#011: MY STUDENT'S STRATEGIES (CASE STUDY #1)
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DISCLAIMER:  Futures trading systems and commodity trading bear a high degree of risk. People can and do lose money.
Hypothetical results have many inherent limitations. Past performance does not guarantee future results. 

 

ACTUAL RESULTS SHOULD BE VIEWED WITH CAUTION, BECAUSE PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.

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#011: MY STUDENT'S STRATEGIES (CASE STUDY #1)

After several years of teaching how to build automated trading strategies and how to trade them, I already have a lot of successful students. Some of them use the trading profits as an extra income, they buy a better car or go for a nice holiday. However, most of them trade because they want to quit their 9-5 job and do what they love - become full-time traders.

 

A couple of years back, some of them didn't know anything about trading. And yet, today they have their own portfolios, quit their jobs and travel the world. In order to show you what they have managed in a couple of years, I would like to present you some of their best strategies. If they have done it, you can, too.

 

For today, I have chosen a strategy by Antonin F., called Luke.

Here is the basic overview:

 

  • Market:                                            E-mini S&P MidCap 400 (EMD)

  • Main time frame (data1):             30-minute

  • Secondary time frame (data2):   daily

  • Time template:                              08:30-15:00 exchange time

  • Exit:                                                  stop-loss or at 15:00 exchange                                                                         time (avg. winning trade +492 USD)

  • Stop-loss:                                        500 USD (avg. losing trade -376 USD)

 

This breakout strategy has 3 entry conditions - on data1, on data2 and a time filter. The strategy was developed in 2014, it passed all robustness tests that I teach my clients, it trades both long and short, and the developer has been trading it live for over 2 years with constant profits.

 

This is the equity assembled from 10 Out-Of-Sample intervals (data that were not used for development of the strategy, the equity reflects only the unknown future and gives very realistic equity, not biased by overfitting or over-optimization). As you can see, all intervals are profitable:

 

 

In this table you can see the basic performance characteristics:

 

 

The drawdown 5,660 USD can be a little too high for some of the traders, but you need to see that in 2008, when the drawdown happened, the strategy had the 13,740 USD profit - that is more than twice as much as the drawdown.

 

By the end of each year, during the last 12 years’ period, the strategy was always profitable and the annual profit was between 2,000 and 19,630 USD with an average profit of 11,790 USD per year.

 

 

We are still talking about Out-Of-Sample data, real profits, this is not curve fitting.

 

And it gets even better - the system works not only in EMD market, it works also in other markets, such as S&P 500 (ES) or Russell 2000 (TF). The general profitability of the system with the same parameters also in other markets (the equity doesn't have to be perfect) proves that the system is really robust and stable - as these markets from the same market category (emini stock index futures) represent another form of an unpredictable future.

 

Here is the equity of the system in TF market, 30-minute time frame - without any optimization, using the same parameters as for EMD market:

 

 And this is how it looks in ES market (also 30-minute time frame):

 

 

Apparently, both equities are not perfect, but they are still profitable and with a little extra work you can trade also other markets and have a small portfolio to diversify and to manage your risk better. All this with just one system.

 

As you can see, in a couple of years you can become a pro-trader and live the life you have always dreamt of. I did it, many my students did it, you can do it, too. Never give up on your goals!

 

You can learn more about the workflow I teach, by clicking here to start creating your own similar systems today.

 

Happy trading!

 

Tomas

 

 

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"Tomas is one of the most creative traders I know. He is able to generate unique trading ideas and elegant solutions to system development challenges."

Andrew Swanscott, BetterSystemTrader.com

"Tomas has been a professional trader for more than a decade and I have had the privilege of monitoring his accounts in action since 2006. His systems are performing as some of the best I have ever monitored and executed. I have been in the trading industry since 2002 and worked with many developers from all over the world. Tomas is definitely the one to consider."

Martin Lembak,

Systems Trading Expert,

MFRM, CAIA 

"Tomas is a professional trader, who for the last 10 years has specialized in developing trading systems. We have been tracking his trading systems for about 5 years and they generally show very robust, stable and above average performance. Striker is pleased to work with someone like him - a real professional with enthusiasm and deep knowledge of trading."

William Galwas, President Of Striker Securities, Inc 

"Personal consultation with Tom helped me to re-evaluate the complexity of my robustness testing and optimization processes. Plus, it has helped me with a specific plan on how to take things forward. It has given me some great ideas on how to avoid overfitting and make my testing more robust and provided tips on low hanging fruit in terms of the best markets to trade for intraday/short-term breakouts."

Craig Peters,

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"Tom's approach to Automated Trading Strategies design, tests of robustness and portfolio diversification is really unique. He has been a professional trader for many years and the depth of his understanding of Breakout strategies and Market Internals is hard to find elsewhere."

Antonin Fisher,

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"Tom´s systems and trading approach do really work and can bring good, stable and reasonable returns. I can highly recommend him as a teacher."

David Hruby,

Trader, Czech Republic 

"Tomas is truly an inspiring mentor and great trader with a positive life attitude. He has got very deep understanding of markets, breakout strategies, robustness testing procedures, and Market Internals."

Jan Lesanovsky,

Client, United Kingdom 

"As an experienced trader, I used Tomas´s consultation to get more clarity on best-practise robustness testing procedures, risk management, and portfolio management. He was quickly able to help me refine my current trading and system development approaches, and pointed me to really practical measures that I could implement immediately. I found Tomas to be not only extremely knowledgeable but very helpful and a great teacher. This has given me more confidence in developing robust strategies that work, and I would recommend his mentoring as extremely valuable for any systems trader."

Trevor West,

advanced trader, Australia 

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