#044: MY STUDENT'S STRATEGIES (CASE STUDY #15)
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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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#044: MY STUDENT'S STRATEGIES (CASE STUDY #15)

The strategy that I would like to present you today is a little special. It was created by Adaptrade Builder. What is Adaptrade Builder? A brief introduction for those who don’t know this program: It is a smart computer program that is using genetic programming to create and combine thousands of strategies in really short time. It creates strategies for you (including the codes) and you just need to say which ones are robust enough for the real live trading and which ones are just curve fitting.

Some of them can be quite interesting, like this one that was created for 10-year T-notes market:

 

  • Market:                                            10-year US T-notes (TY)

  • Time frame:                                    15-minute

  • Time template:                               7:20 - 14:00

  • Exit:                                                  stop-loss or at 14:00 exchange time                                                              (avg. winning trade +262 USD)

  • Stop-loss:                                        700 USD-only protective, barely hit                                                               (avg. losing trade -238 USD)

 

With this setup, the system has earned almost 45,000 USD profit in less than 10 years. That means average annual profit is over 4,500 USD. And the maximum drawdown is just 2,600 USD. There are some periods when the equity is going sideways, but it is part of every system and in this case, it is still on an acceptable level and it is always followed by a profitable period.

 

The system is long-biased, the total profit is almost 45,000 USD in 9.5 years, profit factor is 1.66 and 57.5% of all trades are profitable. The worst drawdown was in 2013 - 2,640 USD.

Data that were used for building this strategy are from years 2008-2011 and the fact that the strategy performs well also on the rest of the data (2007-2016) is one of robustness tests (just one of many).

 

Another robustness test that you can perform is how well the system performs in other time frames and other markets.

Let’s take a look at 5-Year T-Note: The equity is still rising, there is almost 3,000 USD drawdown, but with a little work, this system can be traded in this market as well.

 

In another, related market, 30-year T-Bond, we can see pretty much the same equity curve as above. We can also see quite a nice equity curve with acceptable drawdown that is not far from the tradeable condition. Don’t forget that this is still the same strategy, using the same parameters as the original strategy for 10-year T-notes.

Even though this system is computer-generated, it can still bring you nice profits. You just need to be able to find out which strategies are robust, which ones are not and will tend to fail.When you are lack of inspiration, when you don’t have any new, original and unique ideas, this is when Adaptrade Builder can help.

You can get a free 30-day demo by clicking on this link. And for the readers of my blog I have a special offer - you can get a lifetime Adaptrade Builder license with $600 discount. Just click on this link and during the checkout use discount code TOMNDSC.

 

You can also click here to learn more about the workflow I teach and start creating your own similar systems today.

 

Happy trading!

 

Tomas

 

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"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."

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