Turtle algo-steekoo – failed

Date       NAV    Perf.  Cumul.
30-Oct   1'606   -9.10% -44.65%
29-Oct   1'759  -12.79% -35.55%
26-Oct   1'999  -17.19% -22.78%
25-Oct   2’374    1.31%  -5.57%
24-Oct   2'343    1.81%  -6.90%
23-Oct   2'301   -0.68%  -8.71%
22-Oct   2'317    0.70%  -8.03%
19-Oct   2'300    2.17%  -8.73%
18-Oct   2'251   -7.69% -10.90%
17-Oct   2'431  -11.08%  -3.22%
16-Oct   2'716   -8.06%   7.86%
15-Oct   2'944    9.79%  15.92%
12-Oct   2'669   -3.26%   6.13%
11-Oct   2'756   -8.85%   9.34%
10-Oct   3'000  -10.13%  17.82%
09-Oct   3'304    1.06%  27.47%
08-Oct   3'269    1.44%  26.41%
05-Oct   3'222    1.33%  24.96%
04-Oct   3'179    1.32%  23.62%
03-Oct   3'137    1.47%  22.29%
02-Oct   3'091    1.97%  20.81%
01-Oct   3'030    1.68%  18.82%
28-Sep   2'979    1.01%  17.12%
27-Sep   2'949    1.72%  16.11%
26-Sep   2'899    1.07%  14.40%
25-Sep   2'868   -1.88%  13.32%
24-Sep   2'922    0.99%  15.19%
21-Sep   2'893    1.31%  14.19%
20-Sep   2'855    0.98%  12.87%
19-Sep   2'827    1.20%  11.88%
18-Sep   2'793    1.25%  10.67%
17-Sep   2'758    1.04%   9.41%
14-Sep   2'729    1.80%	  8.37%
13-Sep   2'680    1.45%	  6.55%
12-Sep   2'641    1.22%	  5.09%
11-Sep   2'609   -0.61%	  3.86%
10-Sep   2'625    0.17%	  4.47%
07-Sep   2'620    1.50%	  4.29%
06-Sep   2'581    1.08%	  2.78%
05-Sep   2'553    1.33%	  1.69%
04-Sep   2'519    1.17%	  0.35%
03-Sep   2'490   -3.82%  -0.83%
31-Aug   2'585    0.13%	  2.92%
30-Aug   2'581    1.36%	  2.79%
29-Aug   2'546    0.25%	  1.42%
28-Aug   2'540    1.29%	  1.16%
27-Aug   2'507   -0.18%	 -0.14%
24-Aug   2'512    0.78%	  0.05%
23-Aug   2'492    4.57%	 -0.74%
22-Aug   2'378   -6.81%	 -5.41%
21-Aug   2'540   11.92%	  1.17%
20-Aug   2'237    9.14%	-11.52%
17-Aug   2'033    2.74%	-21.11%
16-Aug   1'977   -8.38%	-23.88%
15-Aug   2'143    1.05%	-15.84%
14-Aug   2'120   -2.88%	-16.89%
13-Aug   2'181    5.24%	-14.05%
10-Aug   2'067   -4.52%	-19.43%
09-Aug   2'161   -7.36%	-15.00%
08-Aug   2'320  -13.59%  -7.90%
07-Aug   2'637    0.80%   4.85%
06-Aug   2'616    1.45%   3.59%
03-Aug   2'578    2.17%   2.66%
02-Aug   2'522   -0.32%   0.49%
01-Aug   2'530    0.79%   0.80%
31-Jul   2'510

30-Oct-2018: Strategy Fail – Account Value fell under the CHF 2’000 and leverage capabilities are not allowed anymore. Therefore, this strategy is considered as inefficient and will not be used anymore. The site will be updated once other promising algorithms could be written.

27-Oct-2018: Strategy Update – Increased trades frequency and decreased trading steps.

22-Oct-2018: Strategy Update – Given the extreme drawdown in October-2018, the strategy was modified to suffer less and avoid as much as possible this kind of events.

As back-testing is modelling past values simulating what the performance would be if a specific strategy behavior would be applied, the results are still based on past values, on things that we already know. The above results are collected daily and reflect real performance of a specific algorithmic trading behavior, applied to real data in real time. The algo was built independently of any known or published trading strategy. After a few years of algo-trading practicing I realised that everything written in books or in the internet simply doesn’t work for obvious reasons. First of all if a strategy would work, no one would publish its mechanisms, because if that would happen the strategy won’t work anymore when many people will use it. In that case the market efficiency will smooth any profit opportunity. My strategy is a combination of a few things that finally seem to make stable profits every day. The final version of the strategy was released on 03-Sep-2018, but I decided to publish previous results containing an important drawdown, as this kind of scenarios are also likely to happen even if this theoretically would have a very low probability. Given the small available amount for investments, the algo is applied on Forex (FX) currency pairs and uses a 20:1 leverage. Therefore, if USD 2’500 are invested, the exposure would be USD 50’000. 

To run my algo, I execute via Interactive Brokers’ API (ibkr) connection to which I connect a robot (algo-steekoo) that I created in Python. I find Python the most stable and efficient solution for algo-trading, at least for Interactive Brokers’ API (ibkr). I have tested Matlab and Excel in the past, but I think they are too slow and unstable, therefore my choice goes to Python for this task. I chose Interactive Brokers for the low fees and for the technology. With Interactive Brokers you still can make money even after being charged the minimum execution fee of USD 2 per order for amounts under USD 100k or equivalent in another currency. The Forex Market is very liquid and allows you to get fast execution at fair prices. 

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