How To Review Your Prorealtime Systems Portfolio – A Case Study

Prorealtime Automated Trading Strategies And Training

How To Review Your Prorealtime Systems Portfolio – A Case Study

In this post I share the tool that I use to keep track of my systems throughout each stage of their life cycle and discuss the factors and metrics that I use when deciding to add a new system to the live portfolio

The post and sound files below discuss the contents of the attached Excel document so please have this open to follow each step as explain how the tool is used and the futures of the systems contained inside

Prorealtime Portfolio Tracker

Introduction

In this article I run through a new systems portfolio chart that I am using to assist my decision making when looking to add or remove systems from my live Prorealtime portfolio

Unfortunately I record the wrong screen so the videos today will be in a podcast format, this may be a good thing as you can open the spreadsheet and follow through the step that I am taking without the video to distract

Prorealtime Portfolio Tracker Lay Out

Columns:

A – Status – Whether the system is live, in demo or a development status

B – System Family – Groups systems with similar entry signals

C – System Name – Unique name for each system

D – Style – Type of entry signal, used as a balancing tool in portfolio building

E – Product – Product traded

F – Time Frame – Traded Time Frame, some such as 2H30M will take a signal on the 2 hour time frame but run on the 30 minute time frame

G – Start Date – Date the system was placed into Demo, this provides a check that enough time has passed before looking to take a system live

H–N – Returns in the relevant month

P – Size traded to produce the results in columns H-N

Q – When using the RFT position sizing code with 3 draw downs (DDM) the position size calculated when using £5,000 of capital. This also gives an indication of draw down risk with a higher value showing a lower drawdown

R – Return per £1,000 of capital allocated based on the last seven months back test

S – % Time in market from the back test

T – Profit per £1,000 of capital per one percent of time in market

U – Overall walk forward percentage using five tests, seventy percent in sample, non anchored

V – Number of green months in the last seven months

X – Rough guide to trading times of the system

Y – On going status

Z – Notes

Live Systems


At the moment there are three system running comprising of the Manticore 20 minute Dax system which runs during the EU session along with the End of day USDJPY systems which run from 9pm to 8am for the short system and 24/7 for the long system (positions are only opened before 11pm)

The end of day system has very low volatility and high consistency, so I don’t have any worries about he positions holding over night

The Manticore system has higher returns and volatility along with a level of consistency since being launched and a good walk forward test

Demo Trading Systems

System running in the demo account that may be either finalised systems that are within the live demo testing evaluation period (with Prorealtime it is important to verify that the system trades the same way in live as it does on a back test) or they may have had some work but be missing a final element. In the later case they run in demo in order to verify the trading mechanism before more work is put into them as pouring loads of hours into a system and then finding out it does not work in the live environment sucks

Demo testing is a very important stage of producing a new system that should not be overlooked as it can save you a lot of money

Inactive/Legacy Systems

Systems which are not being run in the live portfolio at the moment, usually for one of two reasons. Either there is another system in live that does the same thing only better or they may be systems that do not trade frequently or hold positions for long periods that don’t fit in well with the mix of the portfolio at the moment.

The Phoenix systems for example are hard to allocate capital to as they trade infrequently where as the bar hunter system holds positions open for days in some cases and needs a dedicated capital pool. Where as the Manticore and EOD USDJPY systems can share capital trading at different times of the day

In Build Systems

Work in progress systems that may be no more than an indicator or could be one filter away from demo testing. These are systems that are being worked on but they aren’t consistent enough to be demo tested.

External Systems

I have a couple of systems that I had bought and have run in the past some of which had fallen off over the summer and some that I had not experimented with as they seemed to not be as profitable when trading spread bets. I keep them under review along with updates from the provider and having recently looked into CFDs and the pricing structure I will be undertaking some in depth analysis on CFDs vs spread bet my initial research has shown that for equity trades CFDs have much lower transaction costs than spread bets

I do keep an eye on new system popping up on Twitter but I am not a fan of black box systems and rentals so the system would need to be very compelling and fit a niche in my portfolio to take on

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