this. The new version of StrategyQuant was released in December and I was not sleeping. Bought new “supermachine” join with another person in order to merge “forces”. The new version of SQ bring some brilliant tools to my arsenal. In the first round of “mining” I’ve used some of the new discoveries and I 've used best of old knowledge. The result is these NEW strategies in ALN. Premises remains: Im using as most Out of sample data as possible and aiming for multimarket performance. Risk stability remains the same: 0.01 lot / 1000 USD, all strategies closing at Friday ( but using PT and trailSL too) ; Markets: EU, GU, UJ, XAUUSD.
I 've released also another Darwin - SVB where I used more different strategies and different approach in portfolio composition.
These months we are working on bigger analyses. The goal is to make a significant step in my/our workflow. And the result should be new strategies in late 2019.

My plan is to make Darwinex trading for a living so I will fight till the end. Keep up this beautiful work @Darwinex I really love your work and feel like a part of a family. And thanks to all members here for really good forum.

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Hi,
I hope this is not too offtopic. I have only played with the trial of strategyquant for a short time so my experience with this tool is limited but I am not convinced that this approach can deliver a positive edge. Effectively you are bruteforcing your way to “robust” strategies.

I am not aware of a longterm profitable strategy developed with strategyquant (please correct me if I am wrong). There is a guy named geektrader who is running a portfolio called quantclimber for over 5 years and he has been presenting great looking backtests multiple times but when it comes to live trading none of his approaches performed until now.

I will follow your progress closely though and I wish you a lot of success. Do you plan on publishing a portfolio summary or backtest of the applied strategies?

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This is true also for traditional strategies that you can find on books.
Acheiving something robust is very difficult using both common sense and genetic generators.
Success depends on the experience and education of the quant.

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@KlondikeFX . I saw many nice looking SQ strats. presentations with linear equity which ended in history :smiley: and also I know people who are running with StrategyQuant good results. I can personally say that I’m trying to be a skeptic as much as possible.

Question is how to define long-term profitable strategy. I believe that it is possible to find. Some of them will lose their edge, some of them will work.

Thanks. Yes, I can do it. Pls, give me a few days and ill post some of them here.

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@CavaliereVerde closed all :wink: Now preparing for summer beers.

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Because trading and drinking is incompatible :sweat_smile::beers: ?

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PLF by @integracore2 ? :wink:

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Thanks for the mention @CavaliereVerde :slight_smile:

Yes, the exit strategy of PLF was indeed improved upon (and not changed since) via StrategyQuant, but the algorithm itself was developed through a process quite similar in essence to what’s described in this video:

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Hi All,

we have worked very hard especially June-September when we have been deep analyzing our workflow. We have discovered that many “old” paradimgs simply don’t work. Thankfully after many “bad days”, we found something which is statistically sound and prooved. The result is working on ALN from 1.11.2019 and on SVB from 1.12.2019.

On ALN are 10 strategies on EU,UY,GU
ON SVB are 15 strategies on EU,UY,GU,GY,EY - more riskier markets

I hope for some XAUUSD strat. but I bet it will be ready in 2 months.

Still I’m using simple money-management 0,1 lot per 10K;

After finishing Java SE 8 Programmer 1Z0-808 in late 2019 I’ve moved to Python and things I was dreaming for years I was able to complete in two months :smiley:
For 2020 we have many plans in the research area:
Money Management, trying to find better workflow, walk forward optimization, simple optimization, using ML in analysis, etc.
Thanks to my all investors for being with me. Without any egotripping, I have the best feeling from the work I’ve ever had.

Best

Clnx

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