Hi Rick
Regarding drawdowns, apart from the BRI EA in demo testing all my EA's whether in demo or live have so far been within the max drawdown obtained in backtesting. Need to bear in mind though that my demo/live testing has only been a few months whereas backtesting is a minimum of 3 years of data, so I think its too early to tell. But both Bisher and my trading coach have told me the same thing - expect higher drawdowns than you get in backtesting. The way I handle it is I aim for EA's that have a max drawdown of prefereably < 10% and definitely < 15%, and for live EA's I have a cut-off of 20% which if they draw believe that I will stop trading them. I think that's enough of a buffer, and if in 12 months time I've launched say 1 EA's and only 1 has broken the 20% cut-off rule but overall the portfolio has made a decent return then I'll be happy.
In any case, as far as I see it, the drawdown is dependent on all the variables in an EA, but for any given setting, it can be adjusted by adjusting sizing. So for this reason I have a staged risk/cut-off rule for my EA's when I launch them live. Initially of course they are funded by my own capital, so I want to minimise the risk of my own capital, and therefore when I launch an EA I halve my sizing so that I am only risking 0.5% per trade, versus my standard 1% per trade. This means that an EA with a max 12% drawdown at 1% per trade in fact will only have a max 6% drawdown while trading at 0.5% per trade. So my cut-off rule is also halved which still leaves the same buffer but for each $10K account that I launch, I am only risking $1K of my own capital. Once (if) the EA's profit grows above 25%, then a 20% drawdown at 1% risk per trade would bring the account back to $10K, my starting capital, so I am happy to switch to 1% risk per trade for each EA whose profit is above 25% (because of course in this situation I am no longer risking my starting capital, I am risking other people's money).
By the way Rick, I've been meaning to get back to your question before the weekend about a description of the conference EA's. I had to wrestle a bit with this question because I think the IP is Tradeview's not mine and I feel uncomfortable disclosing other people's IP. I did post a very simple descripton of them here after the conference last month and I think it would be hard to describe them much more without crossing that IP line.
What I will add is the following:
- the 3rd presenter in fact presented 3 EA's - each to demonstrate different things - I mentioned the RSI-based one but there is also a volatility based EA and a momentum based EA
- apart from the pairs trading EA which custom indicators built for it and a live watchlist as well, and so I think woud be very difficult for a newbie like me to write, the 4 EA's from the other 2 presenters are pretty simple - 3 of them have between 12-20 lines of EA Labs block code and the 4th has about 25 lines, and that's without the use of any separate functions so all the code is within the green bar/tick block
- all of them have at most 1-2 variables to optimise but I recall there was very little optimisation to generate profitable equity curves in backtesting
I hope that at least gives you a picture of how simple/complex they are. I should also add that all 3 presenters stressed keeping things simple, and Tradeview consistently push that message (along with risk management).
Cheers, Sharks
