These are the results of 5 systems we have developed and currently run. The goal of this strategy was to develop a smooth and consistent profit curve by running uncorrelated pairs and products. To prevent curve fitting they have been tested on 30, 50, 60 and 90 minutes. Each system independently has been proven profitable on all these time frames.
A key part of successful algo design is not the % return since this is a function of capital employed - one should focus on: a) profit factor b) trade profit / spread (commission) costs and c) frequency of trades. Together, these systems have an average profit factor of about 1.6 and a profit multiple on the spread of about 10 times. They also sport profitable returns across the other time frames with between 1500 to 2500 trades for each individual product.
The percentage returns on the results below assumed maximum capital being employed. This is not possible in real time of course. However, when all these systems run concurrently, use of capital is optimized and the drawdown across the system will be reduced considerably.
*Past returns are not indicative of future returns.
Sobering Facts about Trading and why you should consider automated trading
About 80% of people who set out to trade actively will blow most of their account within the first year. For the most part, this is due to two main reasons:
You are competing against machines which are faster, and sorry to say, usually smarter.
The machines account for over 85% of the volume on major stock and futures exchanges. Still, people will continue to try their luck as point and click day-traders. If you’re not a dreamer, and you are highly motivated and can focus for at least 3-4 hours a day, you can succeed. But most people don’t have that luxury of time, nor the personality traits necessary to win over the long term.
Adam Jagiellowicz is co-founder of Online Finance Academy. He teaches the Master in Trading Course and develops trading algorithms for forex and commodity markets.
If you represent a financial institution seeking advanced, financial market knowledge for your employees, or if you are an independent trader looking to truly master the financial markets, we have the solution for you.