How to detect when a strategy is failing - Kevin Davey

Описание: Ever had a strategy that looked like it was broken and wondered if you should stop trading it or not?

Strategy failure (or periods of poor performance) are just a part of trading, but how you deal with it can have a HA-YUGE impact on your overall results… so how do you detect when a strategy is failing?

How do you work out if you should stop trading it or just give it some more time?

In this episode of BST Live, trading champion Kevin Davey joins us to discuss how to detect when a strategy is failing, including:

• Why looking at a single equity curve is not giving you the full picture,
• How to determine the potential ranges of future strategy performance,
• Using Statistical Process Control to monitor trading strategies and which metrics are best,
• How Probability Cones can give traders a more informed view of strategy performance (and when a strategy could be broken),
• What do to when a strategy over-performs (the answer may not be what you think!),
• Should you turn a strategy back on if it recovers after extremely poor performance,
• How a really good backtest can actually be a predictor of bad performance,
• Plus, much more!

► You can discover more from Kevin at: https://www.kjtradingsystems.com

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** Timestamps **
00:00 Getting started!
02:32 How Statistical Process Control techniques apply to trading
06:04 Using drawdown calculations from a backtest report
09:28 What is Monte Carlo simulation and why traders need it
11:54 Why looking at a single equity curve is not enough (giving you the full picture)
14:47 How to find the possible range of future performance of a strategy
16:54 The biggest disadvantages and dangers of Monte Carlo simulation
20:53 Does Monte Carlo apply more to specific trading styles?
23:57 How to get started with Monte Carlo Analysis
25:16 Using Statistical Process Control to monitor trading strategies
28:06 The best metrics to use to monitor a trading strategy
30:01 Using Standard Deviation to assess trading strategy performance
32:06 How to use Probability Cones in trading
38:16 Assessing strategies as they move between probability extremes
40:21 Using Open vs Closed Equity curves
41:38 Are strategies with a high volume of trades more significant
43:04 Where to start the probability cones and when to move/adjust them
45:06 Probability Cones and reoptimization
47:16 How to manage over-performance of trading strategies
50:44 Disadvantages and dangers of using Probability Cones
52:46 Applying Probability Cones to a trading portfolio
54:46 Where to get more info on Probability Cones
56:02 Should a trader stop after consecutive losing trades
57:16 Turning a strategy back on after failure or reoptimize?
1:00:26 Sharpe ratio, k-ratio or RINA?
1:02:20 Adjusting Walk Forward periods when a strategy fails
1:05:13 What version of Tradestation to use for automation and trading
1:07:35 How a really good backtest can be a predictor of bad performance
1:09:47 How to learn more from Kevin

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Disclaimer:
Trading in the financial markets involves a substantial risk of loss and is not suitable for everyone. All content produced by Better System Trader is for informational or educational purposes only and does not constitute trading or investment advice. Past performance is not necessarily indicative of future results.