Considerations for Auto Trading Systems

The algo above boosts rather impressive back-tested results! We could have geared it higher, but that would actually be counterproductive. This algo has not been optimized. We don't optimize because of the tendency for curve fitting when one does this. The success of this algo is the product of a lot of math and stats, and of course, trading logic. We are currently running it live and so far so good (it is profitable). Of course, one cannot expect real time results to be too similar. However, considering the probabilities, and the minimal use of conditions for a trade, we are confident this algo will be rather profitable. Check back with us soon and we will let you know the results. 

If you would like to learn how to become  an algo trader, contact us. We accept a limited number of serious students per year for private consultation. 

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.

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