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Peak Algo Trading Full Course | Commodity Market Futures — Transcript

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0:00you want to start algorithmic trading
0:03and you understand that there are
0:04massive advantages in being able to test
0:07different trading approaches using
0:09historical data with the goal of being
0:11able to eventually automate those
0:13trading systems to execute trades and
0:16generate profits in real time and
0:18whether you're an analyst at a commodity
0:20trading house and you want to use
0:22algorithms for market analysis or you're
0:25a Trader at a hedge fund and you want to
0:27build a portfolio of algorithms to
0:30complement your current trading approach
0:32or you're a private Trader looking to
0:34diversify your Investments with
0:36commodity Futures you can future proof
0:39your career you can add an important
0:41skill set to your resume and Linkedin
0:44you can become a better more profitable
0:46more confident Trader there has never
0:49been a better time to start I'll go
0:52trading I'm Dave Whitcomb head of
0:54research for Peak trading research and
0:56this algo trading course built by the
0:59commodity special specialist at Peak is
1:01your number one tool for getting started
1:04with algorithmic trading in commodity
1:07markets algorithmic trading also called
1:10systematic trading or Quant trading or
1:13as we prefer to call it at Peak
1:15rule-based trading or evidence-based
1:18trading it's how the world's most
1:20successful hedge funds and Traders make
1:22profits there is a reason that ninety
1:26percent of Traders don't make money it's
1:28because technicals don't work most
1:30Candlestick patterns don't work and
1:33journaling about your emotions about the
1:35market doesn't work the good news is
1:37that you can quickly join the top 10
1:40percent of Traders and have a much
1:42better chance of generating real profits
1:45in real time if you master the
1:48algorithmic trading Basics that we will
1:50cover in this course you can think of
1:52this course as a full University course
1:56on algorithmic trading for commodity
1:58market futures but that said all of the
2:02concepts that we'll be learning are
2:03applicable to any Market that includes
2:06stocks bonds FX cryptos the algorithmic
2:10trading Concepts that we'll be talking
2:12about are Universal this 2023 course
2:15comprises 16 different sessions which
2:18Focus broadly on algorithmic trading
2:21Basics system building blocks
2:23optimization incubation and portfolio
2:26construction and finally getting started
2:28with live trading now what you are
2:31watching right now is the full course
2:33I'm not going to ask you to join some
2:36slack Channel or Discord or patreon this
2:39is it this is the full course and you
2:42don't even need to take notes all of the
2:45code that we're going to walk through
2:47all of the cheat sheets and some great
2:49bonus extras are available in the full
2:52course packet that you can find at Peak
2:55algo.com the only thing that I will ask
2:58is that if you have any questions along
3:01the way please pop them in the comments
3:04below this really helps our Channel grow
3:06and helps us improve future iterations
3:09of this course so with that algorithmic
3:12trading full course 2023 let's get into
3:16it
3:18foreign
3:19[Music]
3:23if you are watching this course you
3:25likely already know that there are some
3:28massive advantages to algorithmic
3:30trading in this section we're going to
3:32talk about these six main advantages to
3:35algo trading and why you should stop
3:37wasting your time and your energy and
3:40your money on discretionary trading so
3:43let's jump into it let's start with the
3:45number one advantage to algorithmic
3:47trading and that is back testing when
3:50you trade quantitatively when you trade
3:52using algorithms you are pre-defining a
3:56set of rules that you are going to use
3:58to trade and when you write down your
4:00strategy logic when you actually code
4:03that trading system you can then back
4:05test that system using historical data
4:08so whether the trading idea that's in
4:11your head is a breakout approach or a
4:13mean reversion approach or a seasonal
4:16trading approach you can test that
4:18trading approach you can test the
4:21trading system and if you're using a
4:22professional trade trading platform like
4:24tradestation or multi-charts you can add
4:27that strategy to a chart to see visually
4:30how the system will trade and you can
4:32also look at historical performance
4:34statistics my favorite of which is an
4:37equity curve so what is an equity curve
4:40an equity curve shows you your
4:42cumulative profits that you would have
4:44generated had you traded this system
4:47through time for example this Equity
4:50curve on Coco 128 minute price bars
4:54shows me that this trading system would
4:57have made about 85
5:00000 in cumulative profits since early
5:032010. if you are a visual learner which
5:06most Traders tend to be you'll find that
5:09an equity curve is a really quick way to
5:12see if a strategy Works a nice upward
5:15sloping Equity curve shows you that the
5:17strategy at least historically has made
5:20money over time without a lot of big
5:22draw pounds without a lot of periods
5:25where the strategy did not work so for
5:27example if you are looking to evaluate a
5:30strategy that you're getting from an
5:32external Source like Peak algo.com the
5:35first thing you're going to want to see
5:37for that strategy is likely an equity
5:39curve and you'll also want to know if
5:42that Equity curve assumes realistic
5:44slippage and commission costs but bottom
5:47line that first advantage of algorithmic
5:50trading is back testing it allows you to
5:52look at performance statistics to see if
5:55the strategy works and it allows you to
5:57see that Equity curve the number two
5:59advantage to algorithmic trading is that
6:02you are always in the market your
6:04systems can always be on you can turn on
6:07your trading systems so that they are
6:09always in the market they are always
6:11looking to take new trades or exit
6:13trades to manage risk and they're doing
6:15this with a better attention span and a
6:18better reaction time than a human ever
6:20could and this is related to Advantage
6:23number three and that is your trading
6:25will become more consistent it doesn't
6:27matter if you haven't slept well or
6:29you're having a bad day or you're
6:31distracted by other things your trading
6:34systems are always on they will always
6:36react consistently this means you can be
6:39far more consistent with how you deploy
6:42your trading capital and how you manage
6:44your risk reason number four is better
6:47diversification if you are discretionary
6:50trading you are likely glued to your
6:52screen all the time watching just a
6:55handful of markets if you are
6:56algorithmic trading the number of
6:58trading systems that you can run really
7:00just depends on your account size your
7:03capital and how many good trading
7:06systems you have every Trader is
7:08different but for me I find that that
7:10sweet spot is generally around 25 to 30
7:13trading systems fewer than that and I
7:16tend to find I don't have a lot of
7:18active trades at any given time but more
7:21than that and I tend to kind of lose the
7:23plot lot but every Trader is different
7:25maybe you just want to flip on five
7:28automated trading systems for the energy
7:30markets and your friend wants to flip on
7:3250 different trading systems across all
7:35the different liquid US futures markets
7:37reason number five is better risk
7:40management one of the biggest problems
7:42that discretionary Traders often have is
7:45taking stops and taking profit you could
7:48add a stop loss or take profit level or
7:50a trailing stop to every single one of
7:53your systematic trading strategies not
7:55only is this good in risk management but
7:57it just helps you sleep better at night
8:00it's a huge Advantage versus
8:02discretionary trading knowing that you
8:04can take that human emotion out of
8:06things reason number six and I cannot
8:09overstate how important this one is is
8:12confidence the number one advantage that
8:15you will notice when you get into
8:17algorithmic trading is that your
8:19confidence in your trading approach and
8:22your trading systems will increase you
8:25can write down your trading approach you
8:27can code it up you can back test it you
8:30can look at a performance report and
8:31hopefully see a nice upward sloping
8:34Equity curve for your strategy which
8:36gives you the confidence that this
8:38trading approach would have worked for
8:39the past 10 or 15 or 20 years there is
8:43nothing that comes close to that in the
8:46world of discretionary trading you can
8:48also perform some more advanced
8:50analytics on your historical strategy
8:52returns like Monte Carlo analysis walk
8:55forwards correlation tables you can also
8:58incubate your strategies you can see how
9:01your systematic strategies perform by
9:03paper trading on new unseen data to give
9:06you the confidence that this strategy
9:09will probably hold up in real time but
9:11again the confidence that you can get
9:13from coding a strategy testing it seeing
9:16how it would perform in real time this
9:19is a huge Advantage those are the six
9:21big advantages of algorithmic trading
9:24now let's move on and talk about what
9:27you need to get started with algorithmic
9:30Trading
9:33[Music]
9:37in our last session we talked about the
9:40big advantages of algorithmic trading
9:42now let's talk about the things that you
9:44need to get started with algorithmic
9:46trading there are four main things that
9:49you need to get started algorithmic
9:51trading number one you need a trading
9:53platform number two you need data that
9:57that platform can access for system
9:59analysis or real-time trading number
10:03three you need a funded brokerage
10:05account and finally number four you need
10:08a trading system or preferably a
10:11portfolio of trading systems in terms of
10:14finding a good trading platform you have
10:16a lot of choice between different
10:18desktop or web-based or mobile trading
10:21applications in which you can write
10:23strategy code you can back test that
10:26strategy code on historical data and you
10:29can eventually automate the strategy to
10:31execute Market orders on your behalf
10:34these are some of the most popular
10:36trading platform forms and the strategy
10:39coding language that each platform uses
10:42tradestation and multi-charts both use
10:45Easy language metatrader uses mql four
10:48or five trading view uses its own
10:51proprietary Pine script ninjatrader uses
10:55ninjascript which is based on c-sharp
10:57and quantopian uses python now in this
11:00course we're going to be focusing mostly
11:02on easy language which is the coding
11:04language used by both tradestation and
11:07multi-charts tradestation and
11:09multi-charts are exceptional trading
11:12platforms for systematic trading in
11:15commodity Futures if you want to see a
11:17deep dive on the differences between
11:19tradestation and multi-charts you can
11:22click a video link here easy language as
11:25the name suggests is an exceptionally
11:27easy to learn coding language that's
11:29written specifically for Traders it's
11:32easy to write it's easy to understand a
11:34lot of popular trading books the kind
11:36we'll talk talk about at the end of this
11:38course are written in Easy language now
11:41we're going to be going through a lot of
11:42easy language strategies in this course
11:45but remember if you're using another
11:47platform like metatrader or trading view
11:50or ninjatrader you can always take that
11:53strategy code and translate it to your
11:56platform all of the concepts that we're
11:58going to be talking about in today's
11:59course are Universal they are not
12:02specific to any one coding language data
12:06the second thing that you are going to
12:08need to start systematic trading is data
12:11your trading platform is going to need
12:13to have access to historical data for
12:17analysis and testing of your systematic
12:20trading systems and ultimately your
12:22trading platform is going to need access
12:24to live data so you can execute
12:27systematic trading strategy orders in
12:30real time now every trading platform is
12:33different some trading platforms like
12:36tradestation are your data provider but
12:39other trading platforms like multi
12:41charts will require that you plug into
12:44an external data provider every trading
12:47platform is different on how they treat
12:49data and how you can subscribe to data
12:52but that information is always very
12:54clear on their website how you can plug
12:57in data to the trading platform and you
13:00should be prepared that this will be an
13:03additional expense for example if you're
13:05a commodity Trader you might want to pay
13:07for Chicago Board of Trade data for
13:10markets like corn and wheat and soybeans
13:13you'd start with delayed data for your
13:15strategy analysis and testing that will
13:18be cheaper something like twenty dollars
13:20a month and then when you're ready to
13:22start systematic trading in real time
13:24you can start paying for live data
13:27that's going to be more expensive say a
13:29hundred dollars a month very big picture
13:31whether you're using delayed data or
13:34live data these trading platforms make
13:36it very easy for you to get data into
13:39their platforms for your analysis or
13:42live trading the third thing that you
13:44need to get started algorithmic trading
13:47is a funded brokerage account when you
13:50trade commodity Futures The Exchange
13:52that you are facing needs access to what
13:55is called margin basically you need to
13:57set a small amount of money aside like a
14:01down payment for the right to trade
14:03commodity Futures contracts here is a
14:06great cheat sheet that we've put
14:07together with the margin rates for the
14:10top 25 U.S commodity Futures markets
14:13this is included in the full course
14:16packet that's available at Peak algo.com
14:19what you'll see is that for a market
14:21like corn you need to have at minimum
14:24twenty three hundred dollars in your
14:26account in margin to trade one contract
14:29of corn Futures now that's the minimum
14:32amount that you need in your account
14:34realistically you are going to want more
14:37than that how much money do you need to
14:40trade a systematic trading strategy as a
14:44good rule of thumb you are generally
14:46going to want to have 2.5 times the
14:50minimum required margin for that
14:52contract what does that mean you take
14:55the number in that margin column and you
14:58multiply it by 2.5 now for a market like
15:01heating oil with a big contract value
15:04and a relatively high margin of about
15:07ten thousand dollars that means that
15:09your trading account should have twenty
15:12five thousand dollars in it for every
15:15heating oil systematic trading strategy
15:17that you turn on now I know this is
15:20frustrating especially for beginners I
15:22know this is probably not what you want
15:25to hear that you need to have a whole
15:26lot of money set aside for margin the
15:28good news is there are plenty of
15:30commodity markets with relatively small
15:33notional sizes and small margin
15:36requirements the there are also micro
15:39and mini contracts so a lot of these
15:41contracts have smaller versions that
15:44require about a fifth of the size of
15:47margins set aside you're just getting
15:49started in systematic trading or you
15:51have a smaller brokerage account size it
15:53is a great option to start with mini and
15:57micro size contracts in terms of a
15:59funded brokerage account there are some
16:02big differences between the different
16:04trading platforms for example
16:06tradestation acts as your broker so you
16:09directly fund an account you send money
16:12to tradestation or as multi charts can
16:14plug into a number of different Brokers
16:17you just give them access to your
16:20trading account but again big picture
16:22any trading platform is going to need
16:25access to money to investment to Capital
16:28that you've set aside to trade the
16:31fourth and final thing that you need to
16:33start systematic trading is a trading
16:37system or even better a set of different
16:40Diversified trading systems across a lot
16:43of different markets we're going to come
16:45back to this theme time and time again
16:47in this course that one of your big
16:50advantages as a systematic Trader is
16:52your ability to turn on lots of
16:55different Diversified Futures Trading
16:58strategies now as part of this course we
17:00are going to go through the building
17:03blocks for successful systematic trading
17:06strategies entries exits filters and of
17:09course if you want instant access to a
17:12portfolio of Diversified Futures Trading
17:15strategies you can head to peakalgo.com
17:18these are real systematic trading
17:21strategies that have performed well in
17:23real time that are in tune with the
17:25current market they had positive profits
17:28in the month prior so whether you're a
17:30beginner looking for coding examples of
17:33real systematic trading strategies or
17:36you're a professional commodity Trader
17:38looking to build out your portfolio
17:40these strategies at Peak algo.com are a
17:43great option so those are the four
17:46things that you need to start systematic
17:48trading trading platform data that you
17:51can plug into the platform for analysis
17:54and real-time trading a brokerage
17:57account that your trading platform can
17:59access to trade and you need a trading
18:02system preferably trading systems and
18:05that is now what we're going to spend
18:07most of this course talking about is how
18:10you can build and test fully coded
18:13systematic trading strategies that have
18:15a great chance of working in real time
18:21thank you
18:25now before we move on I want to say a
18:28few quick notes about Peak trading
18:30research and what puts us in such a
18:32unique position to build an algo trading
18:35course like this P trading research is
18:38an independent quantitative commodity
18:41research company based in Switzerland we
18:44focus on non-fundamental quantitative
18:47price drivers for agriculture energy and
18:50metals commodity markets our clients are
18:53hedge funds family offices private
18:56Traders and many of the world's largest
18:58commercial trading houses and because we
19:01provide a unique and quantitative view
19:04on commodity markets we are frequently
19:06quoted in the Wall Street Journal the
19:08financial times market watch warning
19:11star Bloomberg and other Publications
19:14and as part of our research for our
19:16clients we are building and testing a
19:19lot of quantitative trading systems many
19:22of those systems we make available to
19:25clients through our site Peak algo.com
19:28so this course is both for our commodity
19:31research clients who are interested in
19:33getting up to speed with building and
19:35testing systematic trading strategies as
19:38well as our algo trading clients who are
19:41interested in building a portfolio of
19:43systematic trading strategies so if you
19:46are looking for an algorithmic trading
19:49course built by an industry-leading
19:51quantitative commodity research company
19:54hosted by a professional commodity
19:56Trader with more than two decades of
19:59experience at two of the US's largest
20:02private commodity trading houses then
20:04you have come to the right place now one
20:07of the advantages of algorithmic trading
20:11of rule-based trading is that you can
20:13confirm for yourself all of the concepts
20:17that we will cover in this course you
20:19should not trust any Trader any educator
20:22any research company without confirming
20:25the results for yourself and that is a
20:28theme that will be coming back to again
20:30and again in this course is that you can
20:32build strategies yourself test
20:34strategies yourself and set your
20:37portfolio of real systematic trading
20:39strategies up to have the best chance of
20:42generating profits for you in real time
20:45we've now finished the first section of
20:47this course which is algo Basics and
20:50we're going to move on to the second
20:52section of this course which is system
20:54building blocks this is the foundation
20:57the very beginning of the systematic
21:00strategy development process this is
21:03what successful systematic trading
21:05strategy development looks like we are
21:08going to spend the next five sessions at
21:11the bottom of this mountain at the
21:13foundation of this strategy development
21:16pyramid in this section on system
21:19building blocks we'll talk about systems
21:22building 101 go through some entries
21:24exits some system examples and also
21:28entry filters and after that we'll move
21:30on to the next section on optimization
21:33incubation and portfolio construction
21:36now in the next few sessions we'll be
21:39looking at a lot of strategy logic that
21:41is written in the easy language coding
21:44language all of this strategy code the
21:47entries the exits the strategy system
21:50examples that we'll go through our Opus
21:53strategy that you can use to test
21:55thousands of different entry and exit
21:57combinations and a version of our
22:00filters code built specifically for this
22:03course is available in the course packet
22:06that you can find at peakalgo.com so
22:09don't feel that you need to spend your
22:11time writing this out typing it out
22:13taking screenshots all of the code that
22:15we'll go through is available as text
22:17files and also if you're a tradestation
22:20or multi-charts user as CSV files again
22:23that is all available in the course
22:26packet at Peak algo.com let's now move
22:29on to the next section system building
22:32blocks
22:35[Music]
22:38foreign
22:39big picture let's review what we've
22:42talked about in this course so far we've
22:44talked about algo trading 101 what is
22:47algorithmic trading we talked about the
22:49massive advantages of algorithmic
22:52trading versus discretionary trading and
22:54we've reviewed the four things that you
22:57need to get started with algorithmic
22:59trading so now let's move on to the fun
23:01stuff let's talk about building and
23:04testing real systematic trading
23:06strategies as well as the tools and
23:09Concepts that you need to understand to
23:12ensure that your systematic trading
23:14strategies have a great chance of making
23:17money and generating profits in real
23:19time now algorithmic trading is
23:22rule-based trading you are telling your
23:24trading platform that you want to trade
23:27a certain Market based on a predefined
23:29set of rules and when you write down
23:32those rules in a certain coding language
23:34you are writing a script you are writing
23:38a simple set of rules that your trading
23:40platform can access and add to a chart
23:43and generate profit statistics so you
23:46can gauge if you want to trade that
23:48strategy or not and all of the automated
23:50trading platforms that we talked about
23:52in our section on the four things you
23:54need to start algorithmic trading all
23:57those trading platforms are chart-based
24:00trading platforms meaning you're writing
24:02your script you're writing down The
24:04rules that you want to trade you're
24:06adding that script to a chart and then
24:08you're deciding based on how the system
24:11trades The Profit statistics if you want
24:14to automate that trading system that's
24:16the process we're going to be talking
24:18about again and again in this course
24:20writing a script adding it to a chart
24:22looking at how the system trades and
24:25some profit statistics and deciding if
24:27it's a good trading system now all
24:30trading strategies are written as
24:32conditional if then statements it
24:35doesn't matter if you're coding in the
24:37easy language coding language or pine
24:40script or python or C sharp every
24:43strategy that you write is going to be a
24:46complete conditional statement these
24:48conditional statements are almost always
24:50written as if this condition exists then
24:54do this and that this is mostly trade
24:57the market some good examples of simple
24:59conditional statements are if momentum
25:02is positive then I the market so buy a
25:06Futures Contract if a moving average is
25:09crossing below another moving average
25:12then sell the market if it's January
25:1515th then buy the market and get out
25:19after 20 days these are simple
25:21conditional if then trading statements
25:24now one of the big advantages of the
25:26easy language coding language that we'll
25:28be using a lot in this course is that as
25:32the name suggests it's a very easy
25:34language to understand when you are
25:36writing down your trading rules that the
25:39system and will follow those conditional
25:41if then statements easy language really
25:44writes and reads like a sentence so
25:47let's look at an example of one of these
25:50if then statements let's look at a very
25:52simple two-line complete systematic
25:56trading strategy let's jump into the
25:58trade station trading platform now this
26:01is what tradestation looks like right
26:04out of the box so if you have never used
26:06tradestation or you've never used any
26:09other automated trading platform this is
26:12generally what a automated trading
26:14platform will look like to start we are
26:16going to go up and open up our easy
26:19language editor think of this as the
26:22place where you are going to write your
26:24scripts you are going to write down the
26:27rules and the strategies that you want
26:30to trade I'm going to open up a new
26:31strategy I am simply going to call this
26:34our first strategy two lines of code
26:39simple enough I'm going to delete the
26:42starter code that it gives us and for
26:44this strategy we are going to write this
26:46like a sentence so we're going to build
26:48a momentum strategy that says if the
26:51close is the highest close of the past
26:5410 days then by the next bar at Market
26:58so basically get in on the next possible
27:01opportunity the next time the Market
27:03opens if this is a daily bar and then if
27:06time has passed so if 10 bars have
27:10passed so if we're using daily bars that
27:12will be 10 days if 10 bars have passed
27:15since I bought the market then sell next
27:18bar at Market this is now a complete and
27:23I'm going to verify it so I know it's a
27:25complete strategy this is a complete
27:27fully coded systematic trading strategy
27:30it has those nice conditional statements
27:33if the market is going higher so if the
27:35market closes the highest close then buy
27:38that upward momentum them and if 10 bars
27:41have gone by or 10 days have gone by get
27:44out of that long position now that we
27:46have our strategy written let's add our
27:48strategy to a chart so we are going to
27:52bring up a chart and let's make this a
27:56heating oil chart so we are going to be
27:58looking at the heating oil Futures
28:01Market I'm going to go to my time frame
28:03customize there's the ticker for heating
28:05oil at ho is the heating oil continuous
28:09contract and let's make this
28:11240 minute bars so that is a four hour
28:15bar Futures let's go back to 2010 and
28:18voila there is the chart for heating oil
28:22240 minute bars I can then add the
28:25simple strategy script that we've
28:27written that two lines of code simple
28:30first strategy two line of code strategy
28:32and there we go tradestation can see it
28:35tradestation says this is a good
28:36strategy let's pop it in the chart and
28:38we can see how this strategy trades on a
28:43chart it's a momentum strategy again we
28:45are buying higher closes so if the close
28:48is the highest close of the past 10 bars
28:51the past 10 240 minute bars the system
28:54will buy buying upward momentum getting
28:57out after 10 bars buying upward momentum
28:59getting out after 10 bars it's generally
29:01a pretty good momentum strategy now one
29:04of the advantages of this being a
29:06rule-based system a systematic trading
29:09strategy is that we can look at a
29:11strategy performance report we can see
29:14that simple approach of buying upward
29:17momentum buying higher closes in the
29:20heating oil Futures Market it's done
29:22okay the strategy has made about a
29:24hundred and twenty thousand dollars over
29:26the past 12 years if we look at a equity
29:30curve it's okay it's done well recently
29:32not so well in the Years prior but as a
29:35starting point it's good to see that
29:38this simple breakout system two lines of
29:40code can make money in heating oil
29:43Futures so that's systematic trading
29:45writing down simple rule-based
29:48conditional statements adding that
29:50strategy to a chart so we can see how
29:52the system trades and we can look at
29:54some basic profit statistics this is the
29:57core of systematic trading and it's what
29:59we're going to be spending a lot of this
30:01course doing building strategies testing
30:04strategies see how they trade and gauge
30:07if it's a strategy that we want to turn
30:09on and automate to generate profits in
30:12real time now one quick note before we
30:14move on we wrote that simple trading
30:17strategy in the easy language coding
30:19language but here's that same strategy
30:22written in hindscript and that same
30:25strategy written in ninjascript C sharp
30:28what you'll notice is that once you
30:30understand what that easy language code
30:33is accomplishing buying a higher high
30:35getting out after 10 bars differences
30:38between easy language Pine script and
30:41ninja script and python it's like the
30:43differences between Italian and Spanish
30:46and Portuguese and French these are the
30:48romance languages of systematic trading
30:51so again in this course today focus more
30:54on the trade logic and what we're doing
30:57with these strategies don't get too hung
30:59up on the fact it's written in Easy
31:01language all of the concepts that we're
31:03talking about today are Universal to
31:06systematic trading regardless of the
31:09coding language that you use now we're
31:11going to be doing a lot of strategy
31:13building today but if you want to watch
31:16another video on building a simple
31:19systematic trading strategy you can
31:21click here to watch our video titled
31:24build your first strategy it's another
31:26good overview of some of the simple
31:28building blocks that we'll be going
31:30through today entries exits variables
31:33filters and that's what we'll be talking
31:35about in our next three sessions is
31:38strategy entries strategy exits filters
31:41really those fundamental building blocks
31:43that you can use to create exceptional
31:46systematic trading strategies so let's
31:48move on to the next session and talk
31:50about the most fundamental building
31:52block of a systematic trading strategy
31:55great strategy entries
31:59foreign
32:00[Music]
32:05strategy has two important building
32:07blocks and that is entries and exits a
32:10strategy entry gets you into a long or
32:13short position in a commodity future or
32:16stock or Bond and an exit gets you out
32:19of that position so let's look at the 10
32:21greatest of all time entries that you
32:24can be using to build profitable
32:26systematic trading strategies and of
32:28course you don't need to write any of
32:30these entries down they're all available
32:32in the peak I'll go trading package at
32:35peakalgo.com now what makes these the
32:38greatest trading entries you are going
32:40to see these trading entries time and
32:42time again in the strategies that we
32:45build at peakalgo.com you'll see them in
32:47systematic strategy books you'll see
32:49them in YouTube videos online and most
32:52importantly you'll find yourself falling
32:54back on these strategy entries as a
32:56great Foundation upon which you can
32:58build more complicated systematic
33:01strategies bottom line they work you're
33:04going to see them a lot and most of the
33:06strategies you build and trade will rely
33:09on these basic strategy entries now as
33:11always we'll be going through these
33:13strategies written in the easy language
33:15coding language but focus more on the
33:18strategy logic what the strategy is
33:20trying to do and less on the specific
33:23code so if you want to recreate what
33:25these strategies are doing in python or
33:28r or C plus plus or Microsoft Excel you
33:32can do that these strategy concept
33:34entries are Universal for our first
33:37strategy entry let's look at a simple
33:40price pattern what this strategy does is
33:43it says if the close of the last bar was
33:46greater than the open of the last bar
33:48and the close two bars ago was greater
33:51than the open two bars ago and the close
33:53three bars ago was greater than the open
33:56than buy next bar at Market so buy
33:58upward momentum and vice versa if you
34:01have lower closes for three bar bars in
34:05a row then sell short the next bar at
34:08market now one of the advantages of
34:10course of coding this up and adding it
34:13to a platform like tradestation is that
34:15we can see how this strategy works on a
34:18chart so here we have three lower bars
34:21the strategy sells short we have three
34:23Rising bars the strategy goes long this
34:27strategy on crude oil 240 minute bars
34:30has been working pretty well recently
34:33the strategy successfully bought upward
34:35momentum sold upward momentum bought
34:37upward momentum and sold downward
34:40momentum now for our next strategy entry
34:43let's look at a simple breakout this
34:45works well for markets that Trend so
34:48what this strategy does is it says if
34:51the market close of the last bar is the
34:54highest close of the past 10 bars then
34:57buy the next bar at market and if the
35:00market closed is the lowest close of the
35:03past 10 bars then and sell short at
35:06markets so again it's a different way to
35:08buy upward momentum and sell downward
35:10momentum and we can see what this
35:13strategy looks like on a chart let's add
35:16this to a gold 240 minute bar chart you
35:20can see that when we're at the highest
35:23close of the past 10 bars the system
35:26goes long when we're at the lowest close
35:28of the past 10 bars the system sells
35:31short gold Futures system chopped around
35:33a little bit here bought and sold and
35:36bought and then here it went short again
35:38at the lowest bar of the last 10 bars
35:40and successfully made a nice short trade
35:43now this is a good opportunity for us to
35:47add our very first input so we can add
35:51an input called length x and replace our
35:55static value of 10 bars with our new
35:58input and this allows us to optimize
36:01this input value in trade state trade
36:05station will tell us instead of 10 the
36:07best value to use between 5 and 15 is
36:11going to be a value of 5. so if we
36:14optimize for net profit we can see that
36:17actually a value of 5 is better than 10
36:20for buying higher highs and selling
36:23lower lows we can see the system is
36:25doing pretty well here in terms of
36:28buying higher highs selling lower lows
36:30it's catching some nice moves on gold
36:33240 minute bars now let's look at a
36:36simple mean reversion entry this is for
36:39markets that mean revert so unlike our
36:43breakout strategy that buys higher
36:46closes in this case we are going to be
36:48selling short the highest close of the
36:51last X bars so this was our breakout
36:54strategy instead of buying a higher
36:57close we are going to sell short and
36:59instead of selling short on a lower
37:02close we're going to be buying so again
37:05selling short a higher close buying a
37:08lower close and if we add our strategy
37:11our mean reversion strategy entry to a
37:14mean reverting market like the Coco
37:17Market this is Coco daily bars we can
37:19see that this simple mean reversion
37:21strategy that buys lower closes sells
37:24higher closes buys lower closes sells
37:27higher closes has been working
37:29exceptionally well in a mean reverting
37:32sideways trading Market environment for
37:35our next strategy entry let's look at
37:37using a market indicator like trading
37:40volume or RSI momentum or macd momentum
37:44or adx momentum as a requirement before
37:49buying lower closes or selling short
37:51higher closes basically this trading
37:54system is looking for a low volume or a
37:58low momentum reversal as a signal to
38:01trade we can see what this looks like in
38:04feeder cattle which is a smaller Market
38:07in which volume is an important
38:09indicator for the next direction of the
38:12market this system does a nice job of
38:15selling short higher closes buying lower
38:18closes when volume is also dropping at
38:21the same time we can see that the system
38:23has performed fairly well over the past
38:26year we see a nice upward sloping
38:29cumulative profit line an upward sloping
38:32Equity curve for our next strategy entry
38:35let's look at dueling momentum and this
38:38will be the first time that we
38:40incorporate a second strategy input
38:43called length two so in this case we are
38:46going to be going with short-term
38:48momentum in this case 15 bar momentum
38:51against long-term momentum for example
38:5450 bar momentum so how does this
38:57strategy work if the most recent close
38:59is above the close 15 bars ago but still
39:04below the close 50 bars ago the strategy
39:08will buy the next bar at market and vice
39:11versa of the most recent close is below
39:14the close 15 bars ago but above the
39:17close 50 bars ago the strategy will sell
39:20short next bar at Market if we add our
39:23dueling momentum strategy to an orange
39:26juice 230 minute bar chart we can see
39:30how this dueling momentum strategy works
39:32this strategy is buying when prices are
39:36low but near-term momentums turning
39:38higher and it's selling short when
39:41prices are high but near-term momentum
39:43is turning lower and if we look at a
39:46strategy performance report we can see a
39:49nice upward sloping Equity curve over
39:52the past 10 years this dueling momentum
39:55approach in orange juice Futures has
39:58performed pretty well for our next
40:00strategy entry let's look at using a
40:04date trade this is the foundation for
40:07trading price seasonals what this
40:09strategy does is the strategy will buy
40:13if the date crosses over September 1st
40:172022 it will do the same thing for 2021
40:21and the same thing for
40:232020. this is good for a market like
40:27corn which is seasonally bullish corn
40:30Futures tend to rise in September and
40:33October and November during U.S Harvest
40:36months we can add a simple bars sense
40:39entry exit to this strategy to get a
40:42sense for what it looks like on a chart
40:45so what this system is doing is again
40:47buying corn Futures on September 1st
40:512020 on September 1st 2021 and again on
40:55September 1st of this year 2022 and
40:59exiting that position 90 days later now
41:03you might ask why use the date crosses
41:06over code instead of just if the date
41:09equals September 1st the reason for that
41:12is if your September 1st falls on a
41:16weekend or a holiday you still want
41:18tradestation to pick up a trading signal
41:21for the next Open Session by coding if
41:24date crosses over September 1st you're
41:28allowing tradestation to do that now if
41:30you want access to an Excel spreadsheet
41:33with a version of this seasonal code
41:35that allows you to optimize for getting
41:38into a trade before and after a specific
41:41date as well as being able to optimize
41:43how long to stay in that trade just
41:46shoot me an email Insight at
41:48peaktradingresearch.com and I will send
41:51that over to you for our next strategy
41:53entry let's use the day of the week to
41:56trade for example let's always go long
41:59on Wednesdays what this strategy does is
42:02it says if the day of the week is day
42:05number two that's Tuesday then buy the
42:08next bar at Market that's Wednesday and
42:11if the date of the week is number three
42:13that's Wednesday set the exit on close
42:16so another way to say that is get in on
42:18the open on Wednesday get out at the
42:21close on Wednesday and if we add this
42:24strategy to a soybean daily bar chart we
42:28can see how this strategy works the
42:31strategy is buying the open on
42:33Wednesdays it's getting out on the close
42:36on Wednesdays now this strategy worked
42:39really well in 2021 and early 2022 when
42:44energy markets were rallying you had
42:46generally bullish statistics from the
42:49Department of energy released on
42:51Wednesdays so Wednesday was generally a
42:54good day of the week to be long soybean
42:56futures for our next strategy entry
42:59we're going to be incorporating an
43:01external data set to trade now this
43:04external data set can be anything that
43:07has a date and a value for example it
43:10could be the rainfall in Iowa for the
43:13past 10 years it could be the value of
43:16cash French wheat for the past 10 years
43:19or as one of my favorite indicators we
43:22can use the commitment of Traders the
43:25cot report net hedge fund position for a
43:29specific Market this could help us
43:31determine if hedge funds the speculators
43:34in commodity markets are extended short
43:37or they're extended long in a particular
43:40market so this is what our strategy
43:43entry code that incorporates an external
43:46data set looks like for example we will
43:49look at a situation in which the hedge
43:52fund net long position the hedge fund
43:55non-commercial net position is above a
43:58value of 20 000 contracts short in that
44:01case we are going to look to sell short
44:04the next bar at the lowest low of the
44:08past two bars stop we're going to look
44:10to sell downward momentum if we're above
44:12that threshold now tradestation has this
44:16non-commercial net position as a code
44:19that we can simply enter like this and
44:22to make this a realistic complete
44:25strategy we'll simply add a line of code
44:27that says we will get out if bar sense
44:31entry is greater than 10 bars we can now
44:34add this external data set strategy to a
44:38wheat daily bar chart and trade station
44:41and we can see what the strategy is
44:43doing it is going short on Lower
44:46momentum only if the non-commercial
44:50position is above a certain threshold so
44:54if hedge funds are extended long in
44:56wheat then and only then will this
44:59system start trying to sell front month
45:02wheat futures for a profit Now Inc
45:04incorporating an external data set to
45:07trade especially if that data set is
45:10based on a fundamental value something
45:13like the cash value of a commodity or a
45:16supply and demand balance sheet value or
45:18a weather value that is increasingly
45:21being called Quantum mentals trading
45:24that is using a fundamental value as a
45:27threshold or a prerequisite for
45:30establishing a quantitative trading
45:32position if you work for a commodity
45:34hedge fund or a big commodity trading
45:37house you need to be familiar with this
45:39style of quantimentals trading our next
45:42strategy entry is a moving average
45:45crossover entry and it's the first time
45:48that we'll be using variables to
45:51establish a trading position a strategy
45:53variable is a dynamic value or an
45:56equation that we can easily reference
45:59later in our strategy and keep the
46:02strategy more simple in this case we'll
46:04be defining our moving average short
46:07variable as the average close of a short
46:11length and our moving average long
46:14variable as the average close of a
46:17longer length if the shorter moving
46:19average crosses over the longer moving
46:22average than buy next bar at market and
46:25vice versa if the shorter moving average
46:28crosses under the longer moving average
46:31than sell short next bar at market and
46:34now we can look at what this strategy
46:36looks like on a heating oil daily bar
46:40chart we can also add those moving
46:42average lines to our chart to really see
46:45when they cross over you can see what
46:47the strategy is doing when the
46:49short-term moving average crosses below
46:51the long term the strategy gets short
46:53and when the short term crosses up
46:55through the long term the strategy gets
46:57long and if we look at a performance
47:00report that's not too bad for a simple
47:03moving average cross silver strategy
47:05that is always in the market this moving
47:08average crossover approach has done
47:11pretty well given the big Market swings
47:13that we've seen in heating oil Futures
47:15over the past two years so we've walked
47:18through nine exceptional systematic
47:21strategy entries it's time to look at
47:23the goat the greatest of all time
47:26strategy entry this is a simple breakout
47:29entry that works well across a lot of
47:32different markets especially breakout
47:34commodity markets like crude oil heating
47:37oil gasoline soybeans soybean meal lean
47:41Hogs gold and silver so let's look at
47:44our goat breakout strategy code there it
47:47is this is the greatest of all time
47:50strategy entries it's a simple stop
47:53breakout it is buying the next bar at
47:56the highest high of the past 10 bars on
47:59a stop and it is selling short the next
48:01bar at the lowest lows of the past 10
48:04bars on a stop now you'll often hear
48:07Traders talk about stopping out of a
48:10position this strategy stops you into a
48:13position meaning if the price prints at
48:16or above the highest high of the past 10
48:19bars this strategy will enter
48:21immediately it will not wait to execute
48:24at the next bar at Market it will
48:26execute immediately and if we add our
48:29goat breakout strategy to a gasoline 240
48:33minute bar chart we can get a real sense
48:35for how this strategy trades if the
48:39market is breaking lower and sees the
48:42lowest level of the past 10 bars it
48:44stops into a short position it gets in
48:46immediately and if the market is turning
48:49higher and prints the highest level of
48:51the past 10 bars the strategy will stop
48:54into a long position immediately we can
48:57see that this breakout strategy has done
48:59a very nice job of catching some of the
49:02big swings that we've seen in gas Celine
49:05Futures recently and if we look at a
49:07longer term performance chart look at
49:10that that is a nice upward sloping
49:13Equity curve this approach of buying
49:15higher highs and selling lower lows with
49:18stops has worked exceptionally well over
49:21the past decade in gasoline Futures you
49:24now have 10 great strategy entries that
49:27you can use over and over again to
49:29develop some really exceptional
49:31systematic trading strategies even more
49:34complicated systematic trading
49:36strategies with dozens of lines of code
49:39and different filters and variables and
49:41exits often rely on these very simple
49:44strategy entries as the foundation so
49:47now let's move on to strategy exits
49:51foreign
49:53[Music]
49:58we talked about the 10 greatest strategy
50:01entries and now it's time to cover the
50:0410 greatest strategy exits every trading
50:07strategy has those two important
50:09building blocks entries and exits exits
50:12are often overlooked but they are just
50:14as important as strategy entries great
50:17exits can help you manage risk they can
50:19help you lock in profits and overall
50:21they can make you a better more
50:23confident Trader so the 10 greatest
50:26strategy exits let's look at the list as
50:29always we'll be looking at some easy
50:31language strategy code but Focus Less on
50:34the code itself and more on the strategy
50:37logic that way if you're using another
50:39coding language like python or C plus
50:42plus or r or you're doing your work in
50:45Microsoft Excel you can still use these
50:48exits so let's get started let's look at
50:50the greatest of all time strategy exits
50:53starting with exit number 10 for the
50:56first exit that will be looking at this
50:58is a system where your entry is the same
51:02as your exit this is a complete trading
51:05system that is always long or short the
51:08way this strategy works is if the market
51:11closed is the highest close of the last
51:13six bars then the system will buy the
51:15next bar at market and vice versa if the
51:18close is the lowest close of the past
51:21six bars the system will sell short next
51:24part market and again it's a complete
51:26system the system is always long or
51:28short it's always in the market and we
51:30can see what this looks like if we add
51:33this strategy to a heating oil 240
51:36minute bar chart the system does a nice
51:38job of selling short on downward
51:41momentum and buying upward momentum
51:44selling short on downward momentum if
51:47you look at a strategy performance
51:48report the system has done fairly well
51:51over the past year for just two lines of
51:53code always in the market this run up
51:56here is Russia as invasion of Ukraine
51:58when we saw a lot of volatility and a
52:01lot of big breakout moves in heating oil
52:03futures for our next trading exit we'll
52:06just look at a simple stop loss this is
52:09the simplest of all exits and it's a
52:12good way to manage risk what this exit
52:16does is it says if the system is at any
52:19point losing five thousand dollars per
52:22contract just exit the position exit the
52:24position immediately and if we add this
52:28stop loss exit to our goat stop breakout
52:31entry that we worked on in our video on
52:34strategy entries we can see what this
52:37looks like on a chart again the strategy
52:39is going short on Lower momentum it's
52:42buying upward momentum but we can see
52:44that once in a while it's hitting a stop
52:46loss and this brings up an important
52:48question do you need a stop loss does
52:52your system need to have a stop loss not
52:55necessarily you can build systems that
52:57are always long or short that are always
52:59in the market that are always waiting
53:01for that next trading signal in the
53:03opposite direction to get out of a trade
53:05a stop loss will generally help you
53:07sleep better at night it's just a nice
53:09way to know that if things really go
53:11wrong you're gonna get out of a position
53:13so bottom line even if adding a stop
53:16loss maybe doesn't improve the backward
53:18looking Equity curve of your trading
53:21system you should still consider adding
53:23a stop loss it's a good simple risk
53:25management and it makes your trading
53:27system more realistic more tradable for
53:30our next trading exit we have a simple
53:33profit Target like a stop loss this is a
53:37simple line of code that will take
53:39profit on a position if the total gain
53:42is more than ten thousand dollars and if
53:46we add our profit Target to our goat
53:49entry and add it to a heating oil 240
53:53minute bar chart we can see how a profit
53:55Target works the system will sell short
53:57it's a profit Target go short again hit
54:00another profit Target and so on now you
54:02might ask why add a profit Target to a
54:06trading system why not just let your
54:08winners always run there are two reasons
54:11for this the first reason is if you look
54:14at an equity curve going back through
54:16time you'll often find one or two or
54:19three really big gains that make up most
54:23of the profits over the course of the
54:25past 10 years meaning the trading system
54:27happened to catch a few big volatile
54:30moves like the financial crisis or the
54:33covid washout or Russia invading Ukraine
54:36and you don't necessarily want to rely
54:38on a system that plays for those types
54:40of events in the future that you may not
54:42catch and adding a profit Target limits
54:46the impact of those one-off macro events
54:48the second reason is adding a profit
54:51Target just makes your system more
54:53realistic if your system usually makes
54:55gains of a thousand or two thousand or
54:58three thousand dollars per contract and
55:00all of a sudden you find yourself
55:02sitting on a gain of five or six or
55:05seven thousand dollars per contract
55:06realistically you will probably take
55:09profit on that position we all want to
55:12say that we're systematic Traders and
55:14that will always let our systems run but
55:16realistically if you're sitting on a big
55:19gain you'll probably take those chips
55:21off the table why not code that in why
55:23not code in a profit Target our next
55:26trading exit is a simple profit Target
55:29that executes on the next bar at Market
55:33there's nothing really groundbreaking
55:35here the only difference is that if your
55:38max position profit is greater than your
55:41profit Target four thousand dollars per
55:43contract five thousand dollars per
55:44contract six thousand dollars per
55:46contract the system will then exit at
55:48the next bar at Market either sell or
55:51buy to cover on the next Market Bar an
55:54advantage of this approach is that you
55:56can take it advantage of the liquidity
55:58on the next Market open if you're a
56:01larger Trader or if you just want to
56:03execute trades once a day if you've
56:05built your system to always execute next
56:08bar at Market you can use an entry that
56:10enters next bar Market with this exit
56:12that always executes next bar and Market
56:14our next exit is a simple trailing take
56:18profit exit this is a great exit what
56:22this code is doing is it's saying if the
56:24max position profits so the most money
56:28that we've ever made on a position minus
56:31the open position profit so the current
56:33profit that we have at this minute is
56:36greater than two thousand so if you've
56:39made ten thousand dollars at some point
56:40and all of a sudden you're down to only
56:42seventy five hundred dollars that's
56:44greater than two thousand this system
56:46will begin to exit it will sell next bar
56:49at Market or it will buy to cover next
56:52bar at market and if we combine this
56:55with our goat Breakout entry we can see
56:58what this looks like on a heating oil
57:00240 minute bar chart the system went
57:02long on upward momentum and then starts
57:05to lose some money so gets out of the
57:08position the spread between the most
57:10money the system has made and the
57:12current money that the system has made
57:14is greater than that threshold so the
57:16system exits our next exit is a protect
57:19profit ratio this is a similar idea to
57:23our trailing stop but it's phrased a
57:26little bit differently here if the max
57:28position profit is greater than a
57:30threshold of five thousand dollars per
57:32contract the system is long and the open
57:35position profit over the max position
57:38profit is less than 0.5 so if you've
57:42given back 50 percent of your gains then
57:44get out of a position vice versa if the
57:47market position is short if we add this
57:50to a heating oil 240 minute bar chart
57:53again we can see how this works the
57:55system went short here on Lower moment
57:56was making good money then the system
57:59got above that profit threshold the
58:01market started to revert higher and the
58:04system gets out same thing happened here
58:06system went short Market starts to
58:08revert higher and the system gets out
58:10because of this exit all right our next
58:12exit is a quick Spike profit exit what
58:17this exit does is it says if your Market
58:20position is greater than zero if you are
58:22long you're selling the next bar at the
58:25close plus three percent and if your
58:28Market position is less than zero if
58:30you're short you're buying to cover at
58:32the next bar minus three percent and if
58:35we look at what this exit looks like on
58:38a chart we can see that when you have a
58:41big move quickly in your favor so if
58:44you're short and the market spikes lower
58:46or you're long and the market spikes
58:49quickly higher you are going to exit
58:51immediately our next exit is an ATR stop
58:55what this code does is it says if you
58:58are long and the market starts moving
59:01against your position lower as defined
59:04by this average true range over the past
59:0710 bars times two you want to stop out
59:09of your position vice versa if you're
59:12short you want to buy to cover if the
59:14market starts moving Higher by this ATR
59:18times two values so effectively if
59:20you're long and the market starts
59:21dropping you hop out if you're short and
59:23the market starts Rising you also hop
59:26out of your position and if we add this
59:28to a heating oil 240 minute bar chart we
59:32can see how this works here you've
59:34established a short position the market
59:36starts moving higher you stop out you
59:39get into a short position again when
59:40momentum starts breaking lower it's a
59:42successful trade same thing here you get
59:44short it's a successful trade same thing
59:47here short successful trade now you're
59:49short and the market starts moving
59:50against you so you stop out it's a nice
59:53way to avoid getting short into an
59:56overly uptrending Market two more exits
59:58to go this is our reverse exit reverse
1:00:02after X bars so if the bars sense
1:00:06entries greater than 10 if you've been
1:00:08in for 10 bars and you are long then you
1:00:11want to go short the next bar on the
1:00:13open and if the bar sense entry is
1:00:16greater than 10 and you are short then
1:00:19you want to buy the next bar on the open
1:00:22effectively after 10 bars you want to
1:00:25switch directions now this approach will
1:00:28generally work well on more mean
1:00:30reverting markets a market like cocoa or
1:00:34coffee or Nat gas a market that you
1:00:36already know tends to trade in the
1:00:38sideways pattern this generally will not
1:00:41work too well in markets that continue
1:00:43to break out because after a certain
1:00:45amount of time you're trading against
1:00:47momentum for longer Trends so what this
1:00:49looks like on a chart we can see here
1:00:51we're buying upward momentum via our
1:00:54goat entry our goat breakout entry after
1:00:5710 bars we're then getting short here we
1:01:00are getting short again and then after
1:01:0210 bars we are getting long you can see
1:01:05it kind of trades in these up down up
1:01:07down patterns reversing the position
1:01:09every 10 bars now it's time I know
1:01:12you're as excited as I am let's look at
1:01:15the goat the greatest of all time
1:01:18trading exit and there it is exit number
1:01:21one exit after a certain number of bars
1:01:25this is a Time based exit effectively if
1:01:29your bars since entry is greater or
1:01:32equal to 20 so if you've been in for 20
1:01:34bars just get out you're long you sell
1:01:37next bar Market if you're short you buy
1:01:39to cover next bar at Market in fact we
1:01:42can even clean this up a bit and make
1:01:45this one simple line of code now if we
1:01:49add our goat stop breakout entry as
1:01:52always we can see what this looks like
1:01:55on a chart no surprise rise our goat
1:01:58entry gets us long on momentum we get
1:02:00out after 20 bars again our goat entry
1:02:04gets us long and upward momentum and we
1:02:06are going to get out after 20 bars so
1:02:09when there's no other signal the system
1:02:11will always exit after a certain amount
1:02:14of time in this case 20 240 minute bars
1:02:17now this might be a controversial pick
1:02:20for the greatest of all time exit maybe
1:02:23you like that trailing stop because it
1:02:25helps lock in profits maybe you like
1:02:27that reverse exit because if you think a
1:02:30trend is over while not reverse and take
1:02:32the other direction but believe me you
1:02:35will find yourself using this bar sense
1:02:37entry exit all the time it's simple it's
1:02:40easy to test and Trends only last so
1:02:43long it makes sense to strongly consider
1:02:46using a time-based exit and keep in mind
1:02:49you can layer on different exits it's
1:02:52very common to see a strategy have two
1:02:55or three or four four different exits
1:02:58you can have a stop loss A take profit a
1:03:00trailing stop and a bar since entry exit
1:03:03all in the same strategy so you now have
1:03:0610 great exits in addition to your 10
1:03:09great strategy entries you can build
1:03:12analyze test and trade thousands of
1:03:15different systematic strategies and in
1:03:17our next session we are going to look at
1:03:20building some real systematic trading
1:03:22strategies using some of these simple
1:03:25building blocks so on to the next
1:03:27session let's build some strategies
1:03:32foreign
1:03:32[Music]
1:03:37s we looked at Great strategy entries
1:03:41and great strategy exits and now we're
1:03:43going to combine them we're going to
1:03:44combine our entries with our exits to
1:03:47take a look at some simple but robust
1:03:50trading strategies across a diversified
1:03:52basket of commodity Futures let's start
1:03:55this process by running some tests we're
1:03:57going to start by testing five of our
1:04:00simple great entries our simple breakout
1:04:02or simple mean reversion our low volume
1:04:05reversal dueling momentum and the Goat
1:04:08the greatest of all time stop breakout
1:04:11strategy entry and we'll test those
1:04:13strategy entries using all 10 of our
1:04:16greatest strategy exits we'll take those
1:04:19five strategy entries and 10 strategy
1:04:21exits test them across 120 different bar
1:04:25sizes ranging from 30 minutes all the
1:04:27way up to daily bars and test all that
1:04:30across the 25 most liquid us commodity
1:04:33markets so overall we're going to run
1:04:351.5 million an optimization test to find
1:04:39some simple robust systematic trading
1:04:41strategies that combine our great
1:04:44strategy entries and great strategy
1:04:46exits and I'll mention that this
1:04:48strategy that we use to test all these
1:04:50different exit and entry combinations is
1:04:53our Peak Opus strategy and you can find
1:04:57the full code for this Opus strategy in
1:05:00the course packet available at
1:05:03peakalgo.com so let's jump into it let's
1:05:06look at some system strategy code
1:05:08written in the easy language coding
1:05:10language let's look at how these systems
1:05:12trade on a chart and then finally let's
1:05:15look at some profit statistics for each
1:05:17of these five simple robust systematic
1:05:21trading strategies our first strategy is
1:05:23a simple breakout strategy on lean hog
1:05:27240 minute bars what this strategy is
1:05:30doing is if the close of one of these
1:05:33lean hog 240 minute bars is the highest
1:05:36lows of the last 50 then the system will
1:05:39buy the next bar at market and vice
1:05:42versa if the close is the lowest close
1:05:44of the last 50 bars the system will sell
1:05:47short next bar market and for the exit
1:05:50we're using the reverse after a certain
1:05:53number of bars exits so if there's no
1:05:56other trading signal and the system is
1:05:58long it goes short and if there's no
1:06:00other trading signal and the system is
1:06:02short then it goes long and of course
1:06:04one of the big advantages of this being
1:06:06a systematic trading strategy we can
1:06:09simply add this trading system to a lean
1:06:12hog 240 minute bar chart to really get a
1:06:15sense for how the strategy works we can
1:06:18see the system is buying higher highs
1:06:20it's selling short lower lows and in the
1:06:23absence of a system the system will
1:06:25simply reverse go long reverse go short
1:06:28reverse go long reverse go short so it
1:06:31will buy breakouts sell breakouts and
1:06:33then trade reversals if there's no other
1:06:36signal and if if we look at a strategy
1:06:38performance report we see a nice upward
1:06:41sloping Equity curve this trading system
1:06:44has generated positive profits of about
1:06:47a hundred and ten thousand dollars over
1:06:49the past 11 years running from 2010 to
1:06:52the end of 2021 and that includes the
1:06:56realistic costs of slippage and Brokers
1:07:00commission to jump into a performance
1:07:01summary there it is total net profit a
1:07:04hundred and ten thousand dollars with a
1:07:06profit factor of 2.23 this is a good
1:07:09trading system our next trading system
1:07:12is a simple mean reversion strategy on
1:07:16Coco daily bars what this system does is
1:07:19it says if the close of the Coco Market
1:07:22is the highest close of the last 35 days
1:07:25then sell short next bar at market and
1:07:29if the close is the lowest close of the
1:07:32last 35 days then buy next bar at mark
1:07:37mean reversion system it's selling short
1:07:40higher highs and it's buying lower lows
1:07:43and there's a quick Spike profit exit if
1:07:46the system is long and the market spikes
1:07:49Higher by five percent the system exits
1:07:52and if the system is short and the
1:07:54market Falls by five percent the system
1:07:57exits let's take a look at what this
1:07:59system looks like on a chart using Coco
1:08:02daily bars you can see that this system
1:08:05is doing what we expected it is selling
1:08:08short higher highs it is buying lower
1:08:11lows it is generally mean reversion
1:08:13trading in a pretty tight Channel Coco
1:08:16is the world's number one mean reverting
1:08:19commodity market so we would expect that
1:08:21a mean reversion strategy like this
1:08:23would perform pretty well let's look at
1:08:25a strategy performance report there we
1:08:28go that's a nice upward sloping Equity
1:08:31curve this mean reversion approach to
1:08:33trading Coco Futures has worked well
1:08:36over the past 11 11 years up to 2022 and
1:08:40if we look at a performance summary
1:08:41there we go sixty thousand dollars in
1:08:44profit fifty six thousand to be exact
1:08:46with the profit factor of 2.37 again
1:08:50another good trading system considering
1:08:52we're just using a few lines of code and
1:08:55a simple mean reversion trading approach
1:08:58our next trading system is a low volume
1:09:01reversal on Silver daily bars what this
1:09:05system does is it says if volume is
1:09:08lower than average and the close is the
1:09:11lowest close of the last 35 days then
1:09:14buy silver Futures next open at market
1:09:17and if volume is low and the close is
1:09:20the highest close of the last 35 days
1:09:23then sell short silver Futures next day
1:09:27at market and for the strategy exit
1:09:30there is no specific exit your entry
1:09:34acts as your exit what this means is
1:09:36that this system is always long or short
1:09:39the only time it exits a position is
1:09:42when it receives a trading signal in the
1:09:45opposite direction and if we add our
1:09:47trading system to a silver daily bar
1:09:50chart we can see how this system works
1:09:53the system is buying lower closes and
1:09:56selling short higher closes as long as
1:09:59volume is dropping and again what we'll
1:10:01notice is because there's no explicit
1:10:04exit your entry acts as an exit the
1:10:07system is always long or short the
1:10:09system always has a position in the
1:10:11market and if we bring up a performance
1:10:14report there we go another nice upward
1:10:17sloping Equity curve this trading system
1:10:20has made
1:10:21267 thousand dollars over the past 11
1:10:25years including the realistic costs of
1:10:28slippage and brokerage commission with a
1:10:31profit factor of
1:10:324.19 again not a bad system considering
1:10:37it's only a few lines of code and it's
1:10:39always in the market it is always
1:10:41trading silver Futures our fourth
1:10:43trading system is a dueling momentum
1:10:46trading system on copper 360 minute bars
1:10:50what the system does is it says if the
1:10:52recent Market close is above the close
1:10:55from 50 bars ago but it's also below the
1:10:59close from a hundred bars ago then buy
1:11:01next bar market and vice versa if the
1:11:04close is below the close 50 bars ago but
1:11:07above the close a hundred bars ago then
1:11:09sell short next bar at Market basically
1:11:12if short-term momentum is higher but
1:11:14long-term momentum is lower than buy and
1:11:17if short-term momentum is lower but
1:11:19long-term momentum is higher than sell
1:11:21short this trading system also has the
1:11:24goat the greatest of all time strategy
1:11:28exit it's that exit after X bars so if
1:11:3150 bars have passed if 5360 minute bars
1:11:35have passed and there's no other Trading
1:11:37signal simply hop out of the position
1:11:39and if we add our dueling momentum
1:11:42trading system to a copper 360 minute
1:11:46chart we can see how the system works if
1:11:49short-term momentum starts to turn
1:11:51higher against long-term momentum the
1:11:54system buys there's no other signal so
1:11:56the system gets out after 50 bars vice
1:11:59versa you have momentum turning lower
1:12:01here so the system sells short there's
1:12:03no other signal so the system buys the
1:12:05cover here and if we look at a strategy
1:12:08performance report there we go another
1:12:10nice upward sloping Equity curve this
1:12:13system has made 122 thousand dollars or
1:12:16single contract copper traded over the
1:12:19past 11 years including the realistic
1:12:22cost of slippage in commission with a
1:12:24profit factor of 1.7 another good
1:12:27trading system and for our fifth and
1:12:30final trading system there it is the
1:12:32goat the greatest of all time strategy
1:12:36entry it's a stop breakout system on
1:12:39Cotton daily bars how the system works
1:12:42it says if we are seeing the highest
1:12:45high of the last 45 days then buy on a
1:12:48stop and if we see the lowest low of the
1:12:51past 45 days then sell short on a stop
1:12:55and this system also has a simple profit
1:12:58Target next bar at Market exit so if the
1:13:01max position profit on any trade is over
1:13:05six thousand seven hundred and fifty
1:13:07dollars then get out of the position
1:13:09either sell next bar at Market or buy to
1:13:11cover next bar at market and if we add
1:13:14this strategy to a cotton daily bar
1:13:17chart we can get a sense for how it
1:13:20works the strategy is selling short
1:13:22breaks lower it is buying breaks higher
1:13:26and it has a simple profit Target
1:13:28looking at a strategy performance report
1:13:30we see another nice upward sloping
1:13:33Equity curve this system has made 90 000
1:13:37dollars over the past 11 years up to
1:13:402022 with a profit factor of 2.72
1:13:44another good trading system considering
1:13:47it's just a few lines of code so there
1:13:50it is you have five great robust
1:13:52systematic trading strategies based on
1:13:55our five greatest strategy entries and
1:13:58five great strategy exits you've got a
1:14:01simple breakout system in lean Hogs a
1:14:03mean reversion system in Cocoa at low
1:14:06volume reversal in silver dueling
1:14:09momentum and copper and the Goat the
1:14:11greatest of all time stop breakout
1:14:13trading system in Cotton now are these
1:14:16perfect strategies no there's no such
1:14:19thing as a perfect trading strategy but
1:14:21hopefully these give you a sense for the
1:14:23type of robust systematic strategies
1:14:26that you can build with simple building
1:14:28blocks and the full strategy code for
1:14:31all five of these great trading systems
1:14:34as well as the Opus code that we use to
1:14:37test all of these entry and exit
1:14:39combinations is available in the course
1:14:42packet at peakalgo.com and now that we
1:14:45have some good robust strategies let's
1:14:48talk about the best way to turn a good
1:14:51strategy into a great strategy and that
1:14:55is using filters
1:14:59[Music]
1:15:03you can turn good systematic trading
1:15:06strategies into great systematic trading
1:15:09strategies let's back up for a second in
1:15:13our last three sessions we looked at
1:15:15Great strategy entries and great
1:15:18strategy exits we then combined those
1:15:21entries and exits to build simple
1:15:24profitable robust systematic trading
1:15:27strategies across lean Hogs cocoa silver
1:15:30copper and cotton but what's the next
1:15:33step how can we turn good systematic
1:15:36trading strategies into great systematic
1:15:39trading strategies strategies that look
1:15:41more like real hedge fund caliber
1:15:44trading systems and have a much better
1:15:47chance of generating big trading profits
1:15:49in real time you can do all this with
1:15:52entry filters today we'll talk about how
1:15:55these filters work and I'll demonstrate
1:15:57how you can Implement them into any
1:15:59systematic trading strategy when you
1:16:02have a very basic trade rating system
1:16:04for example a breakout system or a mean
1:16:07reversion system or a momentum trading
1:16:10system you are following a very simple
1:16:12set of rules for example with a simple
1:16:15breakout system you are buying higher
1:16:18highs and selling short lower lows with
1:16:21the hope that on a long enough timeline
1:16:23that's a profitable trading approach but
1:16:25maybe that's not always the right
1:16:27approach maybe there are certain
1:16:29scenarios in which you don't want to buy
1:16:32higher highs and don't want to sell
1:16:34short lower lows what if you could find
1:16:36out what those bad situations are what
1:16:39if you could use filters to weed out
1:16:41those bad trading setups for example
1:16:44maybe your simple breakout system
1:16:46shouldn't be trying to buy higher highs
1:16:49if it's a Friday or if it's before 10 in
1:16:52the morning or if trading volumes are
1:16:55dropping or if volatility is increasing
1:16:57we can test all that we can use filters
1:17:00to answer the question should we be a
1:17:03avoiding that trading setup the peak
1:17:06filters that we'll talk about today test
1:17:08hundreds of different Market scenarios
1:17:11and price patterns to find what are
1:17:13those situations that you might want to
1:17:16avoid to increase your system's
1:17:18profitability so you get a sense for
1:17:20what these filters are how they could
1:17:22help us avoid bad trading setups now
1:17:25let's look at a practical example for
1:17:27the heating oil Market where we can take
1:17:29a good breakout trading system and turn
1:17:32it into a great breakout trading system
1:17:35there are four simple steps that we are
1:17:38going to follow first we are going to
1:17:40add the peak filter script to our
1:17:43strategy next we are going to test the
1:17:45entry filters we are then going to
1:17:47permanently move the filters into our
1:17:50strategy and finally we are going to
1:17:52remove the filter script that we added
1:17:54earlier so let's jump into tradestation
1:17:56and look at a very simple breakout
1:17:58strategy for the heating oil Market on
1:18:00240 minute bars what this strategy does
1:18:03does is it buys higher highs looking
1:18:06back at the last 50 bars and it sells
1:18:09short lower lows looking also back at
1:18:11the last 50 bars the strategy then exits
1:18:14so it either sells the position or buys
1:18:16to cover that heating oil position using
1:18:18a slightly different length the shorter
1:18:20length of only 15 bars there's also a
1:18:23profit Target of three thousand dollars
1:18:25per contract and a stop loss of a fifth
1:18:28of that three thousand dollars per
1:18:30contract so six hundred dollars per
1:18:32contract and if we look at some
1:18:34performance statistics we can see a nice
1:18:36upward sloping Equity curve so
1:18:38cumulative profits have accrued nicely
1:18:41over time with very few drawdowns and
1:18:43this system has made about a hundred and
1:18:46twenty eight thousand dollars including
1:18:48slippage and including commission costs
1:18:50over the past 10 years so we know we're
1:18:52starting with a pretty good breakout
1:18:55strategy in heating oil now let's add
1:18:57the peak filter script so that we can
1:19:00start testing which of those filters we
1:19:03ultimately want to add to the strategy
1:19:05to make it even better so this is what
1:19:07the peak filter script looks like that
1:19:10we'll be adding to our strategy what
1:19:12we're going to do is take this simple
1:19:14script and wrap it around the very first
1:19:17entry that we want to test so to do that
1:19:20we simply copy the script we paste it
1:19:22into our strategy to wrap it around the
1:19:26very first entry and now we confirm and
1:19:29we are good to go we can now test
1:19:31different entry filters on that first
1:19:33entry now you'll see in our strategy we
1:19:36have a new input called the filter input
1:19:39what we're going to do is we are going
1:19:40to optimize that new input with a value
1:19:43from 1 to 500 to see which of those
1:19:47price patterns or Market scenarios we
1:19:50should best be avoiding in our strategy
1:19:52our optimization is now done running if
1:19:55we look at our optimization report and
1:19:57sort by net profit we can see that the
1:20:00two best filters are number 140 31 and
1:20:04number 91 so we've run our optimization
1:20:07test across hundreds of different Market
1:20:09scenarios and price patterns and it
1:20:12tells us that number 91 and number 141
1:20:16are the filters that work best those are
1:20:19the market scenarios that we want to
1:20:21avoid to improve the performance of our
1:20:24strategy so let's move on to step number
1:20:28three let's find those filters look at
1:20:31what they are and move them permanently
1:20:33into our breakout strategy code we now
1:20:36want to find the strategy code for the
1:20:39filters that we're looking for so we go
1:20:41to our Peak filter function and remember
1:20:44we want to look for Filter Number 91
1:20:47there it is if the adx value is greater
1:20:51than 30 that is a situation that we want
1:20:54our code to avoid so here we write if
1:20:5780x greater than 30 equals false and
1:21:00next we want to look for the other
1:21:01filter that worked well for Forest that
1:21:03was number 141 so there it is this is an
1:21:07up range filter again we simply copy the
1:21:10filter we paste the actual strategy code
1:21:12into our strategy as a situation we want
1:21:15to avoid so false and we tell our script
1:21:18to begin if both of those filters are
1:21:21false now if we confirm our strategy we
1:21:25can immediately see the impact that this
1:21:27has on strategy performance there we go
1:21:30we can see our Equity curve looks even
1:21:33better this strategy has now made 175
1:21:37000 including slippage including
1:21:39commission costs instead of the 128
1:21:43000 from just the simple code we can now
1:21:45repeat this process that we did for the
1:21:48buying entry on the selling short entry
1:21:51so again we just wrap our testing script
1:21:54around the cell short entry we confirm
1:21:57our strategy and we're going to optimize
1:22:00that same filter value from a value of
1:22:04one to five hundred to test those 500
1:22:07different Market scenarios and price
1:22:09patterns our optimization is now done
1:22:12running same process as before we take
1:22:14the filters that performed best and we
1:22:17simply paste those filters from the
1:22:18function into our strategy and confirm
1:22:22that strategy now if we jump back into a
1:22:26strategy performance report we can see
1:22:28that performance continues to improve
1:22:30those filters are working we now have an
1:22:33even better Equity curve now making a
1:22:35little over a hundred and eighty
1:22:37thousand dollars over the past 10 years
1:22:39now for step number four we can jump
1:22:42back into our strategy and remove the
1:22:45filter script that we had added earlier
1:22:47just to clean things up a little bit if
1:22:50we confirm our strategy go look at a
1:22:52strategy performance report we can see
1:22:55that the strategy is unchanged right
1:22:57it's the same performance so we've now
1:22:59done a good job of cleaning up our
1:23:01strategy to use going forward with those
1:23:04new filters so we now have what looks
1:23:06like a pretty good systematic trading
1:23:09strategy for the heating oil Market we
1:23:12took a good simple breakout trading
1:23:15strategy and turned it into a great
1:23:17filtered breakout strategy this strategy
1:23:19looks like a great profitable hedge fund
1:23:23caliber breakout systematic trading
1:23:26system this back-tested strategy has
1:23:29made positive profit including the
1:23:32realistic costs of Market slippage and
1:23:34brokerage Commissions in 11 of the past
1:23:3712 years now the big question here is
1:23:41this optimization are we over optimizing
1:23:44our trading system by using these
1:23:47filters and therefore guaranteeing that
1:23:50the strategy will not work very well
1:23:52going forward and the answer is not
1:23:55really we're not tweaking the inputs and
1:23:57over optimizing the inputs of the
1:24:00trading system to get that perfect
1:24:02backward looking Equity curve we're not
1:24:05over optimizing inputs rather we're
1:24:07using filters to avoid bad trading
1:24:10setups situations in which it's just not
1:24:13profitable to establish a trading
1:24:16position so we end up trading less but
1:24:18the situations where we do trade are
1:24:21more profitable trading setups which is
1:24:24a pretty good situation to be in and
1:24:26something very cool about these filters
1:24:29is that these filters will often work
1:24:31across a lot of different markets for
1:24:34example this exact strategy same code
1:24:37same input values same filters also
1:24:41works in heating oil in gold in Platinum
1:24:45and crude oil that should give you more
1:24:47confidence that we've truly taken a good
1:24:49breakout trading strategy and turned it
1:24:51into a great breakout strategy a
1:24:54strategy that works across a lot of
1:24:56different markets and if you're
1:24:57wondering where you can get this peak
1:25:00filter code there is a version of our
1:25:04Peak filter code available in the
1:25:06strategy package at peakalgo.com and the
1:25:10full Peak filter code with hundreds of
1:25:13different Market scenarios and price
1:25:16pattern filters is available for annual
1:25:18subscribers at peakalgo.com so we've
1:25:22taken great strategy entries great
1:25:25strategy exits we've combined them to
1:25:28create some simple robust profitable
1:25:31systematic trading strategies and we've
1:25:33talked about how you can use entry
1:25:36filters to turn those good strategies
1:25:38into great strategies so you have a
1:25:41really good idea how you can build
1:25:43profitable high quality hedge fund
1:25:46caliber trading systems now let's move
1:25:49on and talk about optimization and how
1:25:52we can give our systematic trading
1:25:55strategies the best chance of Performing
1:25:58well going forward we've now finished
1:26:00our section on strategy building blocks
1:26:04and we're going to move on to our next
1:26:06section on strategy optimization
1:26:08incubation and portfolio construction
1:26:10everything that we'll go through in the
1:26:13next few sessions including the
1:26:15correlation spreadsheet from the section
1:26:17on portfolio construction as well as all
1:26:20the cheat sheets from this section on
1:26:22best algo markets to trade are available
1:26:25in the course packet at peakalgo.com and
1:26:30in terms of our overall systematic
1:26:32trading strategy development process we
1:26:35are going to cover a lot of ground in
1:26:38these next sessions we'll be talking
1:26:39about testing and optimization real-time
1:26:42incubation and portfolio and risk
1:26:45analysis let's move on to our next full
1:26:48section optimization incubation and
1:26:51portfolio Construction
1:26:54foreign
1:26:55[Music]
1:27:00we've now covered entries exits filters
1:27:03those fundamental building blocks of
1:27:05successful systematic training
1:27:07strategies let's move on and talk about
1:27:10optimization specifically some of the
1:27:13pitfalls of optimization and the steps
1:27:15that we can take to avoid them now what
1:27:18is optimization optimization is changing
1:27:21a trading system to make it more
1:27:23effective to make it more profitable and
1:27:26for systematic trading that means
1:27:28testing the strategies inputs to see if
1:27:31that improves strategy performance and
1:27:34in the book design testing and
1:27:36optimization of trading systems the
1:27:39author Robert Pardo says the goal of
1:27:41optimization is to find the values for
1:27:44model parameters that will generate Peak
1:27:46trading performance in real time that's
1:27:49a really important distinction that
1:27:51we're going to come back to again and
1:27:53again in this session the goal of
1:27:55optimization is not to create the
1:27:58perfect trading system of the perfect
1:28:00upward sloping Equity curve the goal is
1:28:03to find a set of parameters that best
1:28:05sets your strategy up to perform well
1:28:08and generate profits in real time now
1:28:11how can we do that and what does good
1:28:13optimization look like if you are using
1:28:16a professional systematic trading
1:28:18platform like tradestation multi-charts
1:28:21metatrader trading view system parameter
1:28:24optimization is always a very
1:28:27straightforward process if we jump into
1:28:29the trade station trading platform we
1:28:32can look at a simple breakout strategy
1:28:35for the gasoline market and the first
1:28:37thing we'll notice is that there are
1:28:39four inputs four parameters at the very
1:28:42top of the strategy that we can optimize
1:28:45there's a length for buying the market a
1:28:48length for selling short the market a
1:28:50stop value and a bars sense entry exit
1:28:54value and if we add this trading system
1:28:56to a gasoline daily bar chart we can see
1:28:59that this breakout trading system has
1:29:02worked pretty well for the gasoline
1:29:04Futures Market it successfully sold
1:29:06short lower lows it's been buying higher
1:29:09highs for a profit and if we look at a
1:29:11strategy performance report we see a
1:29:14nice upward sloping Equity curve this is
1:29:17generally been a profitable approach to
1:29:19trading the gasoline Market but what if
1:29:22we want to try and improve this strategy
1:29:24performance what if we want to test if
1:29:27maybe buying the highest close of the
1:29:29last 12 days or 15 days or 20 days could
1:29:33improve our strategy performance to do
1:29:36that we'll simply jump into the strategy
1:29:39and we're going to do this again in
1:29:41tradestation but this is the same
1:29:43process regardless of the automated
1:29:45trading platform that you're using we go
1:29:48to our parameters our inputs and we can
1:29:51optimize for example we can test this
1:29:53from a value of 5 to 15 in increments of
1:29:57one and we can test our other length in
1:29:59increments of 5 from 25 to 75. our
1:30:03strategy optimization is now done
1:30:06running if we look at a strategy
1:30:08performance report we see a nice upward
1:30:10sloping Equity curve a slightly improved
1:30:13Equity curve and if we go to a strategy
1:30:16optimization report we can see that this
1:30:19report tells us if we sort by net profit
1:30:22that buying an eight day breakout so
1:30:25buying the highest close of the past
1:30:27eight sessions and selling short the
1:30:30lowest close of the past 75 sessions is
1:30:33actually the best parameters to use
1:30:36again instead of using 10 here using 8
1:30:39and instead of using 50 here for our
1:30:42strategy optimization report using a
1:30:44value of 75. now that we've done our
1:30:46optimization the million dollar question
1:30:49what will be the best parameters to use
1:30:52going forward now our optimization test
1:30:54told us that using 8 instead of 10 and
1:30:5775 instead of 50 were the best
1:31:00historical parameters to use but will
1:31:03those be the best parameter values for
1:31:05Peak strategy performance going forward
1:31:08the answer frustratingly is almost
1:31:11certainly not that value of 8 and 75
1:31:14will most likely not be the most
1:31:17profitable values to use for the next 10
1:31:19years but our strategy optimization
1:31:22report gives us some important Clues as
1:31:25to what those most profitable parameters
1:31:28might be if we jump back into our
1:31:30strategy optimization report sorted by
1:31:34net profit we see that for our breakout
1:31:37buying entries so again that is our if
1:31:40the close is the highest close of length
1:31:43x we see that that length x value there
1:31:46are a lot of optimized values of eight
1:31:49of nine of ten and for the selling short
1:31:52side we see 75 65 show up quite a bit
1:31:56not so much any values that are in the
1:31:59low 50s so for amending our trading
1:32:03system we might want to change this
1:32:06length y value to something around 70
1:32:09but still keep our length x around 10.
1:32:12again our optimization report showed us
1:32:15that 8 was the optimized value but we
1:32:17saw a lot of values that were hanging
1:32:19out around 10. now that zone where we
1:32:22see the highest optimized profits using
1:32:25a length x value of 8 or 9 or 10 and a
1:32:29length y value of 65 or 70 or 75 that is
1:32:34what's called a global Maxima that's the
1:32:37zone that we want to be in that's the
1:32:39area that we want to choose our best
1:32:42parameters from another way to say that
1:32:44same idea is that's a good neighborhood
1:32:47to be in if we choose parameter values
1:32:50of 10 in 60 or 9 and 75 we're generally
1:32:55going to have a system that holds up
1:32:57much better going forward than if we
1:32:59were to use parameters from outside that
1:33:02neighborhood parameters from away from
1:33:04the global maximum now optimization is a
1:33:07great tool but it comes with a big
1:33:10warning and that is it is very easy and
1:33:13very tempting to over optimize your
1:33:16trading systems when you add lots of
1:33:18inputs to a trading system when you
1:33:21optimize those inputs again and again
1:33:23across hundreds or thousands of
1:33:26different optimization runs you are over
1:33:28optimizing you are curve fitting and
1:33:31whether you intend to or not you are
1:33:34ensuring that your trading system will
1:33:36not work well going forward there are
1:33:40real diminishing returns to optimizing
1:33:42your trading systems and that point
1:33:45where there's no marginal advantage to
1:33:47playing around with your inputs and
1:33:49doing more optimizations is a lot closer
1:33:52than you might think for a great analogy
1:33:55about optimization and the hazards of
1:33:58over optimization let's talk about
1:34:00surfing if you want to learn to surf and
1:34:03you go to Hawaii or Bali or California
1:34:07your surfing instructor is going to set
1:34:09you up with a basic set of rules for how
1:34:12to ride a wave and on your first day you
1:34:15go out you have a great time you catch a
1:34:18few waves and at the end of the day you
1:34:20recall okay I caught my best waves at 12
1:34:2319 at 123 and at 2 49. and if you go out
1:34:28on your second day at exactly those
1:34:31times expecting to catch those same
1:34:34Great Waves you are not going to have a
1:34:37very good time you would be better off
1:34:39following that simple set of rules again
1:34:42and again that your instructor told you
1:34:44now of course the reason you didn't have
1:34:47a good second day of Surfing is you over
1:34:50optimized you wrongly assume that
1:34:52following a very specific set of
1:34:54parameters would give you a better
1:34:56surfing experience than just following a
1:34:59simple set of rules now this is a great
1:35:02analogy because markets move in waves
1:35:04and you can catch those waves you can
1:35:07capture those Market moves for a profit
1:35:10if you follow a simple set of
1:35:12instructions don't let great be the
1:35:14enemy of the good don't ruin a good
1:35:17trading system by trying to make it a
1:35:20perfect trading system so how can you
1:35:23avoid over optimization how can you
1:35:25avoid the hazards of curve fitting first
1:35:28keep your strategies simple your biggest
1:35:31Advantage is being able to trade a
1:35:34portfolio of good uncorrelated real-time
1:35:37systematic trading strategies that is
1:35:40such an important point that comes up
1:35:42again and again in this course I'm gonna
1:35:45say it again your biggest Advantage as a
1:35:48systematic Trader especially in
1:35:50commodity markets is being able to trade
1:35:53a diversified portfolio of uncorrelated
1:35:57real-time trading systems so again spend
1:36:01your time trying to find good trading
1:36:03systems across more markets especially
1:36:07uncorrelated markets like commodity
1:36:09markets instead of trying to build that
1:36:11perfect over optimized curve fitted
1:36:14trading system the second way to avoid
1:36:17over optimization is to use more
1:36:20out-of-sample data out of sample data is
1:36:23data that your strategy has not had
1:36:26access to historical data that your
1:36:28system has not yet seen and a popular
1:36:31way to test on out-of-sample data is
1:36:34called walk forward testing now walk
1:36:37forward testing is where for example you
1:36:40optimize your strategy parameters for a
1:36:44very limited period of time for example
1:36:46from 2011 to 2015 then you see how those
1:36:51parameters perform on a period after
1:36:54that for example
1:36:562016. you then repeat that process over
1:36:59and over again so that you're constantly
1:37:02seeing if the parameters that you tested
1:37:05for in the past have a predictive value
1:37:08for positive performance in the future
1:37:11now obviously you can do this process
1:37:14manually you could just load up a very
1:37:16specific window of time in your trading
1:37:19platform optimize see how those
1:37:22parameters work on a period after that
1:37:24and repeat that process over and over
1:37:27again there are also walk forward
1:37:29testing engines in most automated
1:37:31trading platforms and if you're a
1:37:33tradestation user there's a great walk
1:37:36forward testing tool that you can use
1:37:38called multi-op that you can find at
1:37:41multi-op.net and if you don't want to go
1:37:43down the full walk forward route you can
1:37:45also just optimize your parameters on a
1:37:48limited set of data for example you can
1:37:51optimize your trading system parameters
1:37:53from 2010 to 2020 and then see how those
1:37:57parameters perform on real-time data
1:38:00data your strategy has not yet seen from
1:38:032020 after the third and final way to
1:38:07avoid over optimization is to make sure
1:38:09that your trading system is consistent
1:38:12with your understanding of Market
1:38:14participants and how the market moves
1:38:17for example if you have a seasonal
1:38:20trading system that sells short corn
1:38:22Futures in June or July after that
1:38:26critical production window when Harvest
1:38:28ramps up and Farmers start to get more
1:38:31confidence in the final size of their
1:38:33crop and Traders remove a risk premium
1:38:36from Futures you do not have as much
1:38:38risk of over optimizing that trading
1:38:41system you don't need to add a lot of
1:38:43inputs you don't need to tweak those
1:38:45inputs you have the confidence that you
1:38:48understand fundamentally why that trade
1:38:50works or maybe you use commitment of
1:38:52Traders positioning data to trade or
1:38:55whether or cash basis the more you
1:38:58understand how Market works and how you
1:39:01can Model A Trading System around that
1:39:04the less likely you are to have to over
1:39:06optimize a trading system to get the
1:39:09kind of performance statistics that you
1:39:11want so putting it all together
1:39:13optimization is a powerful tool but that
1:39:16optimization button is the devil's
1:39:19button it can get you into a lot of
1:39:21trouble there is always a real risk of
1:39:24over optimization of curve fitting and
1:39:27we can avoid some of those risks by
1:39:29thinking like a surfer by trying to
1:39:32catch waves using a simple set of rules
1:39:35by being smart about how we use out of
1:39:38sample data and finally trying to build
1:39:40our simple systems based on a
1:39:43fundamental understanding of how markets
1:39:46work and remember I'll say it a third
1:39:48time your advantage as a systematic
1:39:51Trader is not in building that one
1:39:54perfect over optimized trading system
1:39:57it's in creating a portfolio Leo of
1:40:00Diversified real-time uncorrelated
1:40:04systematic trading strategies
1:40:09[Music]
1:40:13some commodity markets are way better to
1:40:16trade than others commodity markets all
1:40:18move in very different ways in response
1:40:21to different fundamental and
1:40:23non-fundamental price drivers especially
1:40:25if you are a beginner to systematic
1:40:27trading with limited capital or limited
1:40:30risk tolerance it is very important to
1:40:33know these differences some markets are
1:40:35too expensive to trade they have too
1:40:37much slippage some commodity Futures
1:40:40contracts are really large Futures
1:40:42contracts so they require a lot of
1:40:44capital and margin to trade some
1:40:46contracts are very volatile and have a
1:40:48lot of what's called value at risk and
1:40:51finally some commodity markets are way
1:40:53better for breakout trading and some are
1:40:56better for mean reversion trading so
1:40:58let's talk about quantitatively how we
1:41:01can prove which commodity markets are
1:41:03the best for trading and why for example
1:41:06you might want to avoid trading markets
1:41:09like Palladium and gold and favor
1:41:11trading markets like sugar and platinum
1:41:14what are the best commodity markets to
1:41:16trade let's start by talking about
1:41:18slippage slippage is the cost of
1:41:21executing a Futures trade when you trade
1:41:24commodity Futures there is always a bid
1:41:27ask spread there's always a cost to
1:41:30executing that trade and every commodity
1:41:33Market is different every Market has a
1:41:35different amount of slippage a different
1:41:37cost you're going to pay to execute a
1:41:40trade and most of that has to do with
1:41:42liquidity really liquid markets have low
1:41:46slippage really illiquid markets with
1:41:48fewer participants less volume traded
1:41:51have very high slippage very high cost
1:41:53to trade for example illiquid markets
1:41:56like Lumber or orange juice or Palladium
1:41:59or Rice have very few participants not a
1:42:03lot of volume a large amount of slippage
1:42:05you're going to pay a lot to execute a
1:42:08trade but bigger markets like gold
1:42:10Platinum copper crude oil have lot of
1:42:13Market participants a lot of liquidity a
1:42:16low amount of slippage a low cost to
1:42:19trade so it follows that when you
1:42:21include the cost of slippage in your
1:42:24system development which you always
1:42:26should include you are going to find it
1:42:28easier to build systems for those more
1:42:31liquid markets this is one of my
1:42:33personal biggest pet peeves with
1:42:36strategy development is when I see
1:42:38Traders Traders not including those
1:42:41costs of slippage and commissions when
1:42:43they are building strategies testing
1:42:46strategies sharing strategies via email
1:42:48or YouTube at Peak trading research we
1:42:51will always include those costs of
1:42:54slippage and commissions because you
1:42:56cannot avoid those costs they are a
1:42:58realistic part of trading if your system
1:43:01doesn't look good when you include
1:43:02slippage and commission costs guess what
1:43:05you should not be trading that system it
1:43:07will not make money for you in real time
1:43:09every system that we build on this
1:43:12channel on the Peak trading research
1:43:14channel will always include slippage and
1:43:17commission costs for example from our
1:43:19strategy of the month videos including
1:43:22the realistic costs of slippage and
1:43:24commissions including the realistic cost
1:43:27of slippage and commissions and that
1:43:30includes most importantly includes the
1:43:33realistic costs of slippage and
1:43:36commissions you get the idea always
1:43:39include slippage and commission costs
1:43:41when you are developing strategies so in
1:43:44terms of slippage and liquidity what are
1:43:48those best markets to trade and what are
1:43:50those markets to avoid if we take a
1:43:53chart and we model on the y-axis the
1:43:57volatility of a Futures Contract and on
1:44:00the x-axis we model the slippage as a
1:44:04percentage of notional so the cost of
1:44:06executing a Futures trade we can see
1:44:09very clearly that there are some markets
1:44:12that are liquid and volatile those fall
1:44:15into that nice green zone in the upper
1:44:18left there are other markets that are
1:44:20more E-liquid and stable they fall into
1:44:23the bottom right part of the chart
1:44:25generally speaking you are going to have
1:44:27an easier time developing profitable
1:44:30systematic trading strategies especially
1:44:33breakout and momentum trading strategies
1:44:35for the markets that fall into that nice
1:44:38green zone the markets in that green
1:44:41zone They are volatile they are also
1:44:44liquid there's a low cost to execute
1:44:47trades a low amount of slippage meaning
1:44:49you are getting the best bang for the
1:44:52buck you are not going to pay a lot of
1:44:54slippage but you're going to get a lot
1:44:56of volatility big moves that you can
1:44:59profit from now this idea that some
1:45:01markets are very volatile and better for
1:45:04breakout trading some are less volatile
1:45:07and better for mean reversion trading
1:45:09that's a concept we are going to come
1:45:11back to later in in this section this
1:45:14means that just in terms of slippage and
1:45:16volatility you are likely going to be
1:45:19favoring markets like Nat gas heating
1:45:21oil gasoline coffee Platinum sugar
1:45:25soybean oil what are the best commodity
1:45:27markets to trade let's talk about
1:45:30contract size commodity contracts all
1:45:33have different notional dollar values
1:45:35and those values are always changing
1:45:38depending on the value of the underlying
1:45:40commodity for example for gold every
1:45:44gold Futures Contract references the
1:45:47delivery of a hundred troy ounces and
1:45:51one ounce of gold is worth two thousand
1:45:54dollars so a hundred ounces two thousand
1:45:57dollars an ounce every Futures Contract
1:45:59of gold is worth two hundred thousand
1:46:02dollars that is a big contract which
1:46:05means you are going to need to have a
1:46:08big trading account that's able to post
1:46:10a big amount of initial and maintenance
1:46:12margin on the flip side a contract of
1:46:16sugar or cocoa or Nat gas is worth about
1:46:19twenty thousand dollars so about a tenth
1:46:22the value of a contract of gold so as
1:46:25you can see there are some big
1:46:27differences here so whether you are a
1:46:29beginner and have a smaller trading
1:46:31account or a limited amount of capital
1:46:33or you are a professional CTA portfolio
1:46:37manager and you have in the back of your
1:46:39head that trading one contract of gold
1:46:41is pretty much the same notional
1:46:43exposure is trading 10 contracts of oats
1:46:47or cocoa is very important to know these
1:46:49differences now that is notional dollar
1:46:53value but what about risk what if you
1:46:56have a very big contract that has low
1:46:59volatility or a very small contract that
1:47:02has very high volatility how do you
1:47:05adjust for that how do you account for
1:47:06the differences in risk a really good
1:47:09way to do that is to look at Dollar
1:47:12standard deviation or value at risk
1:47:15what's called VAR now before Peak
1:47:18trading research I was a professional
1:47:20commodity Trader for Cargill one of the
1:47:23world's largest commercial grain trading
1:47:25companies I've also traded for a few
1:47:28different hedge funds and my risk has
1:47:30never been measured in number of
1:47:32contracts or notional value it's always
1:47:35been measured in VAR value at risk
1:47:38basically what is my dollar notional
1:47:41exposure times the standard deviation of
1:47:45that asset of that commodity future and
1:47:48if we were to list commodity Futures in
1:47:51terms of VAR in terms of contract risk
1:47:55so notional value times standard
1:47:57deviation we can see that some contracts
1:48:00have huge risk Palladium heating oil
1:48:03gasoline these are markets that not only
1:48:06have a big notional contract but a lot
1:48:09of volatility and of course other
1:48:10markets are way at the bottom of the
1:48:13scale markets like cattle corn rice
1:48:16cocoa lower notional values lower risk
1:48:19so especially when you make that
1:48:21transition from system building and
1:48:23system testing into live trading you
1:48:26need to know these differences you need
1:48:29to know that some contracts are bigger
1:48:31than others require more capital and
1:48:33more margin to trade some are more
1:48:36volatile than others and those bigger
1:48:38more volatile contracts could have an
1:48:41outsized influence on the value of your
1:48:43portfolio and you might want to trade
1:48:46five or six or seven contracts of cattle
1:48:49for every contract of gasoline that
1:48:52you're trading in another system and
1:48:54finally what are the best commodity
1:48:56markets to trade depending on the type
1:48:59of trading system that you want to run
1:49:01some commodity markets are much better
1:49:04for breakout trading for momentum
1:49:07trading and others are much better for
1:49:09mean reversion trading for range Trading
1:49:12now how can we know which markets are
1:49:15better for breakouts which are better
1:49:17for mean reversion we have already seen
1:49:19a really good clue when we looked at
1:49:21that chart with volatility versus
1:49:23slippage some markets like Nat gas and
1:49:27heating oil gasoline if you are very
1:49:29volatile they are going to be great
1:49:31markets to build breakout and momentum
1:49:34trading systems other markets like cocoa
1:49:38feeder cattle rough rice live cattle
1:49:40they are more stable they're going to be
1:49:43great for mean reversion and range
1:49:45trading now there is another great way
1:49:48to prove out this concept that some
1:49:51markets are great for breakout trading
1:49:53some are great for mean reversion
1:49:54trading and that is we can test some
1:49:57systems we can test breakout systems we
1:50:00can test mean reversion systems and we
1:50:02can look at the math we can
1:50:04quantitatively see in which markets
1:50:06should we be breakout trading and in
1:50:08which markets should we be mean
1:50:10reversion trading to run this analysis
1:50:13to see which markets are the best for
1:50:16breakout trading or mean reversion
1:50:18trading we tested 85 different bar sizes
1:50:22from 30 minutes up to daily bars we
1:50:24tested the 25 major U.S Futures markets
1:50:28and we ran 1500 different optimization
1:50:32runs on each of those bar sizes and
1:50:35Futures markets that is a total of 3.2
1:50:38million optimization tests what were the
1:50:41results of testing those simple breakout
1:50:44and mean reversion commodity trading
1:50:47strategies markets like gasoline sugar
1:50:50heating oil and lean Hogs are great for
1:50:54breakout trading whereas markets like
1:50:56rice coffee live cattle and cocoa are
1:51:00better for mean reversion trading and
1:51:02very big picture we can also see that
1:51:05there are more markets that are breakout
1:51:08markets in general commodity markets
1:51:11tend to work well for breakout trading
1:51:14there are very few markets only a
1:51:16handful that are great for mean
1:51:18reversion and range trading now this is
1:51:21great because we've confirmed both by
1:51:23looking at slippage and volatility and
1:51:26also by running millions of optimization
1:51:29tests that we can see there are
1:51:31quantitatively some markets that are
1:51:33truly better for breakout trading and
1:51:36others that are better for mean
1:51:37reversion trading you might say Dave I
1:51:40know we've done a lot of strategy
1:51:41building and testing in this course but
1:51:44remind me what is a breakout strategy
1:51:47and what is a mean reversion strategy
1:51:49let's quickly look at a breakout
1:51:51strategy for the heating oil market and
1:51:54a mean reversion strategy for the rice
1:51:56Market if we jump into the trade station
1:51:59trading platform we can look at a great
1:52:02example of a breakout strategy for the
1:52:05heating oil Market this trading system
1:52:08at its core is buying higher highs and
1:52:11it is selling short lower lows it is a
1:52:15breakout strategy because it's a
1:52:17systematic trading strategy you can add
1:52:19it to a heating oil 180 minute bar chart
1:52:23we can see how the strategy acts it is
1:52:25buying upward momentum selling short
1:52:28downward momentum selling short downward
1:52:31momentum and this has been a pretty good
1:52:34approach to trading heating oil Futures
1:52:37this trading system has made about
1:52:40221 thousand dollars in profits on a
1:52:44single contract of heating oil traded of
1:52:47course including the realistic costs of
1:52:50slippage and commissions and now let's
1:52:52look at a mean reversion system for the
1:52:55rice Market what this trading system is
1:52:58doing is it is buying lower closes and
1:53:02it is selling short higher closes it is
1:53:05doing the opposite of our heating oil
1:53:07breakout strategy instead of buying
1:53:10higher highs it is selling short higher
1:53:13highs and again because it's a
1:53:15systematic trading strategy we can see
1:53:17how this system behaves on a rough rice
1:53:21daily bar chart it is selling highs it's
1:53:24getting short at higher levels and it is
1:53:26buying lows it is buying lower levels
1:53:29it's basically mean reversion trading
1:53:31and if we look at a strategy performance
1:53:33report there we go another nice upward
1:53:36sloping Equity curve this trading system
1:53:38is made about sixty three thousand
1:53:41dollars per single contract of rough
1:53:44rice traded since 2010 of course
1:53:47including slippage and commission costs
1:53:50to wrap up this section let's back up
1:53:53and review what we've talked about some
1:53:55commodity markets are much better than
1:53:58others for trading we can base that
1:54:00conclusion on the size of the contract
1:54:03the risk of the contract the bang for
1:54:06the buck that you get so the volatility
1:54:08in terms of slippage that cost to trade
1:54:11and some markets are way better for
1:54:14breakout trading like Platinum heating
1:54:17oil gasoline and some markets are much
1:54:19better for mean reversion trading like
1:54:22cocoa like that rough rice trading
1:54:24system we went through so overall
1:54:26hopefully this gives you a structured
1:54:29and quantitative way to think about what
1:54:32are the best markets for trading in
1:54:35terms of slippage contract size risk and
1:54:39finally in which markets is it better to
1:54:41do breakout or mean reversion Trading
1:54:47[Music]
1:54:51you've built your trading system you've
1:54:54tested entries and exits and filters
1:54:56you've optimized the inputs in that
1:54:59trading system you have confidence that
1:55:01that trading approach can work well
1:55:03going forward it is now time to incubate
1:55:06your strategy what is incubation
1:55:09incubation is seeing how your systematic
1:55:12trading approach Works in real time on
1:55:16new unseen data it is putting your
1:55:18strategy in a drawer putting it aside
1:55:20for six months nine months 12 months
1:55:23then revisiting it at a later time to
1:55:26see how it's done now incubation is easy
1:55:29you simply lock in all your inputs you
1:55:32don't touch your strategy you don't
1:55:34change anything about it and you just
1:55:36see how it performs going forward for a
1:55:40practical example on an equity curve of
1:55:42what this looks like here is a strategy
1:55:45that was developed using data from 2010
1:55:48until 2018 it was then eval evaluated on
1:55:52new data from 2018 to 2020 and then the
1:55:56strategy has been incubating since 2020.
1:55:59incubation is important because
1:56:01everything that you have done up until
1:56:04this point up until today is
1:56:06optimization it is curve fitting
1:56:09changing the inputs in your strategy to
1:56:12try and get better performance
1:56:14statistics or an even better upward
1:56:16sloping Equity curve is optimization
1:56:18choosing which filters to use in your
1:56:21strategy is optimization walk forward
1:56:24analysis even though it does include
1:56:27some out-of-sample data is optimization
1:56:30even choosing which strategies to run is
1:56:33optimization there is no better way to
1:56:36avoid those hazards of over optimization
1:56:39that are just a natural part of every
1:56:41step of a strategy's development process
1:56:44than to incubate your strategy and
1:56:46believe me I know how frustrating it is
1:56:49especially when you're new to systematic
1:56:51Trading things you sit on that strategy
1:56:53and incubate it or paper traded for
1:56:56three months six months nine months 12
1:56:58months to get the confidence that it's a
1:57:01strategy that could make money in real
1:57:03time now the good news about incubation
1:57:05is that sometimes the incubation is done
1:57:08for you for example if you find a
1:57:11trading system from a book that was
1:57:13written years ago or you look at one of
1:57:15our strategy of the month videos from
1:57:17our Peak trading research YouTube
1:57:19channel anything that's after that date
1:57:22of publication is incubation it is out
1:57:25of sample strategy performance and
1:57:28incubation is so important that it is
1:57:30one of the core principles behind our
1:57:33Peak 10 strategy list at Peak algo.com
1:57:36every month we share with our clients
1:57:39real fully coded systematic trading
1:57:42strategies that have been incubating for
1:57:45a minimum of six months because again
1:57:48real time out of sample performance the
1:57:52gold standard by which you should
1:57:54evaluate a trading system now how long
1:57:57do you need to incubate a strategy
1:57:59obviously the longer the better but a
1:58:01minimum of six months if you've been
1:58:04incubating a strategy for two years
1:58:06three years five years that gives you
1:58:09the confidence that this strategy has
1:58:11real Edge it is not just a fluke that
1:58:14that strategy is generating real profits
1:58:17so bottom line incubate your trading
1:58:20strategies it will save you a lot of
1:58:22headaches a lot of heart breaks and it
1:58:25will genuinely improve your systematic
1:58:27trading performance
1:58:30thank you
1:58:35we've talked about entries exits filters
1:58:39the importance of optimization and
1:58:42incubation so at this point you have
1:58:44some great strategies that have a good
1:58:46chance of making real profits going
1:58:49forward and you even know in which
1:58:51markets those strategies will likely
1:58:53work best how can we put together all of
1:58:57those great strategies into a trading
1:59:00portfolio after all as we talked about
1:59:02in our session on optimization your
1:59:05advantage as a systematic Trader is not
1:59:09in building the perfect trading system
1:59:11but in putting together a portfolio of
1:59:14Diversified real-time trading strategies
1:59:17so let's now talk about the number one
1:59:20tool for analyzing how to put together
1:59:23all of your great trading strategies
1:59:25into a portfolio and let's talk about
1:59:28the very very good news for
1:59:30diversification across commodity markets
1:59:34why is diversification education so
1:59:36important strategy diversification that
1:59:40is treating a Ascot of Diversified
1:59:42systematic trading strategies all at the
1:59:46same time is important because you are
1:59:48less exposed to the volatility and the
1:59:52drawdowns From Any Given trading system
1:59:55we've spent a lot of time in this course
1:59:57looking at Equity curves at those nice
2:00:00cumulative profit lines that show the
2:00:03historical performance of a systematic
2:00:06trading strategy and those Equity curves
2:00:08are never a straight line there is no
2:00:11Perfect Trading System you are always
2:00:14going to have some zigs and some zags
2:00:16sometimes when the system is in tune
2:00:19with the market in times when the system
2:00:21is drawing down diversification across
2:00:24many different strategies means that you
2:00:27can smooth out the cumulative Equity
2:00:29curve of your portfolio when you turn on
2:00:33five Diversified trading systems 10
2:00:36trading systems 15 20 trading systems
2:00:39you will obviously find that your
2:00:42cumulative profits go up because you're
2:00:44taking more Risk by adding more systems
2:00:47but your max drawdowns the times when
2:00:50you're not making money as a percentage
2:00:53of those returns goes down meaning your
2:00:56risk adjusted returns go up you are
2:01:00getting more bang for the buck and all
2:01:02of those popular risk metrics like your
2:01:06kalmar ratio return to draw down Arena
2:01:09sharp sortino information ratio all of
2:01:13those metrics will improve as you add
2:01:16more systematic trading strategy to your
2:01:19portfolio what is the number one tool
2:01:22for analyzing and maximizing the
2:01:25diversification benefits of your
2:01:28portfolio and assuring that you're
2:01:30getting the best risk returns that is a
2:01:33simple correlation Matrix a correlation
2:01:36Matrix is a great Foundation it's a
2:01:40powerful tool for you to do your
2:01:42portfolio diversification analysis we
2:01:45are going to go through an example of a
2:01:47correlation Matrix here if you want
2:01:49access to this full spreadsheet you can
2:01:52find it in the horse packet at Peak
2:01:55algo.com this correlation table shows
2:01:58the correlation between different
2:02:01systematic trading strategies based on
2:02:03weekly returns over the past 10 years in
2:02:07this case these strategies happen to be
2:02:09from one of our Peak 10 packages from
2:02:12Peak algo.com from earlier this year now
2:02:16as a reminder the measure of correlation
2:02:18runs from negative one to positive one
2:02:22anything from 0 to negative one is
2:02:25negatively correlated anything from zero
2:02:28to positive one is positively correlated
2:02:31now as a rule of thumb a correlation
2:02:33value from 0 to
2:02:360.25 is a weak correlation a correlation
2:02:40from a value of 0.25 to 0.75 is a
2:02:45moderate correlation and a correlation
2:02:48value from
2:02:500.7521 is a strong correlation in an
2:02:54ideal world you would want your
2:02:56correlation table to show a lot of
2:02:58negative correlations meaning the
2:03:00strategies are all moving in different
2:03:03ways so jumping back to our correlation
2:03:06table between these different systematic
2:03:09trading strategies the first thing we'll
2:03:11notice is that we are off to a pretty
2:03:14good start we don't see a lot of really
2:03:17strong correlations here in this table
2:03:20there's not a lot of values that are
2:03:23above
2:03:250.5.6.7 in fact the highest correlation
2:03:28is between two breakout strategies in
2:03:31the metal markets the Ducati strategy
2:03:33for platinum and the break the Bank
2:03:36strategy for silver which are still only
2:03:400.29 correlated that's barely a moderate
2:03:43correlation and it's interesting to note
2:03:45that the Achilles and non-com Trigger
2:03:49strategies both of which are trading the
2:03:51lean Hogs Market at LH for the
2:03:54continuous contract they have a
2:03:56correlation of only
2:03:590.09 a very weak correlation right
2:04:02around zero this correlation Matrix
2:04:05tells us that this is a great basket of
2:04:08strategies to trade together our
2:04:10correlation Matrix tells us that there
2:04:13are not a lot of positively correlated
2:04:15strategies which means we are getting a
2:04:18lot of diversification benefits from
2:04:20Trading all these strategies together
2:04:22now this points to one of the biggest
2:04:25advantages of systematic trading across
2:04:28commodity markets specifically if we
2:04:31look at the way that commodity markets
2:04:33move the price action across different
2:04:36commodity markets will see that they are
2:04:39not that correlated the wheat Market
2:04:41moves in a very different way than bean
2:04:44oil which moves in a very different way
2:04:46than coffee than lean Hogs than gasoline
2:04:49these markets are all very unique and
2:04:52respond to a different mix of
2:04:54fundamental and non-fundamental price
2:04:57drivers I'll layer on top of that that
2:04:59not only do these markets move in very
2:05:02different ways but we are trading
2:05:04different systems looking at different
2:05:07bar sizes different time frames so it
2:05:10just makes sense that all of these
2:05:13trading systems will naturally move in
2:05:15very different ways and that is not the
2:05:18case across all markets for example if
2:05:21you were only trading stock markets or
2:05:24you were only trading interest rates or
2:05:26foreign exchange markets stock markets
2:05:29are way more correlated to one another
2:05:31for example S P 500 the Russell 2000 the
2:05:35dial the Nasdaq all tend to move
2:05:38together currency markets generally tend
2:05:41to move together tend to follow the same
2:05:43macro themes or broad Trends in the US
2:05:46dollar that is not the case with
2:05:48commodity markets and it is a huge
2:05:51Advantage for you as a systematic Trader
2:05:54this means that if you are trading
2:05:56commodity markets diversification is
2:05:59naturally on your side and my strong
2:06:02opinion here is that it is great to put
2:06:05together a correlation Matrix and get a
2:06:07sense that your strategies will be
2:06:09Diversified and move in different ways
2:06:12but don't feel that you need to go much
2:06:15beyond that that you need to complicate
2:06:17things too much in terms of your
2:06:19diversification and risk analysis your
2:06:22time is much better spent testing
2:06:25strategies incubating strategies versus
2:06:28obsessing over all the minute
2:06:30differences and correlations between
2:06:32your different already Diversified
2:06:34strategy again this is a huge advantage
2:06:38of commodity markets is that if you are
2:06:40trading a number of different systems
2:06:43especially if they're across different
2:06:45markets diversification is naturally
2:06:47already on your side bottom line
2:06:50diversification is important because it
2:06:53helps the overall risk return profile of
2:06:57your portfolio a simple correlation
2:07:00Matrix the kind you can find in the
2:07:02course packet at Peak algo.com is your
2:07:05number one tool for assessing the
2:07:08diversification benefits of your
2:07:10portfolio and finally if you are trading
2:07:13commodity markets you are in a very very
2:07:16good place because there are massive
2:07:19diversification benefits between your
2:07:22different trading systems we've now
2:07:24finished our section on optimization
2:07:27incubation and portfolio construction it
2:07:30is now time to get started with live
2:07:33trading in terms of our system attic
2:07:36strategy development process we are here
2:07:39we are at the top of the mountain the
2:07:42top of the strategy development pyramid
2:07:44so let's move on to our next and final
2:07:46section let's get started
2:07:50foreign
2:07:51[Music]
2:07:55this is the big moment you've built your
2:07:59trading system you've tested it you've
2:08:01done some gentle optimization maybe
2:08:03added some filters you're comfortable
2:08:05with the risk of the strategy you've
2:08:08incubated this strategy to see how it
2:08:11performs in real time on new unseen data
2:08:14and you know how this strategy fits into
2:08:17your overall portfolio you are now ready
2:08:19to pull the trigger and automate your
2:08:22trading system so that your automated
2:08:24trading platform will execute trades in
2:08:28the market on your behalf now this is a
2:08:31big step in fact it's the biggest step
2:08:34because it's the moment that you
2:08:36transition from building and testing
2:08:38strategies into becoming a true
2:08:41algorithmic Trader the good news is that
2:08:43this big step of automating your trading
2:08:47systems is actually very straightforward
2:08:49regardless of the automated trading
2:08:52platform that you're using the
2:08:54automation process entails three simple
2:08:57Steps step number one is ensuring that
2:09:01you are set up to trade the correct
2:09:04Futures Contract step number two is
2:09:07pressing the automate button step number
2:09:09three is confirming that the position
2:09:12you hold in the market matches your
2:09:15systematic strategy position step number
2:09:18three includes rolling your Futures
2:09:21Contract through time to ensure that you
2:09:24are always trading the correct Futures
2:09:26Contract let's start by looking at
2:09:29practical examples of what this
2:09:31automation process looks like now I'll
2:09:34be walking through these examples in the
2:09:36tradestation trading platform but
2:09:39remember that this automation process of
2:09:42mapping the correct contract pressing
2:09:44the automate button and confirming that
2:09:47your Market position matches your system
2:09:49position is the same automation process
2:09:52regardless of the trading platform form
2:09:55that you use to keep things simple this
2:09:58is what tradestation looks like right
2:10:00out of the box so if you've never used
2:10:03tradestation or another automated
2:10:05trading platform this is what it looks
2:10:07like when you first open up the platform
2:10:10the first thing that we're going to do
2:10:12is we are going to open up a chart trade
2:10:16station like most other automated
2:10:18trading platforms is a chart-based
2:10:22trading platform in this case we are
2:10:24going to open up a chart for orange
2:10:27juice
2:10:29180 minute bars let's start with January
2:10:331st 2010 exchange time 180 minute bars
2:10:37on orange juice and there is our chart
2:10:39now for the next step we are going to
2:10:43add a strategy to this chart we're going
2:10:46to add an orange juice trading strategy
2:10:49to our orange juice 180 minute bar chart
2:10:53so to start let's jump into trade
2:10:56station development environment and
2:10:58let's open up a new strategy that we are
2:11:02just going to name dueling orange juice
2:11:06now we can get rid of this demo text and
2:11:10we can paste in the strategy code for
2:11:14our dueling momentum strategy for the
2:11:17orange juice Market we can now add our
2:11:20dueling orange juice strategy to our
2:11:23chart to add strategy there's our
2:11:26dueling orange juice strategy press OK
2:11:29and our systematic trading strategy for
2:11:33the orange juice Market has now been
2:11:35added to our orange juice chart if we
2:11:39look at a strategy performance report we
2:11:41should see a nice upward sloping Equity
2:11:44curve for this dueling momentum strategy
2:11:46for the orange juice market now of
2:11:49course importantly we need to take that
2:11:51step of ensuring that this is a
2:11:53realistic strategy and add
2:11:55costs of slippage and commissions enable
2:11:59look inside bar testing and let's double
2:12:01check this strategy still looks okay
2:12:03when we include those costs still works
2:12:07still a good strategy for the orange
2:12:09juice Market including those realistic
2:12:12costs of slippage and commissions so we
2:12:15have now brought up an orange juice
2:12:17chart we have added our dueling momentum
2:12:20strategy to that orange juice chart to
2:12:24automate this strategy we need to follow
2:12:26that first important step of ensuring
2:12:29that we're set up to trade the correct
2:12:31orange juice contract now remember that
2:12:34all of the strategy building and testing
2:12:37that we have done in this course so far
2:12:39is always on the continuous contract
2:12:43what is a continuous contract as a
2:12:46reminder continuous contract for any
2:12:49commodity Futures Market is just the
2:12:52knit together history of all the futures
2:12:55contracts that have come before but it
2:12:58is not a real Futures Contract remember
2:13:01that commodity contracts are always
2:13:04expiring they only last for a limited
2:13:07period of time maybe a year or two years
2:13:10by using a continuous contract we can do
2:13:14long-term historical analysis and
2:13:17strategy building to automate our orange
2:13:20juice trading system we simply need to
2:13:23adjust our chart to not reference The
2:13:26Continuous orange juice contract but
2:13:28rather the active front month orange
2:13:31juice contract to add the active orange
2:13:34juice contract to our chart I'm going to
2:13:38follow two different steps first I'm
2:13:42going to add the continuous contract as
2:13:46a second security so we can see it on
2:13:50our chart there we go there is the
2:13:52continuous contract for orange juice
2:13:54with the same price this is the
2:13:56continuous contract above I am then
2:13:59going to amend that first security so
2:14:03that instead of being the continuous
2:14:05contract it is the continuous July
2:14:09contract now I have a choice here I can
2:14:11either use the continuous July contract
2:14:14with lots of History going back through
2:14:16time or I could simply use the front
2:14:19orange juice July contract in this case
2:14:22I would only be able to see my strategy
2:14:24performance for as long as this July
2:14:27contract has been around so I'm going to
2:14:30choose to use the continuous front
2:14:32orange juice July contract we are now
2:14:35good to go we have our continuous July
2:14:39orange juice contract loaded on top we
2:14:42have our continuous contract for orange
2:14:45juice loaded on the bottom here and
2:14:47importantly those prices are the same
2:14:51this tells me that we are correctly
2:14:53using the July contract to trade it
2:14:57matches the price for the continuous
2:14:59contract that we have used for all of
2:15:01our strategy building and testing and
2:15:04again as a good double check I can see
2:15:07there is the same Equity curve for this
2:15:10strategy we have now completed that
2:15:13first important step of ensuring that we
2:15:16are set up to trade the correct front
2:15:19month Futures Contract in the orange
2:15:21juice Market let's move on to step two
2:15:24which is pressing the automate button
2:15:27now we'll be looking at this automation
2:15:29process for the tradestation trading
2:15:32platform but again it's the same process
2:15:35regardless of the trading platform that
2:15:38you're using once you have your price
2:15:40chart once you have your system loaded
2:15:43on that chart and once you have the
2:15:45correct contract mapped on that chart it
2:15:49is always very straightforward in how
2:15:52you can take that next step to automate
2:15:54your trading system system regardless of
2:15:57the platform you're using let's jump
2:15:59back into tradestation and take that big
2:16:03step let's automate this trading system
2:16:06for the orange juice Market I'm simply
2:16:09going to go down to the automation
2:16:11section here generate strategy orders
2:16:14check it and I want to automate
2:16:16execution using my account with account
2:16:20confirmation off meaning I don't want
2:16:23tradestation to ask me every time I want
2:16:26to execute orders I want tradestation to
2:16:29execute orders automatically without
2:16:32confirmation on my behalf I press OK we
2:16:36are up and running this is now a fully
2:16:39automated systematic trading strategy
2:16:42for the orange juice Market we have now
2:16:45taken that big step we've automated our
2:16:48orange juice trading system we are
2:16:51systematic trading let's now move on to
2:16:54step three and confirm that our Market
2:16:58position matches our strategy position
2:17:01and this is going to be easy in this
2:17:03example because when we automated this
2:17:06trading system it didn't happen to have
2:17:08an open position that should be in the
2:17:10market jumping back to our orange juice
2:17:13chart in tradestation if we zoom in on
2:17:17the chart we can see that this system
2:17:19doesn't currently have a position the
2:17:22system last went long at the beginning
2:17:24of the month got stopped out last week
2:17:27and hasn't yet gone long or short orange
2:17:30juice Futures now if we jump into a
2:17:35trade manager in trade station this is
2:17:38what we're looking for we can see that
2:17:40our positions match our strategy tells
2:17:43us to be flat and our open position in
2:17:46the market what we actually hold in our
2:17:49brokerage account is also flat meaning
2:17:51those positions match but what if that
2:17:54were not the case what if we had turned
2:17:57on our systematic trading strategy
2:18:00knowing that the system had either a
2:18:03long or short position in the market
2:18:05that we would have to trade to match
2:18:08let's jump into tradestation and look at
2:18:10a second example of turning on a system
2:18:13where there is currently an active
2:18:16position there's a silver 360 minute bar
2:18:21chart this is a breakout strategy for
2:18:24the silver market if we look at a
2:18:26strategy performance report we can see
2:18:29that this strategy has performed
2:18:31relatively well over the past decade
2:18:33including the realistic costs of
2:18:36slippage and commissions and importantly
2:18:39if we jump into the chart and zoom in we
2:18:42can see that this system currently has a
2:18:46short position in silver Futures the
2:18:48system sold this brake lower just last
2:18:52weekend holds that short position today
2:18:55I've now now added the continuous silver
2:18:58contract to this chart I've changed this
2:19:01contract one the tradable contract to
2:19:04The Continuous July contract so we'll be
2:19:07trading July silver Futures confirmed
2:19:10that our strategy performance report
2:19:13still looks good nice upward sloping
2:19:16Equity curve we are ready to again
2:19:19automate a strategy go down to strategy
2:19:22automation automate executing this
2:19:25account I agree with account
2:19:27confirmation off we are again
2:19:30automatically trading silver Futures in
2:19:33the market now using this approach we
2:19:36have now automated this trading system
2:19:39on July silver Futures but we know that
2:19:43the strategy has a short position but we
2:19:46don't yet have a short position in the
2:19:50brokerage account there it is our
2:19:52strategy position is short one contract
2:19:55Act of July silver Futures but our open
2:19:58position is flat so to amend this to fix
2:20:02this we can simply sell one contract of
2:20:06July silver Futures at Market there is a
2:20:10quick trade bar for July silver Futures
2:20:13and we are going to sell one contract at
2:20:17market and the nice thing about selling
2:20:19that contract is that we have our
2:20:22positions now match strategy position
2:20:25short one open position short one we are
2:20:29matched and if you'd like a deeper dive
2:20:31into creating the perfect tradestation
2:20:33desktop for monitoring your positions
2:20:36and profits you can click our link here
2:20:39for the perfect tradestation setup we've
2:20:42now gone through two examples both the
2:20:44orange juice trading system that didn't
2:20:47currently have a position and the silver
2:20:49trading system that did have a short
2:20:52silver Futures position that both show
2:20:55us that pulling the trigger automating
2:20:58these trading strategies is actually
2:21:01relatively straightforward and after we
2:21:03have automated our trading system and
2:21:06made sure that our strategy position
2:21:09matches our Market position all we have
2:21:12to do going forward is make sure that
2:21:14our strategy position continues to match
2:21:18our Market position and that includes
2:21:21rolling contracts through time as a
2:21:24different future contracts expire what
2:21:27does a contract expiring and a contract
2:21:30role look like in tradestation at some
2:21:34point in the future this orange juice
2:21:36continuous contract price will start to
2:21:39reflect September Futures price not the
2:21:43July Futures price because the July
2:21:45contract will start to lose trading
2:21:47volume and it will go off the board
2:21:50meaning it's just going to expire and
2:21:52lose volume September will become the
2:21:55more active contract and at that point
2:21:58we will see these prices become
2:22:02different so this 250 and 250 suddenly
2:22:05The Continuous contract will be a
2:22:07different price because it's referencing
2:22:09a different new contract it will start
2:22:11referencing the September price now the
2:22:14good news is is that because we don't
2:22:16currently have a position in orange
2:22:19juice if we were to see that change
2:22:22occur today we would simply amend the
2:22:26front contract to be the September
2:22:29contract instead of the July contract
2:22:31which is just as easy as changing this
2:22:34to a u instead of an n and if you need
2:22:37to roll a contract for a system where
2:22:40you do have a market position for
2:22:43example that silver trading system that
2:22:46we automated it's not that much more
2:22:49complicated you simply need to change
2:22:51the contract on your chart to reflect
2:22:54the new active contracts so it matches
2:22:57the continuous contract price and you'll
2:23:00need to roll the actual position that
2:23:03you have in the market to match your
2:23:06trading system so if you are short one
2:23:09contract of July silver Futures you're
2:23:12going to have to buy back that short to
2:23:14cover that short July position and sell
2:23:18one contract of September silver Futures
2:23:21this may sound a little bit complicated
2:23:24but just think about it as migrating
2:23:26both your chart and your position from
2:23:29an old contract to a new contract now
2:23:33this is one of the most frustrating
2:23:35parts of systematic trading for
2:23:38commodity Futures specifically remember
2:23:41stocks don't have contract rules ETFs
2:23:45and cryptos don't have contract roles
2:23:47but this is just a part of Futures
2:23:50Trading at least for now there is no
2:23:53liquid tradable continuous contract you
2:23:56will have to roll your contracts Through
2:23:58Time both in terms of your chart where
2:24:01your system is automated and in terms of
2:24:04the actual Futures positions that you
2:24:07hold in your account to wrap up this
2:24:10session it is a big step and a big deal
2:24:13to press that automate button it
2:24:16represents not only a huge investment in
2:24:19your education and your career but you
2:24:22are now a systematic Trader and that is
2:24:25something to celebrate you are deploying
2:24:28real Capital using real Futures
2:24:31contracts using an evidence-based
2:24:33systematic approach to trade
2:24:38foreign
2:24:39[Music]
2:24:44we've talked about building strategies
2:24:46testing strategies incubating strategies
2:24:50so that they have the best chance of
2:24:52Performing well and generating profits
2:24:54in real time but that said strategies
2:24:57can underperform and strategies can
2:25:00break experiencing drawdowns and going
2:25:03through periods when you're losing money
2:25:05instead of making money is unfortunately
2:25:08just a realistic part of systematic
2:25:11trading the good news is that if you
2:25:14anticipate these drawdowns and you have
2:25:16a game plan in place for what to do when
2:25:19those drawdowns occur it will help your
2:25:22confidence it will help you stay in the
2:25:24game and ultimately it will help your
2:25:27long-term profitability so when should
2:25:30you turn off a trading system when is it
2:25:34time to quit in this session we'll talk
2:25:36about the three steps that you can take
2:25:38to best anticipate and manage drawdowns
2:25:42when they inevitate occur why do
2:25:45strategies break strategies can break
2:25:47for a lot of different reasons markets
2:25:50change all the time market dynamics
2:25:53change around liquidity and trading
2:25:56volumes market conditions change around
2:25:58supply and demand and Market
2:26:00participants change for example in
2:26:03agriculture markets in just the last 10
2:26:06years we've seen new government biofuel
2:26:09mandates we've seen Brazil come online
2:26:11as a massive producer of soybeans and
2:26:15corn and sugar China is now an
2:26:17incredibly important importer of
2:26:19agriculture products and there's now
2:26:22more money than ever before in
2:26:24quantitative strategies that trade these
2:26:27markets so a lot has changed across all
2:26:30markets and that definitely applies to
2:26:32commodity markets as well so a trading
2:26:35approach that worked 20 years ago 15
2:26:38years ago 10 years ago may not be as
2:26:41relevant it may not work as well to
2:26:43today and another reason that a strategy
2:26:46might break is just because it's over
2:26:48optimized all of this strategy inputs
2:26:51and variables and filters are so
2:26:53specifically tuned to a backward looking
2:26:56historical period that it effectively
2:26:59guarantees that the strategy will not
2:27:01work as well going forward now we've
2:27:04talked a lot in this course about the
2:27:06importance of incubation so hopefully
2:27:08you can avoid some of the pitfalls of
2:27:11over optimization but still there is a
2:27:14chance that even a well-built strategy
2:27:17and incubated strategy can break in real
2:27:20time now what does a strategy breaking
2:27:23look like let's look at an example from
2:27:26stock markets in this case this is a
2:27:29strategy that trades S P 500 futures
2:27:33based on a few simple criteria if S P
2:27:37500 futures are above the long-term
2:27:40moving average so if we're still in a
2:27:41bull market but short-term momentum is
2:27:44defined by RSI and defined by being
2:27:47below this shorter term moving average
2:27:49is pointing down then the system will
2:27:52buy and the system will exit when
2:27:54momentum recovers so again long-term
2:27:56bull market short-term momentum is
2:27:58pointing lower the system buys and the
2:28:00system then exits when momentum recovers
2:28:03if we look at a chart we can see how
2:28:06this system trades it is buying dips so
2:28:09it is buying dips whenever the stock
2:28:12market dips whenever RSI is low whenever
2:28:15we're below some short-term moving
2:28:16averages the system buys and then exits
2:28:19once momentum has recovered and if we
2:28:22look at a strategy performance report we
2:28:25see an incredible Equity curve a
2:28:28beautiful upward sloping Equity curve on
2:28:31S P 500 futures for the period from 2009
2:28:35to
2:28:362017. Performance summary an
2:28:39unbelievable percent profitable 86
2:28:41percent profitable so this strategy was
2:28:44performing exceptionally well through
2:28:47the end of 2017 but what if we extend
2:28:51the analysis past the end of 2017. what
2:28:55if we bring it out to today we can see
2:28:59that pretty much immediately after 2017
2:29:02right at the beginning of 2018 there was
2:29:05actually an event in the market called
2:29:07volmageddon there were a lot of traders
2:29:09that were buying dips that were selling
2:29:12volatility a lot of short volatility
2:29:15ETFs got blown up and this strategy
2:29:18began to underperform and has never
2:29:21really recovered since there are a few
2:29:24reasons that I think this is the perfect
2:29:26example of a strategy breaking first of
2:29:29all this was a very popular trading
2:29:31approach in 2016 and 2017 there were a
2:29:35lot of hedge funds a lot of momentum
2:29:37ctas that were trading some version of
2:29:40this buy the dip RSI s p trading
2:29:43strategy second of all this strategy was
2:29:46probably over optimized if you look at a
2:29:49lot of those inputs they're using very
2:29:51specific values which suggest that they
2:29:54are optimized to a historical period
2:29:57from 2010 to 2016 or 17 and don't really
2:30:00reflect what could happen going forward
2:30:03and finally something just changed in
2:30:06the market that uptrend with free money
2:30:08with quantitative easing came to an end
2:30:11volatility came back to the market and
2:30:14just absolutely wrecked this system but
2:30:16it is a great example of a strategy
2:30:19breaking of a strategy that was doing
2:30:21exceptionally well for a small period of
2:30:24time but then just absolutely falling
2:30:27apart once the market changed what are
2:30:29the three steps that you can take to
2:30:32best anticipate and manage strategy
2:30:35drawdowns number one is expect that
2:30:39drawdowns will happen remember your
2:30:42maximum drawdown down is always ahead of
2:30:45you there is going to be a point in the
2:30:47future where your strategy underperforms
2:30:49and there might even be a point where
2:30:51that strategy stops working all together
2:30:54you should be very pragmatic about the
2:30:56strategies that you trade you should not
2:30:59fall in love with any given trading
2:31:01system remember there is no Perfect
2:31:04Trading strategy and from my own
2:31:06personal experience the more that I fall
2:31:09in love with this strategy the more that
2:31:11I'm convinced that this is a strategy
2:31:13that will make me money forever the
2:31:16higher the probability that it will
2:31:18underperform going forward think of your
2:31:21strategies as tools for extracting money
2:31:25from the market if that tool stops
2:31:27working stop using that tool expect and
2:31:31anticipate that drawdowns will happen
2:31:33number two have a predefined approach
2:31:36and a predefined threshold where you
2:31:39will turn off an underperforming
2:31:42strategy don't don't wait until a
2:31:44strategy is losing money to make that
2:31:46decision and make sure that you can
2:31:48apply that threshold to every strategy
2:31:51that you trade for example you do not
2:31:54want to say well I'll turn off any of my
2:31:56trading strategies if they lose two
2:31:58thousand dollars because maybe you have
2:32:00strategies that trade different size
2:32:03contracts or strategies that have a
2:32:05different percentage success rate or
2:32:08strategies that trade more often than
2:32:10others come up with a generalized
2:32:12approach that you can apply to all of
2:32:15your trading strategies it will make
2:32:17your life a lot easier the best approach
2:32:20here that you can apply to all of your
2:32:22trading systems is to look at historical
2:32:25drawdowns when you build a systematic
2:32:28trading strategy when you're testing a
2:32:31systematic trading strategy you have
2:32:33that nice historical Equity curve you
2:32:36can look at historical strategy
2:32:38performance so you can always look at
2:32:40the maximum drawdown the worst period of
2:32:43under performance for that strategy
2:32:46historically so a great threshold for
2:32:49deciding when to turn off a systematic
2:32:52trading strategy is to use 100 of
2:32:55historical Max drawdown basically if the
2:32:58worst drawdown that your system has ever
2:33:01had historically is eight thousand
2:33:03dollars per contract and you are
2:33:05currently at a loss of eight thousand
2:33:07dollars per contract that is a good time
2:33:10to turn off that system let's look at an
2:33:13example of this idea of a hundred
2:33:15percent max historical drawdown if we
2:33:18look at a performance report for a live
2:33:22cattle 135 minute bar strategy there's a
2:33:26nice upward sloping Equity curve but
2:33:29this strategy has had a bit of a
2:33:31drawdown recently we had a bad trade
2:33:34just a few weeks ago we had uh what
2:33:36looks like a stop loss and that stop
2:33:38loss had a trade loss of about three
2:33:41thousand three hundred dollars per
2:33:43contract so that means we're seeing a
2:33:45bit of a dent in that upward sloping
2:33:48Equity curve now if we look at a
2:33:50performance summary we can see that the
2:33:53max drawdown for this system intraday
2:33:55Peak to Valley was twelve thousand
2:33:57dollar closed to close for a trade was
2:34:00about eleven thousand dollars and if we
2:34:02look at a chart we can see where that
2:34:03occurred that occurred right here so the
2:34:06current drawdown of three thousand
2:34:08dollars is a small fraction of the max
2:34:11historical drawdown of ten thousand
2:34:14dollars so if we were to use that
2:34:16hundred percent max historical drawdown
2:34:18as a threshold for turning off this
2:34:21system we would still have some room
2:34:23here we'd be about a third of the way to
2:34:25that Max historical drawdown we could
2:34:27have two more bad trades that would lose
2:34:29three thousand dollars before we'd get
2:34:31close to that threshold now why use a
2:34:34hundred percent of Maximum historical
2:34:36drawdown why not use 75 or 50 the reason
2:34:40for that is you want your Thresh told to
2:34:43be wide enough so that you give an
2:34:45underperforming strategy enough room to
2:34:48recover but you also want to recognize
2:34:51that maybe that strategy is broken you
2:34:53want a threshold that's realistic so
2:34:55that you're not losing a hundred percent
2:34:58150 percent 200 of your max historical
2:35:02drawdown and most importantly find a
2:35:04threshold that you are comfortable with
2:35:06maybe because of your portfolio size or
2:35:09your risk tolerance or the systems that
2:35:12you're running maybe you want to use 50
2:35:14of Max historical drawdown as your
2:35:17threshold and risk that you'll turn off
2:35:19systems too early that might recover
2:35:22later that is up to you the most
2:35:24important concept here is that that
2:35:27threshold is a red line just as we've
2:35:30spent this whole course talking about
2:35:32the importance of automating our
2:35:34systematic trading strategies we need to
2:35:37recognize the importance of automating
2:35:39our portfolio management and automating
2:35:42the decision process around turning off
2:35:45underperforming strategies have that
2:35:48game plan in place stick to it turn off
2:35:51that system when it gets past whatever
2:35:53threshold you've established the number
2:35:56three step for properly anticipating and
2:35:59managing drawdowns and turning off
2:36:01underperforming trading systems have a
2:36:04deep bench have lots of systematic
2:36:07trading strategies waiting to be traded
2:36:10strategies that are incubating that are
2:36:12paper trading that are performing well
2:36:14in real time and that can replace any
2:36:18underperforming strategies that are
2:36:20currently in your portfolio now this is
2:36:23the number one question that I get in my
2:36:26inbox every single week how to best
2:36:29rotate strategies how to replace
2:36:32underperforming strategies with
2:36:34strategies that are more in tune with
2:36:36the current market and because I'm a
2:36:39huge soccer fan and I played soccer at
2:36:41University I always bring up the example
2:36:44of Premier League football English
2:36:47Premier League football like a lot of
2:36:49other European football leagues
2:36:52comprises 20 different teams these are
2:36:55the best 20 teams in England but that
2:36:58top 20 list is always changing every
2:37:01year the bottom three teams in the
2:37:04Premier League are relegated they're
2:37:07basically demoted down to the next
2:37:09League the championship league and the
2:37:12top three teams from the championship
2:37:14get promoted up to Premier League
2:37:17football now I'm sure you can see where
2:37:19I'm going with this this is how I think
2:37:22about my trading portfolio at Peak
2:37:25trading research we are incubating
2:37:27hundreds of different systematic trading
2:37:30strategies those strategies that are
2:37:32performing best that are most in tune
2:37:35with the market that are generating
2:37:37paper profits including the realistic
2:37:40costs of slippage and commissions those
2:37:42strategies rise up to become the peak 10
2:37:46list that we post monthly at Peak
2:37:48algo.com so for my own trading I always
2:37:52have a list of strategies right in front
2:37:54of me every month via the peak 10 that
2:37:57could easily replace any underperforming
2:38:01strategies that I'm currently trading so
2:38:03whether you are getting new strategies
2:38:06from YouTube channels or strategy
2:38:08courses or from strategy books or you
2:38:11have access to the same list of great
2:38:13real-time strategies that I'm looking at
2:38:15every month from peakalgo.com you should
2:38:18have a deep bench you should have a list
2:38:21of strategies that you are ready to
2:38:23promote if you want to relegate some of
2:38:26your underperforming strategies bottom
2:38:29line strategies underperform strategies
2:38:32break have a game plan in place for when
2:38:35this happens have a predefined threshold
2:38:39in place that helps you automate the
2:38:41decision process or around when to turn
2:38:44off an underperforming strategy and
2:38:46finally have a deep bench have a list of
2:38:50strategies incubating that are
2:38:52performing well in real time that you
2:38:54can promote to your portfolio to replace
2:38:57those relegated underperforming
2:39:00systematic trading strategies following
2:39:02these three steps will help you deal
2:39:04with drawdowns effectively turn off
2:39:07underperforming trading systems and
2:39:10improve the long-term performance of
2:39:13your portfolio of systematic trading
2:39:16strategies
2:39:19thank you
2:39:23in algorithmic trading psychology still
2:39:27matters any systematic Trader who has
2:39:30turned on real algorithmic trading
2:39:32strategies will tell you that there are
2:39:35ups and downs for making and losing
2:39:37money in this section we'll talk about
2:39:39algorithmic trading psychology some of
2:39:42the common pitfalls of algorithmic
2:39:44trading and we're going to do that by
2:39:46walking through 10 actionable tips that
2:39:49you can use to stay in the game used to
2:39:51your confidence and improve your
2:39:53long-term trading profitability tip
2:39:56number one is focus on what you can
2:39:59control as a systematic Trader you are
2:40:02not making decisions when markets move
2:40:05that is what your trading system is set
2:40:08up to do and the good news is that that
2:40:10system is going to make those decisions
2:40:12more quickly and more accurately than
2:40:15you ever could now for many algorithmic
2:40:17Traders myself included that's a huge
2:40:20positive it's a huge relief to not have
2:40:23to to be glued to markets all the time
2:40:25your role as a systematic Trader is to
2:40:29make sure that your system is working
2:40:31correctly most importantly that your
2:40:33positions match like we talked about in
2:40:36the section on getting started that you
2:40:38are trading the correct contract and
2:40:41that your trading platform is
2:40:43consistently connected to the market
2:40:45remember that your trading systems are
2:40:47set up to make money over the course of
2:40:49months and quarters and years not every
2:40:53single minute of the day there is no
2:40:55trading system that can do that again
2:40:57focus on what you can control tip number
2:41:01two is trust the process as Larry
2:41:04Williams said trading systems work
2:41:07system Traders do not if you turn on a
2:41:11systematic trading strategy you have
2:41:13gone through a lot of steps to get to
2:41:15that point you've built this strategy
2:41:18optimize the strategy tested it
2:41:20incubated it your system is set up to be
2:41:23a great Trader and make great decisions
2:41:26let it run tip number three is be
2:41:29consistent one of the first things that
2:41:32I noticed when I started systematic
2:41:34trading when I actually turned on real
2:41:37trading strategies was how slow it is
2:41:40most successful systematic trading
2:41:43strategies especially the ones that
2:41:45consider the realistic costs of slippage
2:41:48and commissions are multi-day or
2:41:51multi-week breakout and swing strategies
2:41:54this means that even if you are running
2:41:56a basket of 20 or 30 or 40 different
2:42:00trading systems there might be days that
2:42:03you don't have any new trades profitable
2:42:06systematic trading is a long haul it's a
2:42:09process it can move slower than you
2:42:11might anticipate now I love Equity
2:42:14curves I love looking at those nice
2:42:16upward sloping cumulative profit lines
2:42:19the type that we've gone through again
2:42:21and again in this course but they can
2:42:23and be deceptive remember for those
2:42:26Equity curves we're often looking at 10
2:42:2812 15 years of data and if you look at
2:42:32any Equity curve there are periods of
2:42:35months or quarters or sometimes even
2:42:37years of underperformance so again be
2:42:40consistent and expect that this process
2:42:43might take a little longer than you
2:42:45first anticipated this tip reminds me of
2:42:48one of my favorite tweets that applies
2:42:50not just to trading but to life in
2:42:53general ninety percent of success can be
2:42:55boiled down to consistently doing the
2:42:58obvious thing for an uncommonly long
2:43:00period of time without convincing
2:43:03yourself that you're smarter than you
2:43:05are be consistent commit to your trading
2:43:08systems and Trust the process tip number
2:43:11four is aggressively eliminate the
2:43:14things that can go wrong in your trading
2:43:17process trading is all about confidence
2:43:20and eliminating the things that can go
2:43:23wrong will help boost your confidence
2:43:25one of the biggest pitfalls here with
2:43:28systematic trading is connectivity is
2:43:31making sure that your trading platform
2:43:33can access the market if you are worried
2:43:36about your computer losing power or
2:43:38losing its connection to the internet
2:43:40you should strongly consider using a
2:43:43virtual private server a VPS some great
2:43:47virtual private server options include
2:43:50Speedy trading servers who I've used
2:43:52before and been really impressed with
2:43:54there's ovh there's Speedy page all of
2:43:58these companies are great Solutions
2:44:00they'll offer you 99.9 uptime and most
2:44:04importantly a virtual private server
2:44:06will give you the confidence that you
2:44:09are always connected to the market and
2:44:11this idea of eliminating the things that
2:44:14can go wrong also applies to your
2:44:16trading platform if you find that
2:44:18tradestation is missing trades stop
2:44:21using tradestation if you find find that
2:44:23multi-charts is not mapping contracts
2:44:26correctly stop using multi-charts if
2:44:29your trading platform is not working for
2:44:31you use a different trading platform now
2:44:34I'm going to lean in here to properly
2:44:36emphasize this next point no matter what
2:44:39do not under any circumstance try to
2:44:43build your own trading platform the road
2:44:46to profitable systematic trading is
2:44:49littered with the bones of traders who
2:44:52have tried to build their own trading
2:44:54platforms you have a lot of great
2:44:56options find one that works for you and
2:44:59run with it and again to bring back a
2:45:01point from earlier in this course your
2:45:04advantage your role as a systematic
2:45:06Trader is in building a basket of
2:45:09uncorrelated systematic trading
2:45:12strategies do your best to eliminate
2:45:15anything that gets in the way of that
2:45:17tip number five is be pragmatic be
2:45:20realistic think like a carpenter your
2:45:24strategies are tools for making money if
2:45:27that tool stops working stop using that
2:45:31tool there is no such thing as a perfect
2:45:33trading strategy there are no trading
2:45:36strategies that are worth falling in
2:45:38love with again be pragmatic if your
2:45:40strategies are making you money keep
2:45:43trading those strategies if they stop
2:45:45making you money turn off those
2:45:47strategies tip number six follows tip
2:45:50number five nicely and that is Define
2:45:53your rules and stick to your rules if
2:45:55you have written down ahead of time a
2:45:58threshold where you will turn off a
2:46:00strategy and you get to that threshold
2:46:02turn off that strategy and on the flip
2:46:05side if you have a strategy position
2:46:06that's performing really well and making
2:46:09a lot of money don't just take profit on
2:46:11that position maybe that position is
2:46:13from a strategy that aims to catch big
2:46:16breakout moves and maybe that long-term
2:46:19Equity curve relies on you catching some
2:46:21of those big breakouts moves Define your
2:46:24rules ahead of time stick to those rules
2:46:27automate your decision-making process
2:46:30and trust your systems let your trading
2:46:33systems run and believe me I know that's
2:46:36easier said than done this is a quote
2:46:38from the book trading systems by Urban
2:46:40Jackal and Emilio tomassini once you
2:46:43have a trading system the biggest
2:46:45obstacle is trusting it tip number seven
2:46:49is start small and start before you're
2:46:52ready you are going to learn so much
2:46:55from your first actual live systematic
2:46:58strategy trade it is a huge deal to
2:47:02start actually trading so do what you
2:47:04can to get to that point if that means
2:47:07paper trading for a while in a Sim
2:47:09account or it means trading a mini
2:47:11contract or a contract with a smaller
2:47:14notional size do whatever you can to
2:47:17take that big step to go from analyzing
2:47:20algo strategies to actually Trading algo
2:47:24strategies and remember to listen to
2:47:26your guts start in a way that you feel
2:47:28comfortable with if your portfolio has
2:47:31too much volatility or you're up at
2:47:33night thinking about any one system or
2:47:35any one position pump the brakes a
2:47:38little bit remember in the end winning
2:47:40is sleeping better tip number eight is
2:47:44view algorithmic trading as a project
2:47:47view it as an investment in your
2:47:49education and your analytical tool set
2:47:52if you are connected to markets in any
2:47:55way it is a huge deal that you
2:47:58understand algorithmic trading the key
2:48:01Concepts that you have learned in this
2:48:04course around coding strategy building
2:48:06risk and portfolio management market
2:48:09dynamics have big benefits Beyond just
2:48:13the profitability of the trading
2:48:15strategies that you're running another
2:48:16way to say all this is whether you're in
2:48:19economics or Finance or commodity
2:48:21markets if you want potential employers
2:48:24and Headhunters running to your LinkedIn
2:48:28page you need to lean into quantitative
2:48:31analysis and algorithmic trading but
2:48:34again view all of this as a project as a
2:48:37process that is worth investing in tip
2:48:40number nine is don't go It Alone find
2:48:44other traders that you can talk to and
2:48:47find other traders that you can share
2:48:49systems with now I used to obsess about
2:48:52not sharing systems I used to think that
2:48:55I had some proprietary view on the
2:48:58market and if I shared it with one or
2:49:00two other traders that might lose some
2:49:02Edge when I first got into strategy
2:49:05development I even hired some coders and
2:49:07I'd make them sign ndas so that they
2:49:10wouldn't share any of my code elsewhere
2:49:12now I have completely gotten over that
2:49:15for a few different reasons first of all
2:49:17any trading system that you can come up
2:49:20with has probably been built before
2:49:22there are hedge funds out there that are
2:49:24using Quantum Computing to test millions
2:49:27of different strategies every year
2:49:29they've probably figured out your
2:49:31trading strategy and if you do share a
2:49:34trading system anyone who looks at that
2:49:36system will likely make their own small
2:49:38tweaks so it ends up executing in a
2:49:41slightly different way than your system
2:49:42in the first place Richard Dennis who
2:49:45came up with the turtle trading system
2:49:47famously said I could publish my rules
2:49:49in the newspaper and no one would follow
2:49:52them there is so much upside from
2:49:54sharing strategies from talking to other
2:49:57Traders about what they're doing what
2:49:59they're actually trading how they think
2:50:01about markets that is so much greater
2:50:03than the downside of another Trader
2:50:05maybe trading your exact trading system
2:50:08in a huge liquid Market it probably
2:50:11won't even make a difference bottom line
2:50:13don't go It Alone find a network of
2:50:16other Traders and don't be afraid to
2:50:19share your trading systems tip number 10
2:50:22is 5 find your Edge find what you are
2:50:26good at find what makes your trading
2:50:28different and profitable and really lean
2:50:31into that maybe it's structuring
2:50:33seasonal trades or finding a unique way
2:50:35to analyze commitment of Traders data or
2:50:38maybe you work for a big commercial
2:50:39Trading Company and you have access to
2:50:41private cash data or weather data that
2:50:44no one else has access to or maybe you
2:50:47like trading those smaller a liquid
2:50:49commodity markets like orange juice and
2:50:51rice and lumber that most hedge funds
2:50:54just don't have access to find your Edge
2:50:57find what makes you profitable and lean
2:50:59into it there it is there are 10 tips
2:51:02that can help your algorithmic trading
2:51:04psychology boost your confidence and
2:51:07help you avoid some of the pitfalls of
2:51:09algorithmic trading
2:51:13thank you
2:51:17whether you are a professional commodity
2:51:20Trader or you are a beginner who
2:51:22understands the huge advantages of
2:51:25systematic trading there is a lot of
2:51:27upside for you in your professional
2:51:29development and your trading
2:51:31profitability to learn more about
2:51:33systematic trading so beyond this course
2:51:36let's talk about what are the other
2:51:38resources that are out there that are
2:51:40available to you specifically books
2:51:42strategy testing tools strategy building
2:51:45courses and YouTube channels what are
2:51:48the best books on algorithmic trading
2:51:51these are my top four in order of when
2:51:55they were published number one design
2:51:57testing and optimization of trading
2:52:00systems by Robert Pardo number two
2:52:03beating the financial Futures Market by
2:52:06Art Collins number three trading systems
2:52:09by Urban Jackal and Emilio thomasini and
2:52:12number four building winning algorithmic
2:52:15trading systems by Kevin Davey all four
2:52:18of these books are fantastic resources
2:52:21that cover strategy development testing
2:52:24optimization risk management portfolio
2:52:27construction effectively the building
2:52:30blocks for constructing realistic
2:52:32systematic trading strategies that have
2:52:35the best chance of working well in real
2:52:37time what are the most popular
2:52:39algorithmic trading strategy courses the
2:52:43three courses that I hear of the most
2:52:45often are Kevin Davies strategy Factory
2:52:48course Andrea Unger's Unger Academy and
2:52:52Jeff Swanson's easy language Mastery
2:52:55courses now I've taken a few paid
2:52:58courses from Kevin Davey I've attended a
2:53:01few seminars hosted by Andrea Unger and
2:53:04I'm a big fan of Jeff Swanson's blog all
2:53:07of these guys have slightly different
2:53:09approaches to strategy testing strategy
2:53:12walk forwards the use of filters and
2:53:15custom bar charts but all three of these
2:53:17forces are good options if you want to
2:53:20get deeper into systematic trading what
2:53:23are the best strategy testing tools the
2:53:26top three here are multi-opt which
2:53:29follows the same walk forward heavy
2:53:31strategy development process taught by
2:53:33Kevin Davey the DL pal deep learning
2:53:37price action Lab at
2:53:39priceactionlab.com it analyzes lots of
2:53:42different price patterns to develop
2:53:44strategies and finally the build Alpha
2:53:47strategy development tool at build
2:53:49alpha.com finally what are the best
2:53:53YouTube channels this list is very small
2:53:56in terms of channels that show actual
2:53:58strategy code and realistic Equity
2:54:01curves including the cost of slippage
2:54:05and commissions it basically comes down
2:54:07to Kevin Davey's Channel and the peak
2:54:10trading research Channel I can't count
2:54:12the number of times that I've seen a
2:54:14trading Channel share a beautiful upward
2:54:17slope Equity curve with hundreds of
2:54:19Trades and then someone inevitably asks
2:54:22in the comments well did you include
2:54:24commission costs did you include the
2:54:26slippage costs of trading that contracts
2:54:29so many times and the Creator's answer
2:54:32is always inevitably well I didn't but
2:54:35it's not that much it's not a big deal
2:54:37well if it's not a big deal if it's not
2:54:39a big cost included in your development
2:54:42process otherwise it's not a realistic
2:54:45system this was part of the reason that
2:54:47we started our strategy of the month
2:54:50videos which have now been running for
2:54:52more than a year this is where we show
2:54:54fully coded realistic trading systems
2:54:58that perform well including the cost of
2:55:00slippage and commissions across all
2:55:03major agriculture energy and metals
2:55:05markets month after month so that's it
2:55:08that's the list of strategy books
2:55:11strategy testing tools strategy building
2:55:14courses and YouTube channels that can
2:55:17help you on your journey to profitable
2:55:19systematic trading and of course if
2:55:22you're interested in fully coded
2:55:24systematic trading strategies that are
2:55:26performing well in real time you can
2:55:29subscribe to our Peak 10 monthly
2:55:32strategies at Peak algo.com and you can
2:55:35follow Peak trading research on YouTube
2:55:38on LinkedIn and on Twitter for commodity
2:55:41Market insights and real systematic
2:55:43trading strategies bottom line there are
2:55:46a lot of great resources out there for
2:55:49you and there is no better investment in
2:55:52your future career and your trading
2:55:54profitability than to learn more about
2:55:57algorithmic trading
2:56:01thank you
2:56:05one final comment to wrap up this 2023
2:56:09algorithmic trading course you can do
2:56:12this you can build test and automate
2:56:15systematic trading strategies to reap
2:56:18all the massive advantages of
2:56:20evidence-based trading you have the
2:56:22building blocks you need the tools you
2:56:25need the additional resources you can
2:56:27reference and my hope is that this
2:56:29algorithmic trading course helps put you
2:56:32on a path in terms of your education
2:56:34your confidence and your training
2:56:37profitability if you have any questions
2:56:39or feedback about this course you can
2:56:42leave them in the comments below if
2:56:44you'd like access to the full
2:56:472023 algal course packet you can find it
2:56:50at peakalgo.com good luck algorithmic
2:56:54trading and we'll see you soon
2:56:57thank you

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