Backtrader add-ons and more

My good friend, ab-trader, has been trying algotrading python-written framework backtrader for recent year or so. He accumulated number of scripts and decided to put together a python module backtrader_addons and share it with community. Also he plans to write couple article on his algotrading journey accompanying by backtrader.

So under the backtrader label you will be able to find all his stories.

Monthly portfolio update. May.

Demo portfolio returns since inception -

Rocket   -5.7%
Turtle   +5.5%
Real Money   +0.6%
Real Money R   -3.7%

Ten   ARCHIVED
Free Lunch   ARCHIVED

DISCLAIMER: I am not a financial adviser and I do not offer trading advice or recommendation. The content of this blog is for informational purposes only. The posts on this blog should not be considered as recommendation to trade any financial instruments or join any services. Trading in general is speculative and involves substantial risk of loss. It is your responsibility to be fully aware of the inherent risks before beginning of trading or before joining any services. The information in this blog is provided AS IS. Authors accept no liability for your usage of the information, or for any losses or damages that may result from your use of  the information. The information is not an invitation to make any investment nor to join any service. The information should not be relied upon in relation to any investment decision. The past performance of any share, future contract, options, trading system or service does not guarantee the future performance.

Monthly portfolio update. April.

Demo portfolio returns since inception -

Rocket   -3.0%
Turtle   +3.1%
Ten   +0.1%
Real Money   +5.0%
Free Lunch   -15.6%

DISCLAIMER: I am not a financial adviser and I do not offer trading advice or recommendation. The content of this blog is for informational purposes only. The posts on this blog should not be considered as recommendation to trade any financial instruments or join any services. Trading in general is speculative and involves substantial risk of loss. It is your responsibility to be fully aware of the inherent risks before beginning of trading or before joining any services. The information in this blog is provided AS IS. Authors accept no liability for your usage of the information, or for any losses or damages that may result from your use of  the information. The information is not an invitation to make any investment nor to join any service. The information should not be relied upon in relation to any investment decision. The past performance of any share, future contract, options, trading system or service does not guarantee the future performance.

Turtle

Second portfolio simulates behavior the reasonable investor which seeks strategies with long tradign history and average returns. The following filters are applied:

• system age is more than 730 days
• annualized return with costs is positive *
• max drawdown is lower then 50%
• made 50+ trades
• received profits in 60 and 90 last days **
• calmar ratio is higher then 1.5 to exclude systems with max drawdown larger then annualized return

Rocket

First portfolio tries to benefit from C2 systems which are quite young, show good profits and low drawdowns. Frankly saying, I am catching high-flyers hoping that they bring me money before failure. The following filters are applied:

• system age is more than 90 days
• annualized return with costs is higher then 100%
• max drawdown is lower then 50% *
• made 10+ trades
• received profits in 30, 60 and 90 last days **
• calmar ratio is higher then 1.5 to exclude systems with max drawdown larger then annualized return

No predictions, control risk

Using C2 API one is able to download any type of data related to particular trading system: equity, trades, signals, system stats etc. I was playing a lot with the data available trying to predict future systems behavior. Results were really discouraging, quality of predictions was really low. Finally I've decided to throw out prediction phase, and use the assumption that the system can break anytime after subscription started. With such approach the only thing which can be controlled by investor is the risk. Risk of the loss that system can cause to invested capital.

Trading systems tournament

Several years ago I have found the blog of this guy who did system trading in non-conventional way. While others were hunting for single ultra-stable, profitable, long-term trading system aka holy grail, he was developing significant amount of trading systems based on simple entry - exit rules and number of securities, futures and forex pairs, then optimizing them, and then best of the best trading systems went to real account. By his statements most of the systems were failed soon after beginning, but survivors covered that losses and brought profits. Losers were replaced with perspective newcomers and trading cycle was starting again. He called this approach trading systems rotation.