SBY is now a quant based Darwin

I've been using the Multicharts platform now for over 10 years. Over that time I must have developed hundreds of strategies and spent thousands of hours trying to design a strategy which stood up to the test of live trading.  Most strategies were over-optimised and lacked any grounding in any fundamental idea. Far too much time was spent adding variables to existing strategies rather than developing and coding new ideas.

I remember one strategy which was based on identifying support and resistance lines. A simple idea but not easy to code when you have no coding experience and had to learn 'on the job' as I did. I did the usual tweaking until it finally gave me a decent backtest. In fact, backtests are often more than decent and no doubt this one showed good promise since I remember running it forward in real-time for more than 6 months. It continued to give excellent results albeit it was only paper-traded.

I never live-traded it with real money since i'd optimised and tweaked it so much that I didn't even understand what it was really doing by the time i'd finished optimising it. I watched it grow in value whilst all the time believing it to be just random luck. I cannot remember the basis now for the support and resistance lines but I knew what I was running was not what I had intended when I set out.  I found the strategy again, many months later. It had broken down.

I guess looking back, it could have had some substance. Technical trading is based on patterns and hence as long as the computer has identified a repeatable pattern, we don't need to understand why.

However, in order to place real money on any strategy you have to believe in it. Otherwise on any deep drawdown, you are likely to kill it and end up with losses.

For me, I need to understand what I am trading. It has to have logic that I believe in. This is why I trade based on macro-fundamentals. It's what I can understand. I also appreciate the market has many timeframes under constant consideration. Not all participants have long term horizons and sometimes they are most prevalent in the market. In fact oftentimes they are, only when fundamental evidence is of such weight do short term traders have to step aside or adapt their trading.

SBY is now a quant-based strategy

Over the past few months, I have worked on a macro-fundamental strategy and I will now be using SBY to follow this, placing trades in SBY according to the strategy. I cannot link Multicharts to Darwinex and hence initially I will have to manually place trades. The nature of macro trading however is not high frequency and I expect to only be placing 1 trade per week.

The basics of the strategy are based on volatility and momentum signals from macro-based variables.

Unfortunately, we're limited in the number of instruments we can trade in Darwinex and hence the SBY portfolio but back-tested results show good results (of course they do!). I've been running these macro-quant models forward for roughly 3 months now.

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