There are plenty books and sites which offer automatic trading strategies (robots) and claim they are very profitable. On the other hand many people do not believe in such things, saying that: if there would be "graal" that generates stable profit, then the details would be kept in secret, and many other reasonable doubts in such claims.

So what is the truth ? Does most/average automatic trading system lose money in say one year/ 3 years ? or may be they win 100% in a week :) ?

More seriously: I am interested to find some analysis that would take several trading strategies and test it on various historic data and describe the results. It is better that strategies would be simple/standard and invented by third party in order to avoid conflict of interets.

  • $\begingroup$ Your question is way too broad. Please rephrase the question if you can. Also many of your terminology is not quantifiable. What is "serious" back-testing? $\endgroup$ – Matthias Wolf Nov 2 '14 at 18:30
  • $\begingroup$ @MattWolf "Serious" means say at least 1 year data. I agree that the question is broad, but it seems to me that this can be a problem if there would be overhelming number of answers, but according to my experience it would be good if I would receive 1 constructive answer. That is why I make a question broad. $\endgroup$ – Alexander Chervov Nov 3 '14 at 9:28
  • $\begingroup$ I still do not fully understand what you try to ask. Obviously there are strategies in the market that generate alpha, most do not. Like with everything in life the probability of success is a function of skill, hard work, adaptability, and some luck. There are obviously no statistics out in public domain that quantify the average return of trading algorithms in existence/operation... $\endgroup$ – Matthias Wolf Nov 3 '14 at 10:08
  • $\begingroup$ @MattWolf Context: I need some starting point, I am not asking about secret strategies. 1) There are many strategies which are "everywhere described" - combinations of moving averages, "internal day" (not sure about English name), Bollinger bands and so on an so forth. HOWEVER I have not seen serious backtesting results for these strategies. I have googled for many hours. It is NOT problem to make such backtesting - I can do it by myself, just it would take quite a time. And I am quite sure that lots of people have done this work - just I cannot google it. $\endgroup$ – Alexander Chervov Nov 3 '14 at 11:25
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    $\begingroup$ a) if it is not difficult to backtest simple strategies then why don't you do it? Indeed it is not difficult. So not sure what is keeping you rather than "spending many hours searching for results". (Each strategy and each tested data set produces different results hence your quest for an average performance makes very little sense imho). b) please feel free to aggregate the performance results of the many hundred hedge fund reports you can get access to; you will most likely spend months with little to show for. c) I test my own strategies and do not intend to share results. Sorry $\endgroup$ – Matthias Wolf Nov 3 '14 at 12:46

As mentioned above, your post is very broad and therefore difficult to answer.

However, I have had a lot of fun trying to reverse engineer some strategies, from back when RentASignal.com was in business. My general conclusion where that the strategies for rent where optimized for a great back test, the developers then set the strategy up for a forward test using an a demo account, and then crossed their fingers.

If they were lucky, their (typically) high leveraged strategy made XXX% return over the next 1 – 2 months, and then started to get paying subscribers.

This is a lucrative and easy business for fraudsters, so watch out, and never buy anything unless there is solid test and verification documentation available (there never is!)


Markets are changing all the time and that's is why a specific "edge" is lasting some time and than you will need to restart your algo.

  • $\begingroup$ I agree. But just as a starting point i would like to get info on the question as it is. I do not mind if the answer would be: "I have tested strategies "..." and got that on 1 year data all them lose ... say 10% of deposit." $\endgroup$ – Alexander Chervov Nov 3 '14 at 9:30

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