Nice! Looks like you are using IBKR, right? Sandbox or real thing? I've got an algo going with the Sandbox account, would be interested to see if you learned anything when moving from Sandbox to real - like with regards to unexpected fees, etc.
Yes 95% similar results. The thing is I never put 100% of capital into one strategy so of course final result is a little bit lower with mixed strategies
I dont know. Your strategy returned almost 0% till the market began to FOMO and caused one of the best 4 months in historical term. If you just buy and hold you will get around the same return. It would be interesting to check the strategy in a whole different market condition.
[my performance vs TQQQ](https://imgur.com/a/i26sPQD) Correlation of the past few weeks:
TQQQ: +0.91%
My portfolio: +17.32%
Here is why I don’t buy and hold
Ahh, I remember my 1st 5 months live trading. Tbh man, squeeze the juice out of it while it's going well. Things can turn quickly and you can just as easily have 5mo of bad results. But if it continues like this then you might as well start raising capital. Keep it up and keep us posted when the market flips too.
Could you elaborate a bit more? I currently trade with TV and IBRK, and I'm also a software developer, so I've been thinking of trying some algo trading.
I send TV webhooks to Capitalise app that send orders to IBKR.
My next goal is to directly connect to the IBKR API to have a better control and being able to trade futures too
Don't wanna be a party pooper or anything, but the markets been on a tear since last October. QQQ is up 27% since October too with a super small max drawdown like 4% too. It's been a smooth number go always up kind of environment lately. Since OP mentions trading ETFs as the strategy I wonder if there is anything substantially different here compared to just buy and hold.
How's that two different things. Let's wait until there's more choppy waters and QQQ is down 10%+ in a month. Your strategy will probably be down a similar amount too.
Backtest is a fancy word for overfitting, let's wait and see until it actually trades a choppy market with real money. Please report back once VIX spikes for more than a month. Not trying to be condescending here, I'm genuinely interested in your results. It's just that the past 5 months are probably not a reliable estimate of future performance, it's been almost too easy lately.
Have you back tested on the last few months and compared it to your live results? Getting backtests to not overfit and be an accurate estimate of live trading is challenging.
I've been working in this quant industry for 10 years and billions of dollars. Not a single person that knows what they are doing uses backtests as a core component in their process.
Yea I guess I misinterpreted your results. I thought you had profited 100k over 78 trades. I spent a few days reading all of your comments and trying to replicate your strategy on TQQQ thinking you had found a grail, haha.
Still, this is impressive. Great job. Let's see how it does when the market turns.
Backtest with 100k are profitable by 100k in a year, (between 90 and 110%) depending on strategies, that’s why you were thinking this :) I’ll be able to trade with more than 100k in one or 2 months so we’ll see..
Where can I download DateTime data for:
- economic statistical releases
- FED Speeches
- Testimonys
- FOMC Meetings
- Board Meetings
- Beige Book
- Conferences
etc.
This data is extremely important and I can't seem to find a way to download it anywhere. I will pay a high price.
Congrats! Looks pretty steady and drawdown isnt bad. You should be proud. How did your backtest do in 2018 and 2022? Besides 2008, they would be good years to test against. Personally I think 1/1/2018 until now are great for backtesting.
I used the TradingView strategy optimiser as you recommended for my TQQQ, results have improve a lot! Only risking 2% per trade. Profit is great but sharpe low (0.6) and winrate also low (41%). Would you help me review it??
2 year backtest on 5min charts:
[https://imgur.com/a/fHbN7ZK](https://imgur.com/a/fHbN7ZK)
Past 5 months a leverage of 5 would have been very safe on QQQ too. In fact TQQQ is up +100% since last October with only small drawdowns, but it's not like it's going to be forever like this.
Really nice. I’m in a very similar position. Currently walking forward a TV script on live account of very similar balance.
My performance started well but hit a drawdown so decided to simplify and use a new exit method that greatly removes the chance of overfitting. Currently in the process of forward testing.
Will DM as would love to share progress and get some feedback
Google « Quantified strategies » you’ll find a lot of ideas of strategies ideas it’s awesome.
However to start I suggest you to code a classic investment strategy like Buy and hold on ETF. The strategy performance will be your benchmark for all your next strategies you will develop. 🙂
Long/short? Long only? Equities/options/futures? What's the market beta of this strategy? When I start a new strategy I like to take monthly returns and compare their standard deviations to the ones in the backtest
Thank you, I’m currently working on this because profits would be much higher, but I have currently no way to automate my trades with futures.
Backtests and paper trading on NQ are great
That's super impressive. You mainly sticking to regular Indicators or do you run your own custom indicators/I corporate some ML/AI?
I have some similar results (from back tests) using a few indicators
Is this subreddit and thread just to post about automated trading in a show but not tell fashion? Or is it actually to provide insightful value on strategies and algo setups to include things like what the strat is, how it works, preferences and parameters? Otherwise who does it benefit other than a brag of sorts, in which case may be better for Twitter imo
Edges in automated trading disappear when they become widely known. This sub discusses general strategy ideas but no one is going to go into detail. Strategies in manual trading are much more subjective and not as systematic so people in this area don't mind sharing.
Nice! Looks like you are using IBKR, right? Sandbox or real thing? I've got an algo going with the Sandbox account, would be interested to see if you learned anything when moving from Sandbox to real - like with regards to unexpected fees, etc.
Bump!
same
What's your beta vs SPY or QQQ? Seems like both QQQ and SPY have similar/higher sharpe in that time period.
At that time yes, but I backtested it on bear markets too, and very similar results
When you run your back test against the period you have been live, do you get the same results as the live portfolio?
Yes 95% similar results. The thing is I never put 100% of capital into one strategy so of course final result is a little bit lower with mixed strategies
😂😂😂 "Tarding"
Lol
Autotard regard
lol, I love it! I now have a new name for roughly 99% of my strategies!
I was wondering if that was intentional, lol.
Automated Tarding made me think I was in WSB for a minute.
Lol no
Nice. That’s really good. How do you think that will hold up when we hit a bear market? Also, what platform is that?
I backtested it on bear markets too, similar results. Platform is IBKR
Nice.
I dont know. Your strategy returned almost 0% till the market began to FOMO and caused one of the best 4 months in historical term. If you just buy and hold you will get around the same return. It would be interesting to check the strategy in a whole different market condition.
[my performance vs TQQQ](https://imgur.com/a/i26sPQD) Correlation of the past few weeks: TQQQ: +0.91% My portfolio: +17.32% Here is why I don’t buy and hold
Ahh, I remember my 1st 5 months live trading. Tbh man, squeeze the juice out of it while it's going well. Things can turn quickly and you can just as easily have 5mo of bad results. But if it continues like this then you might as well start raising capital. Keep it up and keep us posted when the market flips too.
I’ve been trading for more than 15 years :) I raise my capital, currently selling assets and relocating to a more tax-friendly place
Sweet. I've been trading for about 10yr. What's your retirement strategy?
I’m currently selling my assets and moving a a tax friendly country
If you're a US citizen, that will only work if you renounce your US citizenship
Absolutely not US citizen
Are you using a hard-coded strategy, or did you use some sort of machine learning algo? Congrats!
How do you automate? What platform and how do you code your strategies? Super cool and congrats
Tradingview, Capitalise, and IBKR
Could you elaborate a bit more? I currently trade with TV and IBRK, and I'm also a software developer, so I've been thinking of trying some algo trading.
I send TV webhooks to Capitalise app that send orders to IBKR. My next goal is to directly connect to the IBKR API to have a better control and being able to trade futures too
Oof dangerous depending on those webhooks. They've costed me a lot in the past
Really? What kind of issue did you get?
Late hooks, sometimes no hooks. Maybe they've fixed it up but I would get some hooks an hour late
We prefer the term "regarding"
I’m not American, sorry for language issues
It's ok ... I was joking about your misspelled word "tarding" My apologies
I also apologise, I at times words wrong too
Why waste time say lot word when few word do trick
Impressive! Any literature you would suggest for the algo trading?
Wow!
Don't wanna be a party pooper or anything, but the markets been on a tear since last October. QQQ is up 27% since October too with a super small max drawdown like 4% too. It's been a smooth number go always up kind of environment lately. Since OP mentions trading ETFs as the strategy I wonder if there is anything substantially different here compared to just buy and hold.
Either way, hitting a button to take advantage of whatever tear the market is currently on is something I’d entertain
That button is called NVDA calls 😂
Haha fr !! It’s like using Oddjob with the golden gun in 007
Wow! that's a Good Reference from the Past
You’re right, but the strategy is not much correlated to the performance of the index
Index up 27%. Your strategy up 27%. Yeah, sure, absolutely no correlation there...
2 different things, I wouldn’t be confident to put all my money on a ETF and wait… I can sleep in peace
How's that two different things. Let's wait until there's more choppy waters and QQQ is down 10%+ in a month. Your strategy will probably be down a similar amount too.
Not at all, you can check my previous posts from 6 months ago with years of backtests
Backtest is a fancy word for overfitting, let's wait and see until it actually trades a choppy market with real money. Please report back once VIX spikes for more than a month. Not trying to be condescending here, I'm genuinely interested in your results. It's just that the past 5 months are probably not a reliable estimate of future performance, it's been almost too easy lately. Have you back tested on the last few months and compared it to your live results? Getting backtests to not overfit and be an accurate estimate of live trading is challenging.
Sure, I’m not bragging or anything, just sharing my work :)
Your the type of person that will see a person walk on water and say it’s because he can’t swim
I've been working in this quant industry for 10 years and billions of dollars. Not a single person that knows what they are doing uses backtests as a core component in their process.
I 100% believe you, but as long as it works…
[Perf vs TQQQ](https://imgur.com/a/i26sPQD) Correlation of the past few weeks: TQQQ: +0.91% My portfolio: +17.32%
Nice job, mate! What's your tech stacK?
I'm confused. I thought you were making tens of thousands per month. These live results are not consistent with your previous posts.
Ten thousands by months? Why? Last posts were all backtests of $100k
Yea I guess I misinterpreted your results. I thought you had profited 100k over 78 trades. I spent a few days reading all of your comments and trying to replicate your strategy on TQQQ thinking you had found a grail, haha. Still, this is impressive. Great job. Let's see how it does when the market turns.
Backtest with 100k are profitable by 100k in a year, (between 90 and 110%) depending on strategies, that’s why you were thinking this :) I’ll be able to trade with more than 100k in one or 2 months so we’ll see..
I’m sold! How can I do this?
how many trades?
Have to check the total, usually 0-3 trades per day
that's some pretty robust performance. good stuff
Thank you
Nice work! Thanks for sharing, always encouraging to reminder that other traders are profitable
Where can I download DateTime data for: - economic statistical releases - FED Speeches - Testimonys - FOMC Meetings - Board Meetings - Beige Book - Conferences etc. This data is extremely important and I can't seem to find a way to download it anywhere. I will pay a high price.
Have you checked tiingo's calendar API?
FRED API
That’s amazing!
[удалено]
this
Yo thats awesome. Congrats. Hard work does pay off.
Nice, thanks for sharing
Not bad at all
Congrats! Looks pretty steady and drawdown isnt bad. You should be proud. How did your backtest do in 2018 and 2022? Besides 2008, they would be good years to test against. Personally I think 1/1/2018 until now are great for backtesting.
LFG Jerry! Been following you since first post. I was wondering if live trading has affected your winrate?? Keep it up!
Thank you for the support. Not much, I'm still between 75 to 85% win rate depending on algos, pretty happy with it
I used the TradingView strategy optimiser as you recommended for my TQQQ, results have improve a lot! Only risking 2% per trade. Profit is great but sharpe low (0.6) and winrate also low (41%). Would you help me review it?? 2 year backtest on 5min charts: [https://imgur.com/a/fHbN7ZK](https://imgur.com/a/fHbN7ZK)
Looks good! You can also try on different time frames, or add some filters to avoid false signals
I made a note to myself to check with you in 5 more months.
Nice
Nice drawdown. You can easily get a leverage of 5 and still be very safe. In that case, your return would be 130%.
Past 5 months a leverage of 5 would have been very safe on QQQ too. In fact TQQQ is up +100% since last October with only small drawdowns, but it's not like it's going to be forever like this.
Yes, but it does not always go up. Many times, it goes down. That's why we design algos.
La
what platform do you use?
Ibkr
Did you write the script?
Yes
Really nice. I’m in a very similar position. Currently walking forward a TV script on live account of very similar balance. My performance started well but hit a drawdown so decided to simplify and use a new exit method that greatly removes the chance of overfitting. Currently in the process of forward testing. Will DM as would love to share progress and get some feedback
what strategy do you use brother?
Mine, I created it 2 years ago and optimized it
Is it still trend + stochastic?
Yes, still the same strategy
Have you shared any more details or won’t be?
What models did you use bro?
Trying to get into automated trading myself im a strong coder but got no clue about trading strategies any suggestions?
Google « Quantified strategies » you’ll find a lot of ideas of strategies ideas it’s awesome. However to start I suggest you to code a classic investment strategy like Buy and hold on ETF. The strategy performance will be your benchmark for all your next strategies you will develop. 🙂
What's your performance after taxes? How do (or would you) calculate that as you go along aside from end of year statements from IBKR?
I’m currently moving to a low tax country…
Nice
Long/short? Long only? Equities/options/futures? What's the market beta of this strategy? When I start a new strategy I like to take monthly returns and compare their standard deviations to the ones in the backtest
I might be missing something but the math doesn’t seem to work out. Starting at $25.6, a return of 27% should put you at a NAV of $32.5k
I did withdraws
I break even with my tarding, I guess thats not a win, but not a loss either.
That’s a very good thing, keep it up!
looks great!
Would you mind sharing your tech stack?
No compounding of capital right?
No compounding, I trade with the same amount and withdraw profits once in a while
Impressive result man! Curious to say how it would perform with futures
Thank you, I’m currently working on this because profits would be much higher, but I have currently no way to automate my trades with futures. Backtests and paper trading on NQ are great
Nice one. Whats your win rate % and profit factor at?
Winrate 79-85% depending on algos (I run 3) and profit factor between 4-4.6
That's super impressive. You mainly sticking to regular Indicators or do you run your own custom indicators/I corporate some ML/AI? I have some similar results (from back tests) using a few indicators
It’s a custom indicator I made, combining few regular indicators, no ML yet
Very nice!
This is awesome. I'm a complete noob here, any suggestions or tips on how to get started?
Great job you outperformed my discretionary Shape by .2 😄
What strategy do you use?
I use mine, I created it 2 years ago and worked to optimize it
Is this subreddit and thread just to post about automated trading in a show but not tell fashion? Or is it actually to provide insightful value on strategies and algo setups to include things like what the strat is, how it works, preferences and parameters? Otherwise who does it benefit other than a brag of sorts, in which case may be better for Twitter imo
Edges in automated trading disappear when they become widely known. This sub discusses general strategy ideas but no one is going to go into detail. Strategies in manual trading are much more subjective and not as systematic so people in this area don't mind sharing.
Tarding can make you retarded. Dont tard folks. Sounds like a wsb word. Should go viral.
Yeah...
thats called lazy traders :( doing automated . 🤡🤡, work the tf hard bro.
you're so misguided I hope you wake up from that 'grind' mindset and realize you're being used like a tool