- ago
I have just published a new sample system on the ETF BOTZ (AI & Robotics). The approach comes 1:1 and without optimization from the Strategy Evolver and has a very attractive risk-return profile. Comments are always welcome...
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Cone8
 ( 27.64% )
- ago
#1
Looks great!
But if it only works on BOTZ, then it's kind of optimized :)

With the ups and downs that BOTZ has had, it must do even better on index ETFs like QQQ or SPY? .. unless it's shorting too?
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- ago
#2

Nice...Works well on XSD too.
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ww58
- ago
#3
QUOTE:
But if it only works on BOTZ, then it's kind of optimized :)

How big is this risk? I noticed that profitable strategies are now tied to the instrument since every stock behaves differently
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- ago
#4
QUOTE:
Nice...Works well on XSD too.


Due to poor liquidity, I wouldn't trade SPDR ETFs . There are just under a dozen of ETFs that can be considered tradable.
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- ago
#5
QUOTE:
But if it only works on BOTZ, then it's kind of optimized :)


In most cases, an ETF is nothing more than an index (or a sector), which takes the survivorship bias into account. I'm not clear on Cone's statement either, as I've been trading ETF's in a similar fashion since 2016. But it is possible that the Strategy Evolver follows an optimization principle, where a too positive bias arises?
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- ago
#6
Aren’t we looking for outliers with big tails, while we get little nicks and gains?
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- ago
#7
QUOTE:
Aren’t we looking for outliers with big tails, while we get little nicks and gains?

There are 5% positive outliers, but in this case they are ok, because they follow the principle "let the trade run".


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ww58
- ago
#8

Such result when the margin is 1 and 100% of equity. Why are the results for 2022 so different if the strategy can only hold one active position anyway?
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- ago
#9
QUOTE:
Why are the results for 2022 so different if the strategy can only hold one active position anyway?

Just compare the metrics then you'll realize a unusual high NSF Count. In 2022 and with your setup, 35% fewer trades were executed.
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ww58
- ago
#10
QUOTE:
Just compare the metrics then you'll realize a unusual high NSF Count. In 2022 and with your setup, 35% fewer trades were executed.
That would make sense if the margin was 2.0, because at 1.5 you can't open another 100% equity position. In any case only 1 traded symbol and a maximum of 1 open position.
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Cone8
 ( 27.64% )
- ago
#11
ww5, you missed the point about NSF positions. Without including some margin you missed up to 22 of the best trades in 2022. These are identified as "NSF Positions".

In other words, positions are sized for 1% above the close. A gap Open higher than that price will result in a NSF position when using 100% of Equity sizing because you didn't allow any margin to cover the difference in Buying Power required for the trade.
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