This journey started because I noticed a general lack of highly inherently robust strategies within Asirikuy, something which prompted me to develop systems with very high standards regarding robustness. During the past two months these efforts have been concentrated on a new EA — called Comitl — which is a portfolio based solution that does not take robustness as a priority but as a characteristics of the utmost importance.

Within this post I will talk to you about this new EA I have developed for Asirikuy and why it is different and much more robust than other Asirikuy strategies.

I will talk about some of the characteristics of this EA, how it may be improved and what I expect from it in the future. Any algorithmic trader will carry with him or her the inevitable burden of trading uncertainty. How will we know if your strategies will fail now or in 20, 30 or 50 years?

How do we know if the targets we have considered realistic — through Monte Carlo simulations and careful analysis — will indeed materialize in reality? These questions are very important and constitute the basis of perhaps the most important issue within trading: Developing systems with survival in mind is something absolutely important which needs to be given a high priority when building and testing strategies.

The truth is that there is an inherent compromise between possibility of failure and expected profit and therefore a good trader needs to carefully gauge both factors. While new traders tend to focus on maximizing simulated profit — almost always ignoring issues pertaining to robustness — conservative traders look in the complete opposite way, sacrificing profits if it means an increase in robustness. I wanted to develop the next Watukushay EA thinking as the most conservative of all algorithmic traders would think.

I wanted to build a portfolio seeking the highest level of robustness with profitability being only an afterthought within the whole development process. With this in mind I decided to develop a portfolio for the daily time frame which would have some very interesting characteristics.

The portfolio would use three systems, all systems would use the same settings on all pairs and all pairs would have twenty years of backtesting on the daily charts. No optimization, no hind sight, no parameter changes, no fitting at all. The twenty year period can be viewed as a pure out of sample evaluation as the strategy was never optimized either on one or many of the pairs used.

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Even when doing the initial design of the strategy — based purely on visual chart observation — it was done only for a few years within Also — in order to avoid portfolio selection bias — I decided to trade the 4 most liquid pairs in which are the ones traditionally known as the 4 majors.

The portfolio EA — which includes the three strategies inside of it — uses two systems I published on the February and March issues of currency trader magazine, using Keltner channels and Bollinger Bands and a separate price based strategy using a time determined exit.

As I have mentioned before the parameter selection for these systems was done one time through visual observation and it was never changed nor optimized through any trading period. This portfolio EA therefore has a level of robustness which almost no other system can match: No portfolio selection bias, no optimization bias and therefore simply no risk at all of curve fitting. I was happy with this achievement since it constitutes what many would consider a system that works at a very fundamental level.

It works through several pairs, it works for long periods of time and it has no problem with issues related with curve fitting. This portfolio has — therefore — an incredible natural chance at future survival since it seems to exploit an inefficiency which is simply a part of at least highly liquid instruments.

As the different ingredients mix within a pot to form a single soup, so do the systems of Comitl naturally mix to form a very long term and robust profitable system. Certainly Comitl does not achieve the level of profitability of many other Asirikuy systems — as it sacrifices a great deal of profitability for robustness AMR to Max DD ratio of about 0.

It could be well considered a very long term investment vehicle and it might even work across a wide array of highly liquid instruments as futures, bonds, etc , as each strategy has the characteristics of a multi-market successful system. Another thing which arises is the possibility to build alternative Comitl setups which have a lower compromise with robustness.

Certainly someone may decide to optimize Comitl on certain pairs or trade the system with an optimization for the past 11 years, a valid compromise someone can make between profitability and robustness.

The achievement here however is that Comitl grows from the base of possible profitability without any compromising of robustness, it grows from the assumption that survival is the most important aspect of trading above profitability.

As I have said before it is up to each trader to decide how much they want to risk for an expected profit and Comitl is the first system which might allow a fine tunning of this from a base level where no compromise is inherently present. I am still working on some aspects of Comitl but the EA should be released this or the next week end to the Asirikuy community. I hope you enjoyed this article! Keep up the great work,. I ran across your site the other day, and there is some good information here.

Some I take issue with, but its mostly nitpicky things. You need to be in all day just to get enough movement in your direction to overcome your losers. Regardless of your strategy or if you disagree, you probably need to look at CME Currency futures to see if they are liquid enough for you. Its money straight into your pocket for opening a new account. Thank you for your comment: Certainly profitable scalping becomes possible with low commission regulated exchanges where there is no feed dependency and you have access to data with market depth but on Forex it is practically impossible, at least at the retail level something I think you agree with me on.

Even if I traded micro futures I would be limited to a few strategies while on FX I am hugely diversified with the same capital.

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I will certainly write a post about this in the future as I have answered it quite a few times: Why are you diversifying strategies so abundantly? The more you diversify, the more you are just averaging yourself back to the norm. For example, Its like being an active stock trader and owning 50 stocks.

Why not just go with whichever outlier you deem best instead of averaging it down? If I stick to only trade systems which have been great then I am putting myself at greater peril regarding their potential future failure. There is always a possibility of system failure and therefore diversification tends to play a role in diminishing this possibility. The more inefficiencies you tackle the more robust your portfolio becomes as a whole, this seems to be — at least — our conclusion from Forex trading experience.

In the end this is a game of measuring the possibility of future failure against expected profits. Sure, you could make an extremely good portfolio by taking the systems with the best historical performance on the best securities but then you run the risk of having a higher chance of future failure. In my experience both things need to be compensated and you need to compromise with a level of selection, robustness and expected profit which satisfies your risk appetite and trading personality.

I hope this answers your questions: Do you have the research on the porfolios or is it confidential? Is the optimal number 3 or I think this is indexing. Its just indexing to Forex.

If you are tending towards the markets inherent yearly profit and maximum draw down limit then that is approaching matching market performance. Thank you for your reply: In stocks there is a fundamental upside bias, in Forex there is no reason why a currency MUST get valued over another. Also the number of systems to form portfolios that achieve the best performance is not easily known since you can reach the same AMR to max draw down historical results by using either 4 or 10 systems — for example — depending on how well the systems match between each other how well they hedge each others draw down periods.

Certainly you also need to consider that the 4 and 10 system portfolios in the above example might have different characteristics which might make you choose either one despite the fact that they have a similar performance regarding profit to draw down ratios.

Building a Forex Portfolio With the Highest Possible Level of Robustness: Introducing Comitl | Mechanical Forex

For example the 10 system portfolio might have smaller draw down periods while the 4 system portfolio might have higher probabilities of having profitable months. Having many systems ensures a high degree of robustness, a high probability to survive under future market conditions. I hope this helps: I guess the ultimate robust system would be to add to the portfolio a stock index, a bond index, and a gold index and maybe a real state index. In 1-day bars there is probably reliable data from 20 years ago and more.

Thank you for your post: One other thing that I disagree with. Strategy development is curve fitting.

So long as you iterated through a process with increasingly good results based on observations visually or mechanically , its curve fitting. Its just impossible to not curve fit a strategy. Certainly — as you said — there is an inherent fitting degree to all algorithmic strategies, regardless of how much optimization they are subsequently subjected to. Thanks again for your comment,. I agree curve fitting is a problem, but the curve fit bias becomes less and less the more trades are executed in the specified test period.

For instance if you ran a 10 year backtest, and trades were executed with a profit factor of at least 1. On the other hand if your system only had 80 trades then the chances become much more for a cruve fitted system.

That is why in my opinion it is important to develop systems that trade often, to remove most of the curve fitting bias. Another point is that aside from the analysis on weekends etc, this is a passive investment. In other words, I can go about my life and full time job without studying charts and trying to scalp 30 minute moves. If you are able to acheive consistently high returns with manual scalping then congratuations and by all means continue.

My goal on the other hand is to diversify my investments to Forex and employ systems that are well-researched and statistically sound.

These systems may not beat the best real-time, hands-on traders, but I expect they will be competitive versus stocks, bonds, etc. I might also make the case that full-time trading is a highly competitive business and success does not come easy. I also never have positions open over night. For instance, look at high frequency traders.

They are making money hand over fist, and its doubtful they are doing any chart study over the weekend.

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The reason why HFT works for them and not retail traders is low fees no data feed fees, no slippage due to co-location, and minimal trade costs. Under that scenario, a lot of people would have working scalping strategies, and its the reason why there is a lot of complaining on the Street about it.

Its an unfair advantage. To me, there is no difference between a swing strategy and a intraday strategy in terms of research and maintenance. Once its on, its on and you just need to monitor the statistics. If you reduce your costs, you can have a lower winning percentage, trade more, and increase your overall next profit because now your acceptable gain is within the expected volatility range of the intraday market.

The lower the costs and higher the volatility, the smaller the time frame that you can exploit. Therefore, your expected return should be on the K. Did I misunderstand what you said? Always good to minimize the possibility of account wipe-out, for obvious reasons. On the other hand others may prioritize future survival above all things, that is, making profit completely secondary and survival the utmost priority.

I try to provide within Asirikuy alternatives for all types of traders so it is ultimately up to you to design and trade portfolios and systems that best fit your needs and goals: Bear in mind that we are never concerned with wipe-outs as we NEVER trade systems that would risk a whole account.

We are concerned with the probability of reaching a Monte Carlo determined worst case scenario: Mail will not be published required. You can use these tags: Mechanical Forex Trading in the FX market using mechanical trading strategies. Home About Me Atinalla FE OpenKantu System Generator.

Building a Forex Portfolio With the Highest Possible Level of Robustness: Introducing Comitl March 30th, 17 Comments. Posted in Articles Tags: An Excellent System Quality Indicator? Are They Any Better Than Spot Forex? March 30, at 4: March 31, at 1: March 30, at 6: March 30, at March 31, at March 31, at 2: March 30, at 7: April 3, at April 1, at 3: Leave a Reply Click here to cancel reply. Asirikuy Asirikuy Investment Project Asirikuy Strategy Tester AST backtesting BATS brokers CFDs cloud mining crossword puzzles Currency Trader Magazine F4 framework fxtradermagazine grid trading homework corner indicator series Kantu machine learning martingale Metatrader metatrader 5 money management neural networks ODROID-XU4 openKantu pkantu portfolios portfolio trading programming psychology pyfolio python qqpat quantopian R RTFF scalping Seasonality social trading strategy design strategy evaluation system system development trading psychology trading strategies tutorial umaki Using R VPS walk forward analysis Watukushay WRP contributions.