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@CavaliereVerde you are a very good trader, not only for the comments that you express in this community everyday, and I enjoy with them, your darwins are very good.
We do not have to be in a hurry, because I am sure that in the medium term maintaining this performance, you will receive everything that you are planting here.
This is a market that is starting, and there are not many darwins with a history of more than 4 years, investors are looking at other things, over time will change. In the future it will be easier to make money investing here, the performance in the long term will be the most important… we have to continue working
Doesn’t that show good trading though on the investors side?
Imagine Darwins the same as an ETF, when they are on a run people buy and hold but during times of DD they generally sell then buy back at lower prices. Classical hedge funds you couldn’t do that as they had lockin’s but in my opinion selling during DD and buying back at lower prices should be considered the same as ETF trading and it shows good investor trading.
My humble opinion, you are a role model too for every Algo Trader, during this moment you haven’t changed nothing and this shows the confidence you have with the System and the way you respected your work and analysis posted. IMO the average don’t understand the way an Expert uses a characteristic of the market to have profit, the times this it will be less present, stagnation and the probability ratio of a disciplined system for the Long Run.
Thank you very much @CavaliereVerde, I remember perfectly that you apreciate FTT first in the topic of JGC, and after in your topic of your real portfolio.
I remember also that we have talked about edge IA’s, with timing and performance. It is true that the level of the Os/Cs, it is not so important because there are many strategies that result perjudiced from the beginning, but it is really important the evolution of the chart…
I attached the evolution of the Pf, Os and Cs of JGC. Do you see something special in the curve of Os, thinking that it suffers a big DD? I wait for your opinion… it will be a good exercise of the power of the study IA’s, and the necessity of re-optimitation or not…
Perhaps it is better if you send this two posts to JGC topic, until I create a new topic for FTT
Just my two cents contribution, I think that over interpretating metrics can add confusions about them.
Let us make an ex post analysis.
After a DD, what to say : there was a DD.
After a recovery, what to say : there was a good period.
A side effect of the EC shape is that it has a strong effect on La measurement.
During a bad period, you got less gain than losts. It’s the opposit during good period. Of course what matter is the average size, not the number, except if there is a positive correlation between number and average size (during bad period you got more losts AND bigger losts).
I think that La never change at all (may be am I wrong). It’s an artefact from the way of measurement witch create this effect of dependance from EC. The effect is strong because the strategy is balanced (66% gain). It is different from a strategy witch win 80% where La is poor, whatever good or bad period.
Yes, but the Os maintaining stable with the DD, means that the system was working and it was maintaining the edge. You can see below even the strategy was the 1st in Os during all the DD. Perhaps you remember that I shared in June several trades where the entry (Os) worked but not the Cs.
I have optimized the exit SL/TP from 2000. As SL and TP are constants, and we wanted long period, this difficults that the timing Cs be high. I would have to make variable the TP and SL, and/or optimized in a short period.
I have tried to find a robust and stable results during this long period, and as I said on 25th June (in the low of the chart).
In my opinion it is working like the backtest. The idea of this darwin is to try to maintain a TP and SL constant during a long period, suffering periods of stagnation/drawdown as we could be in the backtest that I shew.
With this idea we created FTT. Less period of optimization, more sets, and include mainly eurjpy to diversificate and descorrelate more…
I will explain more in the future in a new topic, but we have 3 sets of GBPUSD and 2 sets of EURJPY. In the sets are optimized more parameters than TP and SL. JGC uses only 1 set.
As you can see, the optimitazion works in the timing. We have maintained the Os stable, and FTT improves and stabilise the Cs. On the other hand, the return is more smooth, and the Performance Pf is worst, and more volatil.
As long as your forward results are consistent with backtests you don’t need to change anything, scores are just giving you a reason for drawdowns.
My method is more similar to the method you are using on FTT : shorter lookback and more adaptations.
With JGC it seems you found a universal parameterset, parameters don’t expire but the behavior is more difficult to endure.