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.
About 3 years ago I have found collective2.com (C2). I was amazed by the number of traders and by profit levels they offered. Soon I figured out that things are not that simple. Trading systems showing 100%+ profits in the first month, were failing in the next month. Averaging down till margin call, sitting in drawdowns by months and waiting good price move, martingale. But between such high-flyers I was able to found number of more or less stable systems. Number of them was washed away, some still trades, some was hit by large drawdowns.
About a month ago I was looking through the Grid at C2 again, and decided to try the trading system rotation approach. Systems data which can be extracted from C2 contains only survived systems, therefore backtests on the previous data will have strong survivorship bias. I decided to make it in real time and couple week ago created number of portfolios. Systems will not be in these portfolios forever, losers will be eliminated, winners will be kept. At this point it will be paper trading, no actual subscriptions will be signed in, but the costs will be considered.
Lets see how the things will go.
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.
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