Turn key trading system ideas

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March 16, 2022 at 3:43 am #102197

KateMoloney
Participant

Hello everyone,

I’m currently revamping a system I currently trade. It is the turn key day trade strategy off the chartist website, albeit with a few tweaks (eg new ranking system and change to some parameters).

The system works well at a $10 price minimum and at $15 price minimum it is OK, but once I plug in a $20 price minimum, the returns deteriorate by about 4-5% CAGR (on the R2000).

The usual tricks of changing the stretch haven’t produced desirable outcomes.

Currently running an optimization test to see if I can improve things at the $20 price minimum (to lower the brokerage costs), but wondering if anyone else in the forum has used the turnkey systems and had any luck getting reasonable metrics out of it at $20 price minimum?

I thought I could try turning condition 1 into a moving average across X days, and see how that changes things.

Alternatively, was thinking of swapping condition 1 out for something else, such as a volatility indicator, and seeing how that tests in comparison.

March 17, 2022 at 2:24 am #114573

danielbarbaro79
Member

Hi Kate , i have the same situation ,planned to monitor for a bit and review the minimum price , just checked I’m averaging $5 brokerage per trade (total) for R2K moc after 500 odd trades , removing the trades under $20 and brokerage goes down to $3.50 average , the profit distribution is a little higher weighted to the less that $20 trades – this is only a small sample in a patch with pretty good returns , but its adding value outweighing the brokerage so far for me – thanks for the reminder to check it … guess trade frequency, exposure etc could will affect other systems differently .

March 17, 2022 at 3:42 am #114577

Nick Radge
Keymaster

Over the last 3000 trades I have paid on average $0.493 per trade. Try switching to the tiered commissions

March 17, 2022 at 5:42 am #114578

danielbarbaro79
Member

big saving , will look at for sure

March 17, 2022 at 7:00 am #114579

KateMoloney
Participant

Tiered commissions with IB definitely helped get our brokerage costs down in the last month. Haven’t got enough of a data sample yet to determine average costs for shares below $20, but the reduction in cost has so far been significant.

At a $10 or $15 price minimum, the CAGR on R2000 is 19% with 8% max DD (5% position sizing).

At a $10 price minimum, the shares under $20 traded was 39% and at a $15 price minimum, the shares under $20 was 26%.

At $20 price minimum, CAGR on R2000 is 16% with 9% /10% maxDD (5% position sizing).

Given the difference in performance between a $15 price minimum and a $20 price minimum, I feel like I’m missing something.

Can’t remember the word, but whether its curve fit or bias data sample.

Got more research to do.

March 17, 2022 at 7:43 am #114581

KateMoloney
Participant

17 days of trading on IB tiered

For both buy and sell brokerage (average)

Trades $20+, $2.62
Trades $10 – $20, $7.01
Trades $5 – $10, $8.71

My understanding is it gets cheaper the more volume you trade?

March 17, 2022 at 11:50 am #114582

LEONARDZIR
Participant

Kate,
What was the leverage you used on the CHARTIST day trade system that resulted in a CAGR of 19% in the R2000?

March 17, 2022 at 10:51 pm #114584

KateMoloney
Participant

50% margin
5% position size

Bear in mind, I also changed one of the conditions slightly and added a new ranking system.

September 14, 2022 at 11:12 pm #114580

KateMoloney
Participant

Nick Radge post=12785 userid=549 wrote:

Over the last 3000 trades I have paid on average $0.493 per trade. Try switching to the tiered commissions

Nick, can you please confirm is this per buy and sell order ?

Also, what are your current average costs per trade please?

Mine have creeped up in recent months.
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