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Author Topic: NexusDash  (Read 2138 times)

Online diyforexskills

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NexusDash
« on: January 23, 2019, 02:53:28 AM »
Nexus is a portfolio of EAs that a colleague and I have been working on for just over a year with the intent of providing it as a signal service once we have sufficient live results on the board. In this instance we are running these EAs in the normal fashion, relying on consistent and profitable performance development and evaluation over 10-year back tests.
In addition to relying on long-term back tests and forward testing on a live account (since September 2017) we are also undertaking  a very thorough ongoing analysis and management of the portfolio to ensure that the performance meets our KPIs and thus make it suitable for investors.

To that end, my colleague has developed an Excel-based monitoring tool which we have named NexusDash. At this stage it is just for our own use but depending on the level of interest we may offer it as an online tool for traders running portfolios of EA at some point in the future.

The main objectives of the tool are to:
1.   Compare Real Account performance with historical Backtest KPIs that supported the strategy deployment
2.   Compare adherence of the Real Account to Backtesting after deployment
3.   Support portfolio adjustments.

The images below are screenshots of the dashboard for two of the strategies.  The one for GBPAUD is meeting our KPIs and so no changes are being made. The other for USDCHF caused us to re-evaluate and make some changes going into 2019.
Over the next few weeks we will explain the various features of the dashboard and how we are using it to manage and fine-tune the Nexus portfolio. We have already opened our own live client account so that we can also monitor the performance of the trade copying process that clients would experience.
« Last Edit: January 23, 2019, 05:35:07 AM by diyforexskills »
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Online diyforexskills

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Re: NexusDash
« Reply #1 on: January 26, 2019, 07:03:34 AM »
Back Test comparison of live trading period

The strategies we are employing in the Nexus portfolio have all been optimised and back tested over a 10 yr period and shown to be profitable over that time. (Apart from a couple where we are employing a 3-year optimisation/BT.) That has required a lot of development work.

Given the importance we are placing on these strategies performing well over extended backtest periods, ie being able to deal with varying market conditions, we are also monitoring how well the BTs continue to provide realistic assessments of the strategies. To do that we BT the strategies on a quarterly basis over the period for which we have live trading results - in our case from late 2017.

In the image below we can see that one of our strategies actually outperforms the BT over the same period; while in the other case, the reverse holds true; and we see some unexplained deviations. In general the performance trends, if not the detail, are comparable.

The non-conformance between live and BT in the second strategy however, was one of the factors that has led us to modify that strategy somewhat going forward from January 2019.

Over the next few weeks we will continue to discuss how we are using the various elements of the Dashboard to monitor and manage the portfolio.
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Online diyforexskills

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Re: NexusDash
« Reply #2 on: February 05, 2019, 04:38:03 AM »
The second Dashboard page

In the last post we dealt with the first page of the Nexus dashboard and discussed how a comparison of the historical performance of the Real Account against what would have been expected by the BT and how that uncovered a possible problem in one of the strategies. We realized that for some reason one of the strategies, even if profitable, had been unable to follow the BT performance in the first part of its trading period since inception (second graph from last post).

Following from this we moved to NexusDash's second dashboard page (the tool has two dashboard pages) where we can compare the performance of the several strategies that comprise the portfolio over several time periods. This dashboard page is divided into 4 charts: Best Strategies in Money and Pips, and Worst Strategies in Money and Pips.

The dashboard is a valuable source of different information that helps us model and adjust the portfolio and we will refer more about its overall potential, but at this instance let's limit our attention to the problematic strategy referred to in the last post and above (Strategy 2).

When we look at the Best Strategies part of the dashboard, we can see that whilst Strategy 2 has consistently won the "silver medal" (the second best strategy) in terms of pips generation in any of the time periods analyzed (All time since inception, last 1 year, last 6 months, last 3 months and last 1 month) when we pivot the analysis to "money profits" we see that this "silver medal" is not so consistent over the several time periods analyzed.

In fact, NexusDash makes this divergence so visible that it's easy to see that whilst Strategy 2 was the second best in pips performance since inceptions, it was the worst in money terms over the same period. When this happens, a red flag is raised for further investigation.

In this case, after deeper investigation on Strategy 2 resulting from the potential problem unveiled by NexusDash, we concluded that a Scale-in approach that worked well in BTs, simply didn't make the cut in real trading. Consequently, the portfolio was adjusted in the December 2018 portfolio review.
« Last Edit: February 05, 2019, 04:44:25 AM by diyforexskills »
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Offline jwatts7701

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Re: NexusDash
« Reply #3 on: February 05, 2019, 06:31:06 PM »
DIY, I love it. I do something similar in excel, but much less fancy. I would love some kind of tool to track all EAs easily. Its painful sometimes doing an analysis using excel + fxblue and sorting out magics and comments etc..

is the myfxbook in your signature a result of NexusDash? or is there another place that we can follow along with it? Your probably on to something solid here, as I like this approach very much and have often tried to do a much more tedious version of it myself.

Online diyforexskills

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Re: NexusDash
« Reply #4 on: February 05, 2019, 11:17:17 PM »
DIY, I love it. I do something similar in excel, but much less fancy. I would love some kind of tool to track all EAs easily. Its painful sometimes doing an analysis using excel + fxblue and sorting out magics and comments etc..

is the myfxbook in your signature a result of NexusDash? or is there another place that we can follow along with it? Your probably on to something solid here, as I like this approach very much and have often tried to do a much more tedious version of it myself.
Thanks for the encouragement. Yes, it's quite amazing what you can do with Excel; if you know how, which I don't, but luckily my colleague does!

No, the myfxbook link in my sig is for a small test account linked to a demo master via the EA Controller. However it should not be long before we make the account shown in the image in the previous post, accessible.
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Online diyforexskills

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Re: NexusDash
« Reply #5 on: February 09, 2019, 07:39:44 AM »
Nexus available for viewing

OK, the Nexus account is now available for viewing. As per my sig below.

We are still doing a bit of finessing on a couple of things related to the forthcoming signal service launch, but we now feel we have sufficient live trading history to share this portfolio on the forum.

We will also continue to explain the other features of the Dashboard as we move forward. We will be reviewing the portfolio from time to time and adjust if and when required - as we did in the December quarter review mentioned previously.
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Online diyforexskills

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Re: NexusDash
« Reply #6 on: March 14, 2019, 07:25:28 AM »
Have had a bit too much on my plate this last week or so, but will get around to further explaining the NexusDashboard soon.

We will be doing our quarterly review early in April, but we have already moved on the AUDJPY strategy which was beginning to fail and not meeting its KPIs. So a new AJ strategy will be starting soon, based on the work I have been doing with MA crossovers on the Autotrader.

Some  nice moves last night and earlier have put us back on a positive footing after a difficult February - pls see Sig for Nexus Synergy below.
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Online diyforexskills

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Re: NexusDash
« Reply #7 on: April 17, 2019, 08:54:32 AM »
Quarterly Review

We completed our quarterly review of the Nexus portfolio this week. As a result, our EJ strategy is "on notice" and we are looking to replace it soon, possibly with one of the new Autotrader ATR strategies (refer https://donnaforex.com/index.php?topic=12561.msg386112#msg386112 ). We have experienced a small pullback over the last two months, but are still well within our DD KPI of < 15%.

Two images.

The first shows the stats for the 3 best and 3 worst performing strategies.

The second shows the more detailed stats for the currently best performing strategy.

We hope to be able to offer a subscription service for this portfolio some time in May.

PS The recently introduced new AJ strategy (following the December review), is nicely in profit for both Initial trade and scale-in.
« Last Edit: April 17, 2019, 09:11:28 AM by diyforexskills »
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Online diyforexskills

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Re: NexusDash
« Reply #8 on: July 13, 2019, 01:00:58 AM »
Nexus Open for Subscription
https://odysseiacapital.com/nexus/

The Nexus portfolio, operated by Odysseia Capital, has been running in test mode on a live account for 18 months. It employs a mix of EAs created with the FX Autotrader Elite and StrategyQuant.

The portfolio is subject to rigorous monitoring and adjustments are made as required. As described in this Thread. We firmly believe that subscription fees for a Signal Copier should be affordable and be performance-based; so that is what we have done.
https://odysseiacapital.com/shopnexus/

As you can see, we've placed the interests of our customers upfront in the priority list and we offer an innovative subscription model that depends on the long-term performance of the service.

And if you sign up in July, you will also get the first three months free.

The performance has been flat this year to date but that could well be a good time to join. Like entering on a pullback. Our modelling suggests a long-term monthly return of 2% pm and we are currently sitting on 0.72%. Hence subscription fees are at their lowest.  Importantly we have restricted the DD since start to 10.75%. This is definitely NOT a marty/grid system! You can sleep easy at night.
« Last Edit: July 13, 2019, 09:55:02 AM by diyforexskills »
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