What's going on?
I have 6 systems. 3 are backing systems and 3 are laying systems.
The 3 laying systems are independent of each other and totally unrelated.
The 3 backing systems are independent of each other and totally unrelated.
Each of the 3 backing systems is very strongly related to one and only one of the laying systems.
In other words, I have 3 pairs of systems where each member of the pair is related but no pair is related to any other pair.
I hope that make sense.
Every now and then, I chart the p/ls of each system and plot a best fit straight line through it - just to see where we are at in overall terms, although I don't like overalls.
I charted the systems this morning because, of late, they seem to be starting to struggle a little.
What do I find?
The p/ls of all 6 systems are below the best-fit straight line. This means that all 6 systems are struggling at the same time whereas, normally, some ought to be in the pink whilst others in the stink.
Basically ALL of my systems are misfiring at the same time.
Is anyone else's methods/systems struggling or is it just mine?
Like I said - what's going on? (accompanied by the Gladstone Brooks jingle).
Do you have PPI? Then try Tena Lady.
The latter.
Bets are being matched but the results of all 6 systems have gone down the shitter at the same time.
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marksmeets302
- Posts: 527
- Joined: Thu Dec 10, 2009 4:37 pm
Could be seasonal. For one reason or another my systems don't do well in february-march. This year that stretched out to april. I started to get worried but since a couple of weeks things are back on track. I can't explain it - in terms of turnover the systems should adapt etc. This is the first time since 2009 that I haven't tried to tweak anything and just let it run its course.
Have you been using these systems for many years already?
Have you been using these systems for many years already?
Not many years but they ain't new either. And no, all 6 systems failing at once hasn't happened before, AFAIK.marksmeets302 wrote: ↑Thu May 18, 2017 8:40 am
Have you been using these systems for many years already?
Lowest Archie is 9.42. Highest is 50.72. But what system has ever respected an Archie Score?
It's a possibility that I hadn't considered. Thanks for that. Sometimes the bleedin' obvious escapes me. I shall chastise myself later. No time at the mo.
That said, the systems are actually method-system combos and would think it unlikely. Still - worth a ponder.
It wouldn't have to be exactly the same opportunities as you had spotted - just enough similarities to suck the margin out of it. A bit like when I spot a midfeild drifter, using my indicators and take the lay - and find £1024 out of nowhere arrives right on the tick that my out bet was about to be clicked into - and have to watch it completely drain the life out of the drift - while I settle for less. I always imagine it was PW (savant!) spotted it before me.
Mmmm. I take your point.Jukebox wrote: ↑Thu May 18, 2017 9:19 amIt wouldn't have to be exactly the same opportunities as you had spotted - just enough similarities to suck the margin out of it. A bit like when I spot a midfeild drifter, using my indicators and take the lay - and find £1024 out of nowhere arrives right on the tick that my out bet was about to be clicked into - and have to watch it completely drain the life out of the drift - while I settle for less. I always imagine it was PW (savant!) spotted it before me.
My thanks.
My intuition is that it's just a bad patch, i.e. consistent run of bad luck which hasn't occurred in the past so hasn't been experienced in any previous testing/analysis you've done. It kind of depends how long this bad patch has continued for though. When I plan strategies I generally assume any future biggest drawdown will be double what I've seen in any backtest. Not very scientific, but gives me a fixed point at which to call quits on the strategy and reassess. Always have a plan before you start and stick to your plan, otherwise you'll chase losses. (You can always pause and restart later after you're more confident it was an intermittent thing.)
I think a reasonably good measure of whether it was bad luck is to measure the historical margin on turnover (net profits / turnover) and then compare that with the recent bad patch. If your recent bad patch has a really bad negative margin, then it's likely that it's just been bad luck. That may sound counter intuitive, but basically it's very unlikely that someone can consistently have a very high edge against you - and therefore, if you've had a few bad beats in a row, then it's more likely that it's bad luck than someone has done that against you with skill. Afterall, if you have a massive negative margin, all you would do is flip your strategy and you'd have a positive strategy again. The only way I can see someone having a massive edge against you is if there's some foul play involved - which isn't impossible.
What would be more worrying is that over a long period having a small negative margin. That's a sign that your strategy no longer has an edge, and is just losing money due to commission. Flipping the strategy would have no effect.
I think the exchange markets are a very complex ecosystem which is constantly changing and evolving. I find my strategies come in and out of profitability. Like many others on here, I'm constantly tweaking and re-backtesting stuff to optimise for the most recent environment, but like Mark says, sometimes you just need to let things run their course because who knows if trying to second-guess and stay ahead of things actually makes any difference.
I think a reasonably good measure of whether it was bad luck is to measure the historical margin on turnover (net profits / turnover) and then compare that with the recent bad patch. If your recent bad patch has a really bad negative margin, then it's likely that it's just been bad luck. That may sound counter intuitive, but basically it's very unlikely that someone can consistently have a very high edge against you - and therefore, if you've had a few bad beats in a row, then it's more likely that it's bad luck than someone has done that against you with skill. Afterall, if you have a massive negative margin, all you would do is flip your strategy and you'd have a positive strategy again. The only way I can see someone having a massive edge against you is if there's some foul play involved - which isn't impossible.
What would be more worrying is that over a long period having a small negative margin. That's a sign that your strategy no longer has an edge, and is just losing money due to commission. Flipping the strategy would have no effect.
I think the exchange markets are a very complex ecosystem which is constantly changing and evolving. I find my strategies come in and out of profitability. Like many others on here, I'm constantly tweaking and re-backtesting stuff to optimise for the most recent environment, but like Mark says, sometimes you just need to let things run their course because who knows if trying to second-guess and stay ahead of things actually makes any difference.
You, sir, are a bl00dy genius. Thanks for such a complete answer.xitian wrote: ↑Thu May 18, 2017 10:53 amMy intuition is that it's just a bad patch, i.e. consistent run of bad luck which hasn't occurred in the past so hasn't been experienced in any previous testing/analysis you've done. It kind of depends how long this bad patch has continued for though. When I plan strategies I generally assume any future biggest drawdown will be double what I've seen in any backtest. Not very scientific, but gives me a fixed point at which to call quits on the strategy and reassess. Always have a plan before you start and stick to your plan, otherwise you'll chase losses. (You can always pause and restart later after you're more confident it was an intermittent thing.)
I think a reasonably good measure of whether it was bad luck is to measure the historical margin on turnover (net profits / turnover) and then compare that with the recent bad patch. If your recent bad patch has a really bad negative margin, then it's likely that it's just been bad luck. That may sound counter intuitive, but basically it's very unlikely that someone can consistently have a very high edge against you - and therefore, if you've had a few bad beats in a row, then it's more likely that it's bad luck than someone has done that against you with skill. Afterall, if you have a massive negative margin, all you would do is flip your strategy and you'd have a positive strategy again. The only way I can see someone having a massive edge against you is if there's some foul play involved - which isn't impossible.
What would be more worrying is that over a long period having a small negative margin. That's a sign that your strategy no longer has an edge, and is just losing money due to commission. Flipping the strategy would have no effect.
I think the exchange markets are a very complex ecosystem which is constantly changing and evolving. I find my strategies come in and out of profitability. Like many others on here, I'm constantly tweaking and re-backtesting stuff to optimise for the most recent environment, but like Mark says, sometimes you just need to let things run their course because who knows if trying to second-guess and stay ahead of things actually makes any difference.
Haha, how kind of you, but a bit extreme, and not really encouraging further responses which I'd be interested to hear too! I've just developed my own methods over the years, so they're only my thoughts.
I think Jukebox made a good point about potential competition though. That's probably why most strategies will have a limited lifespan if never tweaked at all. And like any business, if you have a good margin, it's only time before competition will squeeze the margins.
Ah, I should have said. Your post triggered a thought in my mind that I have never considered - although I should have.xitian wrote: ↑Thu May 18, 2017 12:46 pmHaha, how kind of you, but a bit extreme, and not really encouraging further responses which I'd be interested to hear too! I've just developed my own methods over the years, so they're only my thoughts.
I think Jukebox made a good point about potential competition though. That's probably why most strategies will have a limited lifespan if never tweaked at all. And like any business, if you have a good margin, it's only time before competition will squeeze the margins.
I don't think that it's a bad patch that the systems are going through. However, something that you said in your previous post has allowed me to identify what the cause probably is. There are regions in the system for which, initially, there wasn't a lot of data but on which functionality was based. Looking back, maybe I should have just ignored these regions pending more data - but I didn't. Through time, more data is now available for these regions. Unfortunately, I didn't go back and check what the functionality is now. My guess is that many have changed but hasn't been reflected in the systems.
I hope that this makes sense.
I think you're saying that for certain inputs for your strategy you didn't have a big enough sample in the past to fully backtest it properly. Only now you do, and it could be those instances that are mainly causing the losses. That completely makes sense to me if that's the case!
I'm glad it makes sense because that's exactly what I meant.xitian wrote: ↑Thu May 18, 2017 1:32 pmI think you're saying that for certain inputs for your strategy you didn't have a big enough sample in the past to fully backtest it properly. Only now you do, and it could be those instances that are mainly causing the losses. That completely makes sense to me if that's the case!