[cosgrove]

This is nice to hear about. Can you tell me more about how your live results matched or diverged from your backtesting?

Did you list the returns of the commodities as a comparison, or are you trading those futures as well in the mix? (I know you only talked about ES/MES)

[pyrrhotech]

I've studied many systems over the years and never found any that matched or outperformed their backtests. So far our live results have hit between 1/4 and 3/4 of backtest performance depending on the model. Needless to say the high inflation and high interest rate market climate over the last two years hasn't been seen in the rest of the backtest period, but conditions are starting to normalize now.

Nevertheless, it would be prudent to expect any algorithmic trading model to underperform its backtest going forward, but there's enough leeway in the CAGR and max drawdown figures to underperform the backtest and still produce substantial alpha, especially for the more advanced models.

Right now the models are specialized to trade equities. I may develop new models that trade commodities in the future though.