Yamato
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Resuming from here:
http://www.trade2win.com/boards/trading-journals/85510-my-journal-2-a-184.html#post1347792
The next one to analyze is Reliant:
http://www.collective2.com/cgi-perl/system34835508
Which is totally unknown by comments and other information I could find. So let's read all we can find on collective2.
The chart looks good.
C2 score is good.
Last login is good.
Autotrade data is there, so that's good, too.
322 trades in 28 months is good as well. It trades about 3 times per week.
Statistics look good as well. Trade duration and profit good. Drawdown is good.
Let's read what it does:
The one thing I do not understand is why there are neither reviews nor comments.
Oh, wait, here's another synopsis which doesn't sound as good as the rest of it:
Let's look at the trades now.
There you go. End of day my ass:
hour / trades
9 111
10 55
11 34
12 36
13 30
14 25
15 27
16 4
Total 322
The trades might last a day, but they start, just like for my systems, throughout the day. So it's interesting.
Since time is EST, this means one third of all trades take place in the first half hour since the open, from 9.30 to 10.00 EST. Then they are spread out across the rest of the day in a decreasing number as the day unfolds.
Months are uneven, with 2 trades in some months and 45 in others. Interesting.
Trading about 200 products in 322 trades. This is totally unlike my systems.
57% of wins (I wonder if they're including costs this time).
What does this system do?
Let's see first when it exits, too. And how many long and short trades.
exit hour Total
9 37
10 7
11 2
12 9
13 4
14 4
15 241
16 18
Holy cow, it's not even true that it's an end of day system. However, it does exit mostly at the close.
Direction of trading:
Action Total
BUY 300
SELL 22
Ok, it's clear now. This system waits all day long for a situation of highly oversold stocks and then buys them, holding them for an average of 11 hours.
But hey look here, this says a lot: 322 trades and their duration. Some trades lasted hundreds of hours. Not good. Some trades lasted almost 2 months. This doesn't look "completely automated" to me.
hours duration
0 29
1 38
2 26
3 29
4 25
5 37
6 108
7 1
17 4
18 4
19 2
20 2
21 2
22 2
23 2
24 5
48 1
71 1
141 1
143 1
648 1
864 1
There's over one third of trades lasting less than 3 and a half hours. This doesn't sound like an "end of day trading system" to me. The fact that you keep some trades open for two months and the average turns out to be 11 hours doesn't make it an "end of day trading system".
If we get rid of those 4 trades lasting hundreds of hours, the average trade duration is 5 hours, and not 11 hours. This means: "intraday system".
Which is confirmed by this:
And when it does so, the average duration goes down to 4 hours.
Only problem is that in 29 cases out of 322, it doesn't do it. Once again, not a sign of being "completely automated".
This is teaching me something.
The system is obviously profitable and yet very simple and it clearly goes long on oversold stocks: "it considers historical volatility" means that if a stock has never fallen more than 3% the system will go long when it reaches that level or close. I can't use it because I can't monitor that many stocks. However, the concept of going long on oversold futures is nothing new to me, so I have not learned any methodology here (except having being reminded of the advantage of monitoring many stocks).
I have to focus on more complex systems.
On the other hand, I must keep this in mind: simple is good, many stocks is good. I can't do it right now because IB TWS and my excel workbook don't allow me to monitor all these stocks. It'd be a mess.
Let's move on.
Actually let's get done with all the stocks systems by checking them out quickly and seeing right away if they're trading hundreds of stocks, in which case I will discard them, like this one.
http://www.trade2win.com/boards/trading-journals/85510-my-journal-2-a-184.html#post1347792
The next one to analyze is Reliant:
http://www.collective2.com/cgi-perl/system34835508
Which is totally unknown by comments and other information I could find. So let's read all we can find on collective2.
The chart looks good.
The age is good.Instruments Mostly Stocks; (some futures)
Strategies Volatility trading, Market timing
System started 9/4/2008 (27 months ago)
System developer fingeek
Contact
(Last login to C2: 12/7/10 8:33)
C2 Score: 996
C2 score is good.
Last login is good.
Autotrade data is there, so that's good, too.
322 trades in 28 months is good as well. It trades about 3 times per week.
Statistics look good as well. Trade duration and profit good. Drawdown is good.
Let's read what it does:
Just perfect. It sounds exactly like my systems. Let's see what the trades are.I have been trading systems based on this algorithm for more than 6 years now, with quite good results.
This system requires a pattern day trading account with a minimum initial balance of $25000.
Results shown use 2:1 margin allowed by C2, but typically, a day trading account can use 4:1 margin. Results can be increased further 50-80% by using 4:1 margin.
Each trade is approximately 50% of the equity so, using 4:1 margin, maximum 8 trades are allowed. If you use 2:1 margin, then 4 trades are allowed.
Short signals can be ignored if your account does not permit shorting stocks (Most IRA accounts).
The system signal generation is completely automated. Signals are entered each day when the security moves within some distance towards the entry price.
IMPORTANT!!
System does not use stops, but always closes any open positions at the end of the day.
Risk can be controlled further by taking each position equal to 33% or even 25% of the equity.
The one thing I do not understand is why there are neither reviews nor comments.
Oh, wait, here's another synopsis which doesn't sound as good as the rest of it:
I don't like "end of day trading system".Reliant is an end of day trading system holding stocks for the day-trading session. It only trades highly liquid stocks. The limit price is calculated using a proprietary non-linear algorithm that considers historical volatility of the security. It is completely automated with minimal manual intervention.
Let's look at the trades now.
There you go. End of day my ass:
hour / trades
9 111
10 55
11 34
12 36
13 30
14 25
15 27
16 4
Total 322
The trades might last a day, but they start, just like for my systems, throughout the day. So it's interesting.
Since time is EST, this means one third of all trades take place in the first half hour since the open, from 9.30 to 10.00 EST. Then they are spread out across the rest of the day in a decreasing number as the day unfolds.
Months are uneven, with 2 trades in some months and 45 in others. Interesting.
Trading about 200 products in 322 trades. This is totally unlike my systems.
57% of wins (I wonder if they're including costs this time).
What does this system do?
Let's see first when it exits, too. And how many long and short trades.
exit hour Total
9 37
10 7
11 2
12 9
13 4
14 4
15 241
16 18
Holy cow, it's not even true that it's an end of day system. However, it does exit mostly at the close.
Direction of trading:
Action Total
BUY 300
SELL 22
Ok, it's clear now. This system waits all day long for a situation of highly oversold stocks and then buys them, holding them for an average of 11 hours.
But hey look here, this says a lot: 322 trades and their duration. Some trades lasted hundreds of hours. Not good. Some trades lasted almost 2 months. This doesn't look "completely automated" to me.
hours duration
0 29
1 38
2 26
3 29
4 25
5 37
6 108
7 1
17 4
18 4
19 2
20 2
21 2
22 2
23 2
24 5
48 1
71 1
141 1
143 1
648 1
864 1
There's over one third of trades lasting less than 3 and a half hours. This doesn't sound like an "end of day trading system" to me. The fact that you keep some trades open for two months and the average turns out to be 11 hours doesn't make it an "end of day trading system".
If we get rid of those 4 trades lasting hundreds of hours, the average trade duration is 5 hours, and not 11 hours. This means: "intraday system".
Which is confirmed by this:
System does not use stops, but always closes any open positions at the end of the day.
And when it does so, the average duration goes down to 4 hours.
Only problem is that in 29 cases out of 322, it doesn't do it. Once again, not a sign of being "completely automated".
This is teaching me something.
The system is obviously profitable and yet very simple and it clearly goes long on oversold stocks: "it considers historical volatility" means that if a stock has never fallen more than 3% the system will go long when it reaches that level or close. I can't use it because I can't monitor that many stocks. However, the concept of going long on oversold futures is nothing new to me, so I have not learned any methodology here (except having being reminded of the advantage of monitoring many stocks).
I have to focus on more complex systems.
On the other hand, I must keep this in mind: simple is good, many stocks is good. I can't do it right now because IB TWS and my excel workbook don't allow me to monitor all these stocks. It'd be a mess.
Let's move on.
Actually let's get done with all the stocks systems by checking them out quickly and seeing right away if they're trading hundreds of stocks, in which case I will discard them, like this one.
Last edited: