We all know @itjegan sir is a seasoned, experienced & consistently profitable trader.
He's done it both on the discretionary side as well as now as a systematic algo trader.
Here's 6 golden lessons from the man who manages 100 Cr ๐งต
1/12
He's done it both on the discretionary side as well as now as a systematic algo trader.
Here's 6 golden lessons from the man who manages 100 Cr ๐งต
1/12
Psychology:
Contrary to popular belief, system trading does often toy with our emotions.
As Jegan sir says, your MTM swings throughout the day will rarely be linear.
In order to minimise the emotions, you must backtest your strategies thoroughly & in a robust manner.
2/12
Contrary to popular belief, system trading does often toy with our emotions.
As Jegan sir says, your MTM swings throughout the day will rarely be linear.
In order to minimise the emotions, you must backtest your strategies thoroughly & in a robust manner.
2/12
Backtesting habits:
We're so accustomed to just looking at the summarised results of our backtest; paying most attention to ratios like R/MDD, DD, returns & so on.
However, Jegan sir recommends you look at your day-wise PnL breakdown in a backtest as well.
3/12
We're so accustomed to just looking at the summarised results of our backtest; paying most attention to ratios like R/MDD, DD, returns & so on.
However, Jegan sir recommends you look at your day-wise PnL breakdown in a backtest as well.
3/12
This is to understand how the equity curve progresses on a day-to-day basis because let's face it - most of us log in to our broker terminal and watch the MTM do its dance.
For this reason, we have incorporated a day-wise breakdown feature on the AlgoTest platform.
4/12
For this reason, we have incorporated a day-wise breakdown feature on the AlgoTest platform.
4/12
Breaking-down your results:
You must understand whether the PnL of your backtest result is majorly fuelled by outliers.
Is most of the profit coming from an event such as perhaps budget days?
5/12
You must understand whether the PnL of your backtest result is majorly fuelled by outliers.
Is most of the profit coming from an event such as perhaps budget days?
5/12
Jegan sir caters to this by removing the top two profitable results of a backtest report, & then analyses the results.
Is the strategy still tradable?
6/12
Is the strategy still tradable?
6/12
Profitability:
One of the basic yardsticks that Jegan sir uses when analysing a strategy is its PnL pattern over the years.
Ideally, a strategy ought to be net profitable every quarter or 3 months, but certainly at the very least every 6 months for him to consider it.
7/12
One of the basic yardsticks that Jegan sir uses when analysing a strategy is its PnL pattern over the years.
Ideally, a strategy ought to be net profitable every quarter or 3 months, but certainly at the very least every 6 months for him to consider it.
7/12
Strategies that are profitable mostly on a yearly basis alone could potentially be red flags.
You might be better off actually discarding the said strategy.
8/12
You might be better off actually discarding the said strategy.
8/12
Basis of the system:
Understanding the reason your strategy is profitable is instrumental to success.
Does your strategy make money by exploiting delta or following the trend? Is it purely a non-directional strategy attempting to feed off of risk premia?
9/12
Understanding the reason your strategy is profitable is instrumental to success.
Does your strategy make money by exploiting delta or following the trend? Is it purely a non-directional strategy attempting to feed off of risk premia?
9/12
DD control:
Jegan sir trades multiple un-correlated strategies intraday as well as an iron-fly positional strategy.
A RR of at least 1:3 is a bare minimum for him to consider a strategy viable enough to add to his existing arsenal of trading systems.
10/12
Jegan sir trades multiple un-correlated strategies intraday as well as an iron-fly positional strategy.
A RR of at least 1:3 is a bare minimum for him to consider a strategy viable enough to add to his existing arsenal of trading systems.
10/12
Altering position sizing deployed for each strategy in excel also helps in deducing the most profitable combination of capital deployment for the least risk.
While you needn't code to backtest your strategies on our platform, excel skills are invaluable for algo traders.
11/12
While you needn't code to backtest your strategies on our platform, excel skills are invaluable for algo traders.
11/12
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Listen to our podcast with the algo trading maestro @itjegan for more insights on YouTube here:
youtube.com
Listen to our podcast with the algo trading maestro @itjegan for more insights on YouTube here:
youtube.com
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