Hi Guys,
First of all I like what you are doing in collaborating and learning together as a group of 3!
In a nutshell what is seems you are doing is the following:
1. Using Petkos approach presented in the Professional Course but with some modifications
2. Rather than using Petkos pool you are looking to generate your own pool and apply the approach to that
This sounds like a sensible enough starting point to me.
I am guessing that you have formed a collective in order to both share costs such as software, hardware and trading capital etc as well as knowledge and effort?
I’ll try to answer a few of your questions below but first off I would like to ask what type of timeline and progress path do you intend to take towards trading with live funds and what checkpoints along the way seem sensible?
These are my thoughts on some of your questions, will be interesting to hear from Petko also for sure (The website is going through some work and he is no doubt swamped so I expect he will be a little later to respond than usual due to that btw)
3.How can you avoid that a strategy in LIVE goes directly into a loss phase.
You cant 100% avoid this this only becomes a big problem depending on the profit window you are aiming at. For example if you have a strategy that has ups and downs tending to last about a week but is generally going up over the course of a month say, then if you start it during a drawdown but keep it on for a month then likely all is well. Of course if you are changing robots weekly then you may just get the drawdown for a week and then remove the EA and never get the profits that were coming. It sounds like you are aiming to change robots monthly which is sensible so take a look at how long the drawdowns tend to last I suppose and wether it starts in a drawdown or profit is partly down to luck but be more concerned with not how it starts but how it finishes if you give it appropriate time.
So simply put if a strategy looks good but it has had long stagnations lately or drawdowns lasting more than a month then I would try to pick a strategy that has shorter stagnations and drawdowns lately, that way at least if you do hit a drawdown initially it is less likely to last long. Also at this point of refinement I’d personally always favor a small sample of most recent data only (i.e. the most recent couple of months)
4.When the trend changes, our strategies are also adjusted. Or do we stick to a 1 month rhythm?
Create a plan and stick with it. A month is a sensible rhythm if you interfere and try to adapt too much then this is gonna get harder and harder to backtest.
5How often do you add new strategies to the pool? And how do you avoid duplicate strategies in the pool itself.
You can add strategies to the pool as much as you want. Duplicates are not a problem in the pool as when you pass them through the validator any duplicates will be removed. If the pool seems to be getting too large then you can easily put them through the validator with to strip some out. For example lets say you grow your pool to 3000 over 6 months or so but you would rather trim that back to 500 you could just load half of your collections to the validator and rerun with your preferred settings and then save the new collection and repeat for the other half. That way you can get the top 300 according to what you prefer (profit factor, nett profit, R/D for example).
If there are a lot of strategies being discarded purely because excessive strategies are passing the criteria but the collection only holds 300 then you can rerun the validator with an either an increased criteria (say increase pf>1.2 to pf>1.4 for example), or a stricter robustness test such as increase monte carlo for 80% to 90% or reduce the correlation coefficient from 0.98 to 0.95 for example to give less correlated strategies.
There is a lot to learn and it take time, so get lots of practice using demo accounts until you are ready for live. You can also of course try several different systems on several separate demo accounts to save time in learning. Make sure to keep track in a spreadsheet you can can learn from what you have already done
Keep us posted on progress, I’m sure others will chime in soon 🙂