Welcome to StatOasis, your go-to hub for mastering algorithmic trading and systematic investment strategies.
Founded by Ali Casey, an experienced trader, and passionate educator, our channel is dedicated to helping traders achieve financial freedom through actionable education. Whether you're a beginner or an intermediate trader looking to turn losses into profits, we provide real-world strategies, in-depth tutorials, and a supportive community.
Join us to learn how to build robust profitable trading portfolios, find statistical edges, and confidently navigate the financial markets. Subscribe for insightful content, practical advice, and a bit of humor on your journey to profitable trading.
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it seems is no longer available the Algowizard soft
Dear Ali, Many thanks for your ongoing efforts. You have a wonderful way of explaining how things work. So thanks again. I have a question. In this video (18:45) you're saying: "once you are happy with the portfolio, then you can take that and trade it each separately". What do you mean by "trade it each separately"? -- Do you mean trading that particular portfolio (assuming there are other portfolios you're trading) as a single unit of trading OR do you mean trading each strategy within that portfolio separately? Which one is it? Thanks.
You are correct in treating each portfolio as a unit. But also what i meant is in practical terms you are trading each strategy separately because the code is separate for each strategy and also the market could be different.
@@StatOasis Dear Ali, thanks for your swift reply. So, do you trade portfolios only, strategies only, or is it a mix of both?
I think you are mixing the idea with the practical aspect.always trade a portfolio. a portfolio is always more than one strategy. Once you have a portfolio and you want to trade it, how would that happen? you have to run the code of each strategy separately, and the results of running all these strategies are combined in a portfolio, just like the back test.
@@StatOasis I see. Thanks. Ali, Two questions (and if you have videos that provide the answers, that would be great): 1. How do you balance your portfolio? 2. Do you trade your portfolio via StrategyQuant? and if so, is the process of taking a portfolio live on SQ, is that process documented, whether in text or in one of your (excellent) videos? Thanks!
SQX can directly trade US stocks/ETFs for Futures/Forex you need to take the strategy to other platforms, MetaTrader, TradeStaion or Multicharts
Thank yoy ali perfect Appreciate for your time
My pleasure
I use this to generate trend lines which occur at the top most point and bottom most point of your custom stochastic.
That's an interesting approach. Have you found it particularly effective in certain market conditions or timeframes?
You're using a linear regression model for entry-I thought the turtle strategy worked off a Doncian channel breakout of either 20 days or 55 days (or both)?
you are right that the Turtles use donchian channel, but LR will give same results +/- because all trend following method that are looking for medium to long term trends will enter at some point, regardless of the signal generating it.
@@StatOasis True. They may catch the same trends, but entries and exits, and therefore profitability, will be different. Also, the behavior regarding robustness across the range of input variables might be significantly different. Also might not be, but generally, I've found strategies with inputs based on integer number of days to be less subject to overfit than ones based on an indicator value. Also, of note is that they entered and exited intraday at a touch of the signal level, not at EOD based on the newly calculated value based on daily timeframe -- not sure how that jibes with your linear regression.
all what you are saying have value in the short term on one strategy on one instrument, but when you are trading a portfolio and have multiple strategies with different speeds applied on different markets (which is the only way to make TrendFollowing style work) then if you enter today or next week, it will not have an effect on the trend, meaning you will not miss a big trend (which were all the money will be made that year), for the poeple who don't know, a TF portfolio will make its money in any given year from 2-5 trends. Moreover, when you look at your portfolio, all the signals would have found an entry in that long trend, some earlier and some later, but all of them will enter at some point.
Your expertise is excellent. Thanks for sharing 👌 🙏 👍
My pleasure
Hi Ali, For a common investor, what is the maximum number of assets and strategies? Do you think it is necessary to trade assets from different countries? What is your opinion on Bitcoin? Thanks.
Think you should ask about the minimum not the maximum.
While my video focuses on building portfolios using algorithmic strategies, your question about asset and strategy limits, international trading, and Bitcoin is also very important. For common investors, it’s crucial to diversify without overcomplicating. A practical approach is Tactical Assel Allocation (TAA) portfolios. This robust balance approach helps in managing risk while still leveraging diverse opportunities. Bitcoin can be a part of your portfolio, but it should be approached with caution because it’s highly volatile and speculative, so the only way to have it is to hold it, as it will be very low Ret/DD if you put it in a strategy. Consider it a small part of a diversified portfolio if it aligns with your risk tolerance and investment goals. I hope this helps! Feel free to explore our community for many detailed TAA Portfolios to follow: go.statoasis.com/join
Hi thank you for giving good advice as I am new and have been doing what you are saying in one of your tips What a good man 🙏
Glad to help
What is the LinReg indicator, or rather, where is it found? The REI like line on the bottom.
it is available in all platforms. Linear Regression Linear Regression Channel Linear Regression Slope etc.
Hello Ali this video was also very practical and excellent like the other videos. However, there are two requests that I wanted to mention. First, you previously used to build strategies with the Strategy Quant software, but it has been a long time since you have done that, like this RSI strategy that you use a lot. My request is that you please build these strategies with the Strategy Quant software. The second request is that it has been a long time since you have only talking about the S&P 500, and if possible, please also discuss Forex a bit.
Thank you for the feedback 👍
Good afternoon. I have a question: once you import the template in the builder, you say that you do not want to touch the strategy block. Are those strategy blocks set by the strategy? If not, what are the settings? Do you use the reversion one?
having a template in builder, force the builder to behave a certain way. for example, keeping the signal the same and only add filters using a template will force builder to generate same strategy with only different filters.
Hi, thanks for all you videos!!! Recently you tend to use Tradestation much more for testing instead of SQX. Why?
I actually use Multicharts. when testing simple ideas you need feedback with variable data printing, debugging, so while it is not shown in my videos, but that how I make sure code is working properly. SQX plays a different role, it is a lot easier to build, test, iterate with automation, but you need to know the proper workflow. for example running 1000 different filters in SQX is a lot easier implementation than MC, but you need to know what filters and what lookback periods, etc. At the end of the day, they are all tools, and if you know what you want to achieve, then you can apply the same concepts in any platform, but each has its own +/-
I dont understand how do you aply this filter. The RSI will crose below the treshhold when there is a volatility expansion If you have to buy RSI crosses below certain level but the volatility should be decreasing you will have just 20% of the trades or less I have tried a 3 days range decreasing filter and i went from 173 trades to just 40 trades in the classic RSI(2D) strategy from Larry Connors (25 - 75 levels) Any comments on that?
of course any filter to have an effect it will reduce number of trades. the portfolio I tested had +1800 trades, and after applying the filter it had +1000 trades, so about 40% reduction in trades, but you still have a healthy number left, specially since the filter is the same for all strategies.
I really enjoy your videos, especially those that analyze different scenarios for two semi same strategies. Could you please share your thoughts on using MultiCharts, MetaTrader, and TradeStation? Specifically, which one do you prefer for strategy development, optimization, and portfolio management? Additionally, I'm curious if there's a specific reason you chose to use MultiCharts instead of StrategyQuant X in this particular video. I would greatly appreciate your insights. Thank you!
you can watch difference between TS and MC over here; kzread.info/dash/bejne/rIuNwbuedKbbftY.htmlsi=vgt4afvV7Yu_5tcb as for SQX it is a different platform, it is more for data mining. all platforms do overlap and each have their own plus and minuses but they are all tools, and you can achieve what you want in any of them to a point.
How did you calculate volatility? close-open? And then if current vol < prev vol with rsi signal you enter trade?
volatility is expansion/shrinking of range so range, ATR, Bollinger Bands are all can be used to measure volatility
How is correlation between strategies measured?
you can do it on open trades, but in the video it is based on profit and loss, so if strategies are producing profits at the same time, then they will be positively correlated.
What indicator and lookback period are you using for the volatility filter?
short term lookback works best, so for range, atr, bolling bands, 5-15 is the best spot
You must be loaded by now.
😊
hi ali, what's your favorite software to optimize the max DD and build a diversified portfolio? What tools do you use to study the decorrelation between systems in a portfolio (like the images shown)? thnx
the data copied from Multichart and the graphs done in GPT (using a python library)
Hi love your videos. Keeping it simple 👌 What is your volatility filter exactly and is it available?
Its not about a special filter, as there are hundreds to try, its just the concept to grasp is really important. Try smaller range, smaller ATR, smaller BB width, even lower vix , they all will work
top class ! what a matured and cool presentation. I have been working on developing strategies for trading. Finding interesting results with my back testing. I would to get connected with you. Looking for a mentor !
you can join the community go.statoasis.com/join or take the course go.statoasis.com/atm
👍
11:20 I think that I should just add two MA50 and MA200. When Ma50 crosses Ma200 downwards, then simply do not trade and these landings will not happen.
can you please make another video simplifying all this
thanks for the feedback. will add it to post ideas
I cant believe that you have so few viewers compared to all the teenager ICT trading "champions". Please keep up the great work - I do learn a ton of valuable things! Could you please make a video about EA maintanance? I mean how you optimize on the go (as soon as it's live) and when do you take the decision to balance your strategies in terms of capitalization or even when you would disable it.
thank you for the feedback. running strategies, switching them on/off, portfolio capitalization is all in module 5 of Algo Trading Masterclass. you can register here to learn more go.statoasis.com/atm
is it the 100 day or the 100 hour ma for the filter
Jim Simons is resting
👍
Hi what does it mean " hold to the close " larry Williams.
without context, it means sell at the close, most likely it's an intraday trade.
Thanks for the video, one question, does a time stop work on strategies like this one?
exit after number of bars works very well with most strategies
So simple yet so effective. Should help with risk of overfitting too. Excellent!
Thank you! I'm glad you found it helpful. Keeping strategies simple can indeed reduce the risk of overfitting.
Amazing stuff.
Glad you enjoyed it
Ali, thank you so much! I think this might be my favorite video you have made yet! I'm blown away by the simplicity of thinking about these strategies in binary terms, yet don't think I would come up with that myself in a million years.
Glad you like it, Simple works 😊
I exported my EA to mt5 but when i try to drag it to the chart i have just the window with inputs but when i press OK the ea disappears from the chart….how can i solve that?
Are other EAs working properly? Arr you using same timeframe and session time? Honestly there are many things that can go wrong, best is to tackle one variable at a time until you find solution
Excellent! Any chance that this will be available for StrategyQuant anytime soon?
yes, will post it in go.statoasis.com/join when ready
Isnt the time differences is how long it took to get 100 trades? Some systems gave many signals and others got few so took longer
you can't compare a strategy over 4 days with a strategy over 14 years, regardless of the number of trades. this is like coming to a conclusion that every day for the past 25 years is summer because you saw last 4 sunny days in a raw with 30C temperatures. More over, there is nothing of value that comes from testing last 4 days to trade the future.
Hi Ali, You said the strategies are not correlated. But how is this calculation done? Could you explain? Thanks.
you take the weekly profit and loss of every strategy and if every week strategy A and strategy B are winners then they are positively correlated and vice versa. low correlation means that their win/loss are not happening at the same time, when measured on weekly basis. you can do this on any timeframe, but these strategies don't trade everyday of the year.
Thanks. I'm not sure to understand the Vix strategy short breakout though.
Vix is mean reversion short using one of the 8 patterns. Its not important, i just want convey the idea to start with market edge and then choose strategy style and direction. So you can easily use any oscillator to short the vix and it will work.
Thanks.
Ali, isn’t it the same all Larry 3 down bars?
This pattern only compares the close to previous close. Larry compare high to previous high and low to previous low
Is there a way to automate trading? I Confuse myself so bad with ta and od tbjave the time for it either Just wondering with all your experience what you have found that is pretty successful and automated
too many acronyms ☺ if you mean trading your developed strategies automatically, then you have many options depending on the language you develop in. for Retail traders, most popular are TradeStation, Multicharts, NinjaTrader, Python platforms like QunatConnect etc. and C platforms like Zorro etc.
@@StatOasis is there ones already developed and back tested? For certain market conditions I.e. Bull market I don't trade, but would like exposure to something automated
if you mean developed strategies, there are many services out there but I highly advice against trading a single strategy, it is much better to trade a portfolio, which again many services available. I have different portfolios in go.statoasis.com/community that trade on monthly signals, Long only, liquid ETFs only, using different flavors of dual momentum
@@StatOasis OK cool yeah I'll check that out! U seem like a vet and know who is actually good out here haha. If u have any other that are trusted let me know. Liked your info and video!
thank you for this video, this is important to know. 😉
Thank you for watching
Your content is amazing as always, and I have never seen anyone who uses SQX like you did. What is your advice on how to use SQX? Do you think real profitable strategies can be built with it? Your honest answer, please 🙏. Thank you.
of course you can, but its a tool, it is not the reason you will be building a profitable strategy. what you need is a solid workflow that guides you step by step on building robust profitable strategies. that can be done with excel for simple strategies and with any other platform including SQX for more demanding strategies. My ATM is opening in couple of weeks, join the webinar to see if it is a good fit for you go.statoasis.com/atm
@@StatOasis I will. Thank you very much.
Thanks for the input!
My pleasure
i understand that you took only Long positions, but for a Long and Short system - if you go only by Volatility, then how do you know if the direction is up or down please? Thanks
on an index like the S&P500 there is no down, I mean there is, but is not usual at least historicaly , specially in the daily timeframe, of course I'm not saying it will stay like that forever ( just look at the japanese index, nothing last forever, but until that moment comes, long term long only positions its the easiest way to go.
most markets have what I call "Market Edge", this could be direction or strategy style, or both. SP500 has both Long Direction and Mean Reversion Style. check this video to see you can even win with random entry using above info kzread.info/dash/bejne/e6iJx6R9ddrOo8Y.htmlsi=Z_SlBfK-sNoSTM5L check also this video: kzread.info/dash/bejne/a3tp0puspaauk6Q.htmlsi=CXPvy2lzrraPhqfS In my go.statoasis.com/atm I teach students how to find market edge for any instrument, and I also give a database of market edge for most liquid markets.
i'm a crypto algo developer, so i was wondering about that for crypto Futures. for now i guess i would take the EMA200 as a "hint" for the direction then. Thank you both for the reply!
Pause at 0:23 book was published in 1817?
😂 that is amazon glitch, but the book was published in 1990
Thank you Ali! Amazing, as usual!
Glad you like it!
ATR(7)0≤ATR(7)7?
I don't know the platform you're using, but ATR(7) of 0 candle is < than ATR(7) of 7th candle is not correct, besides you don't really know the value of ATR candle 0, thats why you should check the value of ATR of the previous closed candle, and also, the reason to use ATR is to check the range of the candles, without averaging it, so it should be something like ATR(1) of previous candle < than ATR(1) of the lowest low of the previous 8 candles ( 8 because you are starting to check the lowest value starting from 2 candles ago ).
ATR(7)[0] is the average true range of the past seven bars at the close today. ATR(7)[7] is the average true range of the past seven bars at the close seven bars ago. Btw, NR7 is measuring the range of today bar at the close and comparing it to the previous range of the past seven bars individually and not the average true range. My ATR indicator is flexible were I can change the calculations to be based on Range or True Range, and in this case it was showing the range
How do you do this in SQX?
you can build a custom block range < range[1] and range < range[2] and range < range[3] and so on .... then you can use that block in Algo Wizard or Builder