Algo Trading Strategy - Mini S&P

[@xmiquel1976]

Thanks for sharing your knowledge Kevin

[@AlgoTradingWithKevinDavey]

My pleasure!

[@snalanningen7141]

Nice strategy, thanks!

[@AlgoTradingWithKevinDavey]

Glad it was helpful!

[@roystoncartwright5640]

thank you as always, Kevin 😊 I will write this up this weekend 😊

[@AlgoTradingWithKevinDavey]

Hope you like it!

[@thomas.nascimento]

Hi Kevin, thanks for all great material you share! You said you created a lot of strategies. Whats is your method to chose the best strategies to be in your portfolio

[@AlgoTradingWithKevinDavey]

I have a portfolio selection approach I discuss in my course. Send me an e-mail at [e-mail]

[@AW-ud6eh]

Thanks for the video as always kevin, I’m wondering do you ever use volatility adjusted position sizing in futures? Why or why not

[@AlgoTradingWithKevinDavey]

Great question, I do to an extent, I'll explain in today's Q&A session...

[@izhareyal8697]

Hi Kevin, thank you for a great video. What is the typical time preiod you use to backtest? You said there are more than 600 strategies developed by students in the community, are they sharing those between them?

[@AlgoTradingWithKevinDavey]

Thanks, send me e-mail at [e-mail]. I usually start testing in 2007 or 2008, and Club strategies are shared, with certain restrictions and rules. THANKS.

[@covingtoncreek]

Thanks for another testing idea. In terms of maybe testing this idea on other markets, is thresh a number of points (Big Point Value)? Did you optimize thresh at some point?

[@AlgoTradingWithKevinDavey]

It was a certain number of ES points, I don't think it was optimized. You could do that though, using BigPointValue.

[@benjaminsommer7096]

Hi Kevin, as always, a great video with important clues to think about. If you can spare a couple of minutes, I wondered for how long you have your strategies deployed on average? Also, at what point do you decide a strategy is not working anymore and take it „offline“? Lastly, do you follow Macroeconomic News and potentially take strategies „offline“ due to fear of Market Regime Shifts or do you leave the strategy deployed and monitor how it performs under those changed market conditions? Thank you in advance.

[@AlgoTradingWithKevinDavey]

For strategies I provide in my course, they have been running live for 5 years on average (send me email at [e-mail] for details.) I have rules for when to "quit" a strategy and I do not follow news or market regimes, unless those items are specifically included in the algo.

[@vitaliyosipenko124]

Mr Kevin why back test period is so small? And is it enough to do the back testing only on the target equity or you have some sort of cross validation on similar equities that has the same behavior?

[@AlgoTradingWithKevinDavey]

I usually test for longer time periods, but not on this one. I have no cross validation requirement in my process.

[@DrewTrani]

Hi Kevin, what other products do you use to aid in strategy creation/testing other than Tradestation?

[@AlgoTradingWithKevinDavey]

I discuss this in my course. Are you a course student?

[@Chillobserver]

Hello Mr Davey. I'm thinking of getting the platinum course next month. Is there anything I ought to do this month to prepare myself? I Don't know how to program yet, but I understand that there is an easy language course included.

[@AlgoTradingWithKevinDavey]

Hopefully you are on my e-mail list, and have been attending my free webinars this week. I can answer your question during webinar tomorrow, but the more you get started programming before the class, the better off you'll be.

[@Chillobserver]

@@AlgoTradingWithKevinDavey I have registed for the webinar today. I presume you mean learn EasyLanguage before hand?

[@AlgoTradingWithKevinDavey]

@@Chillobserver Ideally yes, knowing at least basics will help. The Easy Language portions of my course are currently unlocked, so you could start today!

[@Chillobserver]

@@AlgoTradingWithKevinDavey could you drop a link to that free portion? I'm struggling to find it on the website

[@AlgoTradingWithKevinDavey]

@@Chillobserver - Sorry for delayed reply. It is best to at least start learning Easy Language before my course, but either way I will help you all I can.

[@oyepublic7293]

nic strategy sir

[@AlgoTradingWithKevinDavey]

thanks

[@danieltoraman5672]

First of all you should report % returns, monetary returns are meaningless. Secondly you should always compare sharpe ratio of your strategy with sharpe ratio of "buy and hold" of the underlying instrument. Otherwise you are just wasting your time developing a strategy. And since most strategies pretty much boil down to trend following, they will be very correlated to underlying instrument and won't bring any diversification benefits.

[@AlgoTradingWithKevinDavey]

Thanks for the comments!