Funding for algo trade

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Funding for algo trade

posted Jun 18, 2015

I am posting my live trading data please comment or give valuable suggestion:
email: [email protected]
Apr 01, 2015 @ 19:00 - Apr 16, 2015 @ 01:29

Winning Rate 0.66
Losing Rate 0.34
Avg Profit/Trade $724.75
Avg Loss/Trade $504.31
Avg Return/Trade (%) 0.09
Sharpe Ratio 0.26
Total Volume Traded 90,800
Total Trades 64
Max Drawdown (%) 1.08
Max Drawdown Duration 1 day

Profit= 7053.97$

Apr 15, 2015 @ 19:00 - May 01, 2015 @ 01:29

Winning Rate 0.60
Losing Rate 0.40
Avg Profit/Trade $816.73
Avg Loss/Trade $749.86
Avg Return/Trade (%) 0.02
Sharpe Ratio 0.86
Total Volume Traded 166,800
Total Trades 120
Max Drawdown (%) 2.89
Max Drawdown Duration 1 day

profit = 4012$

May 01, 2015 @ 19:00 - May 15, 2015 @ 01:29

Winning Rate 0.67
Losing Rate 0.33
Avg Profit/Trade $1,020.21
Avg Loss/Trade $740.20
Avg Return/Trade (%) 0.10
Sharpe Ratio 0.77
Total Volume Traded 135,800
Total Trades 92
Max Drawdown (%) 2.59
Max Drawdown Duration 2 days
profit=12880.14$

May 18, 2015 @ 19:00 - Jun 02, 2015 @ 01:29

Winning Rate 0.68
Losing Rate 0.32
Avg Profit/Trade $745.18
Avg Loss/Trade $390.43
Avg Return/Trade (%) 0.12
Sharpe Ratio 2.40
Total Volume Traded 69,200
Total Trades 50
Max Drawdown (%) 1.25
Max Drawdown Duration 22 hours

Profit= 8868.76$

Jun 01, 2015 @ 19:00 - Jun 16, 2015 @ 01:29
Winning Rate 0.56
Losing Rate 0.44
Avg Profit/Trade $542.93
Avg Loss/Trade $682.99
Avg Return/Trade (%) -0.05
Sharpe Ratio 0.43
Total Volume Traded 101,900
Total Trades 72
Max Drawdown (%) 1.91
Max Drawdown Duration 1 day

Loss= 5042.15$

Investment = 1Mn USD
profit = 27772.72$
Duration = 2.5 months
Return on investment =2.77%
Total trades =398

2 responses

Simon Thornington

I don't really know what you hope to achieve by this. How much leverage is it using? 6bp profit average per trade, is this before or after transaction costs? It seems like a pretty slim edge.

These sorts of posts might be better put on elitetrader.com; they are pretty unusual for this community, where people care more about how the algos work than for bragging rights based on alleged live trading results.

Not sure what to make of that without the inner workings. But given that it was a pretty good run up until May 21, 2015, I would say that your algo might not work so well unless it is a great bull market. You might have to tighten up your buy signal with more bells and whistles.

What worked for me is to start with something simple, and use additional checks to fine-tune. Don't give up. Try everything.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.