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Backtesting and Optimizing Multiple Trading Systems |
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Have you ever wanted to see the effect of backtesting multiple trading systems on your account balance and equity curve?
Seer makes it easy for you to backtest, optimize and deploy multiple trading systems operating from within the same account. Each trading system can be operating at different time frames, against a different portfolio of symbols across asset types with each trading system using it's own money management and position sizing rules.
Seer will backtest and optimize multiple systems in a single pass ensuring you have the most realistic trading results possible. You can also mix and match trading systems that use the same underlying instruments, even if one trading system goes short and the other long at the same time.
Using multiple trading systems within Seer is very simple. You just cut and paste one trading system from one account to another!
Deploying Multiple Trading Systems can reduce your Risk
Every trading system has it's own individual performance profile. By deploying several trading systems together you can reduce your risk and smooth out your equity curve. Using Seer you can combine as many systems as you like enabling you to see the effect on your account balance and ultimately your trading success.
To reduce your overall account risk each trading system added to your account should produce results that are lowly correlated. For example if you combine a system that performs well in a choppy market, with a system that performs well in a trending market you should expect to lower your overall risk and perhaps even improve your account performance. As a guide you should aim to:
- Mix trading systems styles. Most trading systems falls into one of three general categories, oscillator, trend and momentum based. You should use a balanced mixture of these styles.
- Mix asset types or use a well balanced portfolio of symbols. Mixing a system that trades highly volatile instruments should be balanced with a trading system, which trades less volatile instruments.
- Mix systems with different money management styles.
Breaking down results by Account, Trading System or Symbol
To help you evaluate the results produced by an account trading with multiple systems, Seer will allow you to view results by trading system or symbol.
When looking at the account as a whole, Seer will show the results with the contribution made by each trading system in the account.
Example of account with four Trading Systems
| Speed | 145167.49b/s | Number of bars | 2266 | | Systems | 4 | Symbols | 13 | | Warnings | 0 |
| | Net profit | $40,445.79 | | Gross Profit | $135,301.25 | Gross Loss | $94,855.46 | | Profit Factor | 1.43 | Largest Loss Ratio | 0.06 | | Avg win/loss Ratio | 1.22 | | Max Drawdown Ratio | 0.07 | Avg RU/DD Ratio | 1.09 | | Annual Return | 4.49 % | Return On Capital | 40.45% | | Annual B&H Return | 30.92 % | B&H Return | 278.28% | Trade Analysis | | Total Trades | 875 | Percent profitable | 53.94% | | Average Trade | $46.22 | | Standard Dev | $453.41 | Coefficient | 980.91 % | | Winning Trades | | Losing Trades | | Total | 472 | Total | 403 | | Largest | $5,115.18 | Largest | $2,581.04 | | Average | $286.66 | Average | $235.37 | | Average Bars | 14.40 | Average Bars | 12.73 | | Consecutive | 15 | Consecutive | 9 | | Runup Analysis | | Drawdown Analysis | | Max MFE | $7,333.04 | Max MAE | $2,641.52 | | Average MFE | $282.03 | Average MAE | $259.17 | | Winning series | $5,176.43 | Losing series | $3,666.08 | | Max Account RU | $7,547.48 | Max Account DD | $-4,800.46 | | Max Account RU(%) | 7.29% | Max Account DD(%) | 3.62% | Outlier Analysis | | Positive | | Negative | | Total | 9 | Total | 1 | | Value | $24,868.08 | Value | $2,581.04 | | Largest | $5,115.18 | Largest | $2,581.04 | | Select Net Profit | $18,158.75 | Time Analysis | | Time in market | 2261 | Max Positions | 12 | | Percent in market | 99.78% | Longest Flat Period | 2 | | Avg time in trades | 13.63 | Avg between trades | 1.00 | |
Contribution by System | Net Profit | Gross Profit | Gross Loss | % Profitable | Average Trade | Total Trades | Winning Trades | Losing Trades | | Ryan | $14,055.67 | $20,444.50 | $6,388.83 | 46.88% | $439.24 | 32 | 15 | 17 | | ThreeWhiteSoldiers | $16,208.34 | $100,728.01 | $84,519.67 | 53.04% | $20.13 | 805 | 427 | 378 | | BasicRSI | $4,463.11 | $5,671.07 | $1,207.96 | 90.00% | $446.31 | 10 | 9 | 1 | | Stochastics | $5,718.67 | $8,457.67 | $2,739.00 | 75.00% | $204.24 | 28 | 21 | 7 |
Contribution by Symbol | Net Profit | Gross Profit | Gross Loss | % Profitable | Average Trade | Total Trades | Winning Trades | Losing Trades | | INTC | $14,055.67 | $20,444.50 | $6,388.83 | 46.88% | $439.24 | 32 | 15 | 17 | | AA | $5,718.67 | $8,457.67 | $2,739.00 | 75.00% | $204.24 | 28 | 21 | 7 | | IBM | $4,463.11 | $5,671.07 | $1,207.96 | 90.00% | $446.31 | 10 | 9 | 1 | | MCD | $1,244.50 | $7,205.90 | $5,961.40 | 52.70% | $16.82 | 74 | 39 | 35 | | MO | $187.71 | $10,418.98 | $10,231.27 | 51.81% | $2.26 | 83 | 43 | 40 | | MRK | $-1,064.97 | $10,270.19 | $11,335.16 | 50.55% | $-11.70 | 91 | 46 | 45 | | MSFT | $6,762.83 | $16,027.56 | $9,264.73 | 56.41% | $86.70 | 78 | 44 | 34 | | PG | $5,345.95 | $10,665.58 | $5,319.63 | 62.22% | $59.40 | 90 | 56 | 34 | | SBC | $-1,436.03 | $8,591.38 | $10,027.41 | 51.32% | $-18.90 | 76 | 39 | 37 | | T | $2,909.50 | $14,732.19 | $11,822.69 | 41.89% | $39.32 | 74 | 31 | 43 | | UTX | $3,785.78 | $10,298.67 | $6,512.89 | 57.61% | $41.15 | 92 | 53 | 39 | | WMT | $1,411.90 | $7,458.33 | $6,046.43 | 55.71% | $20.17 | 70 | 39 | 31 | | XOM | $-2,938.83 | $5,059.23 | $7,998.06 | 48.05% | $-38.17 | 77 | 37 | 40 |
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