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coensio
(@coensio)
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Joined: 9 months ago
Posts: 167
12/04/2019 1:51 pm  

In this topic I will document my little Dukascopy portfolio, which is built using my own (proprietary) SQX workflow. The goal is to grow a relatively small €1000 account, by taking a little bit higher but still an acceptable risk (money wise, not %-wise). Since I am still building and testing new strategies everyday, some of the strategies in this portfolio may be replaced over time in order to:

  • reduce the maximum historical DD and so, to maximize Ret/DD figure.
  • decrease strategy to strategy correlation, currently <0.5
  • optimize total yearly profit
  • reduce number of stagnation days

 

The portfolio shows below, is based on 8 ''non-correlated" strategies on EURUSD and XAUUSD pairs. Each of portfolio strategies passed extensive robustness testing including the WFM test as an additional confirmation. All strategies are short-term trend following/momentum systems. OOS periods as used during strategy testing:

2003-2005; 2005-2011 (including financial crisis in year 2007); 2018-2019

Portfolio capitalization is quite risky here and it is calculated/estimated using the following assumptions:

  • There will be no significant balance (equity drop) in the begin phase of trading. Hereby I will monitor the performance of the portfolio and possibly add money in case of a significant DD during first weeks of trading. The goal is to keep the equity above €1000 and so keep 'Margin Level' above 100%.
  • LotSize sum of all opened orders (at the same time) +taking into account the strategy correlation number, w.c. estimation = 0.3LotSize sum (sum of all time-overlapping orders)
  • Used Margin, with leverage of 1:100 and 0.3LotSize = €300.
  • Maximum equity DrawDown, + taking into account the historical DD, but also sum of the worst case MAE figures, w.c. equity drop = €600, thus w.c. equity = €400
  • Worst case Margin Level = 100x Equity / Used Margin => 100x €400/€300 = 133%
  • Margin Level of 133% is just above margin call level of 100% (stop out level lies at 50%).
  • Conclusion: without adding additional money to my €1000 account the portfolio should survive an equity drop of  -€600 with a maximum sum of 0.3Lot (all simultaneously opened orders).
This topic was modified 5 months ago 16 times by coensio

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coensio
(@coensio)
Member Admin
Joined: 9 months ago
Posts: 167
14/04/2019 9:50 am  

Do you want to get similar strategies???

Please support my work. Help me to find them all!

Read more here:

https://www.coensio.com/forum/private-collaboration/start-of-collaboration/

This post was modified 2 months ago by coensio

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coensio
(@coensio)
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Joined: 9 months ago
Posts: 167
14/04/2019 9:50 am  

RESERVED.


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coensio
(@coensio)
Member Admin
Joined: 9 months ago
Posts: 167
14/04/2019 9:50 am  

RESERVED.


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hankeys
(@hankeys)
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Joined: 8 months ago
Posts: 6
28/05/2019 2:38 pm  

any news about your portfolio? did you already trading it, whats the results so far?


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coensio
(@coensio)
Member Admin
Joined: 9 months ago
Posts: 167
28/05/2019 5:33 pm  

So far (after few weeks) it still looks OK, all EURUSD systems are in profit, EURJPY and XAUUSD are in DD, max DD so far is -7%. No reason to worry about... my leverage does not allow me to add many more systems, my approach will be replacing systems if any of them will fail.

 

This post was modified 4 months ago by coensio

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BigStackBully
(@bigstackbully)
New Member
Joined: 3 months ago
Posts: 1
10/06/2019 5:56 am  

Strategies on live account somewhere?

Everything else is hobby  😉

 

 

This post was modified 3 months ago 2 times by BigStackBully

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coensio
(@coensio)
Member Admin
Joined: 9 months ago
Posts: 167
10/06/2019 7:30 am  
Posted by: BigStackBully

Strategies on live account somewhere?

Everything else is hobby  😉

 

 

To be clear: everything we do here is a hobby...nobody here has $100.000 spare, to trade with 😉

However, all strategies are now "incubating" on my small $1000 Dukascopy live account. So far portfolio hovers around breakeven line with +9%/-9%, profit/DD. Which is totally 'normal' when I look at the historical performance...but in the end I hope to see long term gains...otherwise this exercise will be pointless and building portfolio based only on few selected strategies will be proven useless....

 


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BladeRunner
(@bladerunner)
Active Member Customer
Joined: 9 months ago
Posts: 19
24/06/2019 11:54 am  

Hi Coensio,

I'm trying to resume my contribution to this forum. I'm still in the phase trying to migrate from SQ 3.82 to SQX...not totally easy, need to dedicate more time to understand the subtleties of the tool. 

I look at your portfolio equity curve above and I notice the same effect I've been noticing in my own trials. The equity curve after 2008 (at this moment I practically don't use data before 07.2009 - we can discuss why I think it's more of a liability than an asset) seems pretty steady but there's a clear inflection/dampening in 2018 and 2019.. What I've observed is that this leads then to poor results and I would say even problems in getting the portfolio to be profitable in current market conditions. I've discussed this a lot with a partner I am working with and he's of the opinion that current market conditions are unparalleled due to the current stage of quantitative easing we are now experiencing around main central banks (meaning that QE had several stages and now we are in different situation as there as been some QT in the US while other CBs continue to QE, this would be 2018 and 2019). The change of equity curve slope in your chart above is not drastic but noticeable. Any ideas about this ? Have you developed any thoughts about this issue ?

Thanks!

 

 


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coensio
(@coensio)
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Joined: 9 months ago
Posts: 167
24/06/2019 12:18 pm  
Posted by: BladeRunner

Hi Coensio,

I'm trying to resume my contribution to this forum. I'm still in the phase trying to migrate from SQ 3.82 to SQX...not totally easy, need to dedicate more time to understand the subtleties of the tool. 

I look at your portfolio equity curve above and I notice the same effect I've been noticing in my own trials. The equity curve after 2008 (at this moment I practically don't use data before 07.2009 - we can discuss why I think it's more of a liability than an asset) seems pretty steady but there's a clear inflection/dampening in 2018 and 2019.. What I've observed is that this leads then to poor results and I would say even problems in getting the portfolio to be profitable in current market conditions. I've discussed this a lot with a partner I am working with and he's of the opinion that current market conditions are unparalleled due to the current stage of quantitative easing we are now experiencing around main central banks (meaning that QE had several stages and now we are in different situation as there as been some QT in the US while other CBs continue to QE, this would be 2018 and 2019). The change of equity curve slope in your chart above is not drastic but noticeable. Any ideas about this ? Have you developed any thoughts about this issue ?

Thanks!

 

 

Hi BladeRunner,

Yes this is a very very good point...you are not the first one observing this (just go and ask traders on SQ forum), we are all experiencing the same unfavorable market conditions....I spent many hours investigating this..basically what I see is a total stagnation on portfolio level. Since FX market is quite complex there are many reasons for this (Brexit, Trump wars etc..), but one conclusion I have made is: extreme drop of the volatility.

Most probably your systems are also based on breakout strategies, which strongly relay on sharp market movements...and we see ATR falling down in the last years...intra-day breakouts are not longer there...there is no short term price action... Long term trading (swing trading or mean reversion) is a very different cookie I have no experience with...(actually I do but only with manual trading on stocks)

My personal solution to overcome difficult years which I'm working out right now is: switching to different markets (e.g.: trading index futures). But this means new brokers, new trading rules etc...

Interesting read here:

https://www.dailyfx.com/forex/market_alert/2019/04/18/Collapsing-currency-volatility-across-forex-market-whats-next.html

 

P.S:  to be clear, there are still some strategies that show some positive upside in 2019, but as you said on portfolio level we are going flat...

Gr

Chris

This post was modified 3 months ago by coensio

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coensio
(@coensio)
Member Admin
Joined: 9 months ago
Posts: 167
24/06/2019 12:47 pm  

Below ATR chart EURUSD:


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BladeRunner
(@bladerunner)
Active Member Customer
Joined: 9 months ago
Posts: 19
24/06/2019 1:41 pm  

Thanks Chris. Yes, I've also approached that angle in my discussions with my working partner. The charts you posted (even clearer than the one in the article you kindly shared) places us, algorithmic traders, a real challenge as the value of BT with or without Robustness testing can be placed into question as the new current low volatility conditions are not matched in historical data. So we seem to be condemned to SQ developing with a flattening curve in the last 1.5 to 2 years or so and then underperform in real market conditions.

The reasons for this historically low volatility remain to be explained and I have little option than to agree with my partner when he suggests that the current central role of CBs placing "puts" everywhere in the market is disabling the market to function by its own and causing this complacency/low volatility situation that we have been observing.

Regarding your new approach, are you using also SQX for your index futures trading ?


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coensio
(@coensio)
Member Admin
Joined: 9 months ago
Posts: 167
24/06/2019 1:55 pm  

Maybe traders need to concentrate on different types of strategies that do perform well in a low volatility environment...in my opinion algo-trading is not dead just a little bit more challenging...

Currently I'm using a proprietary (3rd party) framework for futures, but in the end I will try to translate it and automate it using SQX....

 

 


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BladeRunner
(@bladerunner)
Active Member Customer
Joined: 9 months ago
Posts: 19
24/06/2019 2:43 pm  

Thanks again for coming back to me.

Yes, low volatility strategies (also using a proprietary tool) is exactly what my partner and I are concentrating on, but what I meant is that there is not enough data to develop/test etc with such low volatility as we have right now.

Actually one idea I have to SQX is to challenge the development team to add in a future SQ generation a kind of switching strategy function, i.e. the possibility to develop a "meta-strategy" that would switch to volatility (or other parameter) adapted sub-strategies in an automated fashion. In this model, instead of the objective to be to develop a portfolio robust enough to withstand (only by pure strategy diversification) diverse market conditions, the concept would be for each "meta-strategy" (that could be later collected in a portfolio or not) to switch to individualized sub-strategies, that had been previously developed/optimized for certain market conditions (e.g. the establish 3 or 4 ATR regions like you did in your chart above and for each have a strategy suited just for those operating conditions).

I know the SQ team have a lot on their plates already with SQX bug correction and what I refer above is a big step from what SQ is capable of doing right now, but do you think this would make any sense ?

In the end we are just individuals and it's already hard to follow through the complete workflow process, including detailed strategy performance monitoring, new strategy development for future replacements, strategy re-optimization etc. etc. etc. So an attempt to have a more dynamically adapted portfolio to different market conditions seems to make some sense to me, even if, as I referred above, the data of the current extreme low volatility is still scarce...


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coensio
(@coensio)
Member Admin
Joined: 9 months ago
Posts: 167
24/06/2019 3:00 pm  

This idea is called 'volatility bins' and is not new...however so far it was done on the strategy level not portfolio level.

You could easily make a strategy template with switch-condition like this one:

IF ATR(14) < Some value THEN TradingIsAllowed ELSE TradingIsDisabled

Then you could try to find strategies that operate well in low volatility environment..but yes indeed the data size and testing possibilities will be limited in this case...

 

 


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