SHORTFINDER strategy review


Within our main portfolio, we have categorized SHORTFINDER as a “market edge” systems. In this case, it means the looking for short positions in the days and hours statistically more favourable, adding a very basic filter of moving averages and a Stop Loss and a TakeProfit depending on the market. Then, for each market and with all the historical available, we have parameterized the best days, hours, moving average, SL and TP to launch short positions.

When SHORTFINDER was developed?

The first versions are from late November 2021 and we had some versions released in real (for NASDAQ, DAX and A50-China, if I remember correctly). Also in the meantime we were adapting the strategy and expand it to other markets.

The results, which by the type of strategy also needed a long validation time, were very variable according to the market, and in general were not really good.

In June 2022, we released V1.1, V1.2 and V1.3 versions for testing with different changes and new controls. We launched some instances in real and demo, but we don’t really have an exhaustive tracking or a complete history.

What we will see?

What we want to do today is a review of the performance of the latest versions developed, during all its backtest and in its “Out of Sample” period. Note that, whether or not we have launched them, if we take a system ITF file created in June and we try it in November, we will be able to see what would have been approximately its behavior (it would really be very close to having launched it in real, at 95%)

Of the 18 markets that we optimized previously, months ago we selected the 9 candidates to be published after validation. Having mixed results, we stopped the publication of the system (customers never got to have the robot available paying license, only a set of collaborators or customers of other robots could try a free pilot)

SHORTFINDER configurations review at 24/11/2022

We were talking before about 9 configurations / pre-selected markets. Well, in this case, we have discarded another 4 markets, leaving 5 markets. To the 5 markets we have given a specific number of contracts to make the size similar to 1 contract in the NASDAQ.

NASDAQ (EEUU Tech 100)1
DAX (Germany40)1
SMI (Swiss Blue Chip)1.5
CL (US Crude)1.2
SINGAPORE (Singapur Blue Chip)2

Out Of Sample results (separately)

Below we will see an overview and the ProRealTime ‘control panel’ of each of the instances. We can see that the results, although generally positive in the end, have considerable drawdowns.

Results for the entire period available (separately)

Let us now look at the theoretical results, for all the available history (each market has different periods).

In this case Drawdowns are high too, but proportionally to the winnings are lower than during the Out Of Sample. We can also see that profit/loss ratios are now more attractive.

We have seen the results separately, but what happens when we unify them?

Out Of Sample results (UNIFIED)

When we unify the combined profit (in euros, remembering that we have given each index similar weights), the perception of the same results changes.

In the Out Of Sample period, while the SP500 continues in negative, combining the selected instances would have a considerable profit (we already saw it before), but now we also see that the combined drawdown would be approx 15%…

Within the sample period and looking at the profits VS the direction of the market, we can see that except the period from mid-June to mid-July, the behavior was as expected.

Let’s look at it in detail, always thinking that SHORTFINDER only launches short operations:

  • The SP500 starts with a sharp drop and the SHORTFINDER a sharp rise in profits –> Foreseen
  • From mid-June to mid-July, when the SP500 begins to go upwards, the SHORTFINDER lose everything gained and more –> This is the problematic point and neither desirable nor anticipated
  • From mid-July to mid-August, we would have a more or less flat profit period, while the SP500 rises strongly –> Foreseen
  • From mid-August the SP500 falls hard and we can see big gains for the SHORTFINDER –> Foreseen
  • Finally, we have a second period of SP500 climbs where the SHORTFINDERS are kept more or less flat –> Rather with some losses, but within expectations, not as in the initial half of the previous uptrend

Now let’s look at the whole historical, and based on the previous comments, we let you interpret to yourselves the expectations of how the selected instances of SHORTFINDER can act in the face of the continuity of the current short-term upward trend, and in anticipation of possible sharp declines in early 2023.

Get SHORTFINDER in 1 year license, for a reduced price, before we publish it officially.

You will get the configurations that you see in this article (and the rest of discarded markets, that maybe will get good periods either; or simply if you find some way to enhance it changing the visible code)