@Grant

too soon

combined with all the failures of early experimentation - I am NOT a profitable trader yet.
given algo stays stable - hoping to be in couple weeks, perhaps a month

if I'm a lucky bastard - filthy rich in half a year. gut feels ~ 3% chance

> Was there a specific statistical edge during your testing phase that gave you enough confidence to go live?

well...

after fiddling for hours - seeing profit factor of 1.5 over six months period was enough to pull the trigger.
relatively high trade count is also reassuring.
and I already had experimented before so had some thoughts of what to expect

as I see it - you want to go live as soon as possible.
and threshold of doing that should be sustainability

when trading lowest possible bets - I'm basically buying insight for couple bucks.
aim is a stable system with an actual track record as opposed to couple miracle trades

With a daily average of 10-20 trades/day it shouldn't take too long to draw conclusions. Hopefully, your relative drawdown is within an acceptable range.

Yeah, things can go fast once you have enough confidence to raise your leverage (do not forget to post a pic of your Malibu residence).

An out-of-sample p.f. of >1.5 is definitely impressive for a long period. I have similar results for the EURUSD, but those are still offline ones. I will start paper trading on a demo once I have similar stats on 4 other pairs as well.

Mind you, I'm very cautious given my formal live experience with MT4. It went great for 2-3 months, but at some point a couple of poor trades with too much leverage turned my system into a nightmare.
So yeah, your suggestion to be conservative with leverage in the early stage is a good one.

moar tweaks

it's going suspiciously well lately

think every day past week got into green zone (!) including the weekend

lets see if it flops this week.
at such rate - beating job salary income ain't far away

break even -ish week. which is fine

Saturday's number crunching



$500 -> $18M in 7 months

Good to hear this, congratulations! Given all the posted code concepts/prototypes, It's obvious that you've put a lot of effort in this.

I saw that most of your recent performance updates involved the MATICUSDT currency. Is this the only currency you trade in an algo trade fashion?

Also, are you confident enough to increase/optimize your leverage?

Ultimately - any trading system is just 2 big IFs:



Mine is no different.

December numbers...



By removing couple rules:



Sadly - hinders overall performance since May too much.
Hits like -500%.

But I have identified them, can tweak numbers, nudge data, think about the system!

Yes. I don't really believe in universal systems.
Or at least - find them too slow.
Or too hard and confusing to maintain.

Anyhow - requires totally different basis, principles, mental model than what I got.

Was thinking about twin trading another pair but scratched idea.
Somehow I fail to see point in trading multiple assets unless that's a core of your competitive advantage (e.g. triangular trading system or whatever it's called).

---------

When it comes to leverage - systems can flop real fast.

My current money management is a total trash.
(advice? literature suggestions?)



Depending on price, guess that's around 2x leverage or something. Maybe not. Who cares.

What's important:
- it has good enough potential to skyrocket ($100 -> $6689891 in 7 months sounds alright)
- it's tested and can survive about 2-3 real shitty weeks and still come back
- it's stupidly simple hence predictable and controllable

Gut feels max lev it *might* survive is about 8x (with a splendid launch)

x15 for degenerates
x20 for actual scalpers? maybe? perhaps?
x69 keif
x100 gambler's choice
x125 blink your eyes and it's gone

I strongly believe that the portfolio composition (i.e. number of assets and their individual risk profiles) and the leverage are intertwined.

You express confidence in your system (which is good!) by suggesting a reinvestment rate of 75%, but I believe this arbitrary number is probably way too high for a crypto currency (no need to explain their extreme volatilities *wink) in a single asset portfolio.
With your profile (and yes, I've read your 3 pointers as well) I would suggest a conservative approach like the optimalF, or in case you want to go YOLO, the Kelly criterion. There's an excellent paper (page 21) (I love my bookmarks) about the differences between these two.

As for 'universal systems'. In case you mean the exact same set of rules applied to multiple assets, I don't believe in that either. Just like you, I believe in simplicity, but with small variations for each asset.
I see two main advantages in a multi asset portfolio, a more smooth equity curve (and better night sleeps, LOL) and the ability to go a little more aggressive with leverage.

As for pairs trading, I recently saw this interesting keynote on pairs trading, using a Kalman filter as a spread basis. My current project takes too much time, but it was an insightful one.