How many trades per day? What is the expected daily profit / loss?
Every system can have multiple trades per day. If you were to trade only the NQ system, understand it is comprised of two combined subsystems and traded from one chart. The Subsystems consist of one long system and one Short system creating a market-neutral balance. You can and will have multiple trades per day, and you can have more than 1 Long Subsystem trade simultaneously.
There can be multiple trades in a day, and the average winning trade is 0.92% (this can be skewed heavily by strong winning outliers, fat tails are expected with day trades). The number of trades in a single day, long or short, is 5. We have had four trades per day on many occasions in testing as well.
Will my position size exceed 1 Emini?
Rare days in backtesting confirm the potential to be Long/Short five subsystems (each NQ, ES and YM system is comprised of multiple subsystems). Users trading a fixed position size of 1 Emini contract can potentially have, as an example, +2 Long ES, +1 Long NQ or -1 Short YM, -1 Short ES, -1 Short NQ = total Emini +3 or -3 across three different markets all at the same time on the same day (each subsystem will have separate entry times, stops and targets). If you set a risk of 3% per trade on your initial capital, then on the rare correlated trading days, you have a potential risk of 18%.
Days with +3 or -3 Emini simultaneously are rare and have only occurred a handful of times in backtesting from 2002 to 2021. However, we expect +3 or -3 Emini contracts in the same direction on an individual day to occur many times per year. Because the subsystems have different entry times, stops and targets and trading three different markets, many of these correlated trade days will not have highly correlated daily profit and loss.
If you set a fixed position size of 1 Emini contract because multiple systems can trade simultaneously, there is the chance on rare occasions for you to be +3, Emini Long or -3 Emini Short. Because we have multiple systems with the potential of trading in the same direction simultaneously, this is why we urge reducing your position size by half or more for the new portfolio relative to the previous portfolios.
If you have multiple long positions, do I need $125k per Emini?
We advise a minimum of $125k for a setting of 1 Emini – this is just an initial daily setting, in this case, every trade placed on a single day will be 1 Emini increment. Even though at times you will have more than 1 Emini Long or Short, we still recommend only a $125k minimum, and this will cover all trades per day. If three Long Systems place trade simultaneously, you will be +3, Emini Long, at your broker and our recommendation is for $125k to cover all 3 Long positions, hence, you do not need $375k to trade 3 Emini at the same time.
We expect on average to be Long or Short with correlated trades to be +2 Emini Long or 2 Emini Short – a recommendation of $125k will suffice all trades made on the day. If your position is +2 Emini Long on a single day and you are trading 1 Emini per trade, then the recommendation is still $125k for the day.
How does the Position Sizing Bot work?
The position sizing bot determines your position size per trade at the start of each day. The bot looks at the current market price, the contract value and the expected volatility and range for that day relative to your risk-setting inputs. The bot will then calculate how many contracts Emini/Micro to trade per trade for that day (a new position size will be computed at the start of every new day). The User will set their initial capital input and the risk amount required per trade, e.g. 2%. On average, we expect two potential long/short correlated positions per day simultaneously, so your overall risk will be 2% + 2% = 4% if you are long or short two systems.
On very rare occasions, you can even have three long or short trades simultaneously, so in that case, you will have a combined 12% risk; Users should keep in mind that even though this seems like the risk is extensive on those very rare days, the correlated simultaneous trades in the same direction will never all have the same entry times and each trade will have different stops and targets, therefore, many of the correlated trades can be a mix of winners or losers – we do not expect all simultaneous long/short positions to achieve the same profit/loss for that day.
The position sizing bot will calculate the size at the start of each day for each market and places the same fixed size for each trade for their respective market on a single day, e.g. If the position sizing bot calculates based on user risk settings to trade 6 Micro contracts on the NQ, 8 Micro on the ES and 9 Micro on the YM then every NQ trade made that day will trade 6 Micro per trade, every ES trade will trade 9 Micro per trade and every YM trade will be 9 Micro per trade – the position sizing bot will not increase or decrease this daily calculated size just because a simultaneous same direction trade is being placed.
How do I choose how many contracts to trade?
Quant Savvy users trade all systems with their chosen position size, e.g. 1 Emini contract for a minimum $125K initial capital. Every user chooses their own contract size based on these minimum guidelines:
- One Micro contract is the smallest position that can be traded in Futures markets
- The user must choose their contract sizing by themselves or turn on the Position Sizing Bot (users must understand the basics of the Position Sizing Bot and how it operates), as Quant Savvy does not manage money.
- The Position Sizing Calculator can give guidance on position size recommendations.
- Each user has a different risk propensity; some users might trade 1 contract for $120K, while others might choose to trade 1 contract for $200K
- We recommend a minimum of $125k per contract for full Emini contracts (for all trades made on a single day).
- We recommend a minimum of $12.5k per contract for micro contracts (for all trades made on a single day).
What are the Margin Requirements?
Margin requirements will vary from broker to broker, all systems are day trade only, so you will assume day trading margin. Under highly volatile market conditions, many brokers e.g. Interactive Brokers, have been known the increase margin requirements considerably on very short notice, so all Users should take this into account (using the Position Sizing Bot, we would expect a decrease in the number of contracts being traded during a volatile period anyway which should alleviate most margin increase concerns).
Interactive Brokers Individual accounts day trading margin is very high:
- 1 Emini NQ: $17,723
- 1 Emini ES: $12,838
- 1 Emini YM: $9,598
TradeStation:
- 1 Emini NQ: $4,400
- 1 Emini ES: $3,300
- 1 Emini YM: $2,613
Under very rare circumstances, for a User not using the Position Sizing Bot and a fixed 1 Emini contract per trade, a day in which we have max 3 Correlated Long Positions across the three different markets can look like: 1 NQ, 2ES for Interactive Brokers you will need margin: $17,723 (NQ trades), $25,676 (ES trades) = total $43,499 (we recommend $125k for 1 Emini trades in a day which should provide you with over $75k spare margin on a very rare day with 3 correlated positions).
Are Legacy Systems included in the Chimera Bot portfolio?
The Chimera bots are a total of 6 subsystems trading on the NQ, ES and YM. Some of the best-performing bots from older legacy systems have been included in the Chimera Bot portfolio and have been permitted to trade more than one market, e.g. the Serenity Bot 2 NQ bot now has imperceptibly modified versions that can trade the ES and YM as well as the NQ in the Chimera Bot portfolio. There are also a number of new systems included in the portfolio.
The goal is to have many systems trading with medium to low correlation across different markets and placing trades with smaller bets. Using the Position Sizing Bot we can balance performance across different assets and trade volatile markets whilst remaining well within our defined risk parameters. With a Position Sizing Bot trading, a volatile market will not induce much more stress than trading a low to moderate volatility market.
Each subsystem is striving to expose distinct market inefficiencies, some systems will target intraday trend following, and others will be mean reversion or liquidity seeking. Every single subsystem has dynamic stops and targets, and entry intervals.
How to set Initial Capital and % Risk Per Trade for the Position Sizing Bot?
The Position Sizing Calculator can give guidance on position size recommendations.
There will be a guide on your server on how to input your settings which is simply changing the inputs on the charts for the loaded systems. Alternatively, our technical support can adjust inputs for you at your request.
Overnight trading or day trading only?
Overnight trading is substantially riskier as trading a very large pooled number of contracts (large trading size) makes it almost impracticable to exit positions during the very low liquidity overnight future markets. If you were to exit a large position overnight, you would suffer extensive slippage on markets such as Nasdaq Futures and Dow Jones Futures.
Quant Savvy algo systems are day trading only, as holding overnight negates the initial positive expectancy on the entry and exit. The longer the trade, the more trivial the entry becomes and the ability to have a large trade sample is greatly diminished when creating the initial system.
System providers who display overnight systems have often never traded a large position size and often created only backtests based on highly liquid scenarios which are misleading and distorted in reality.
Who is responsible for logging inot the broker software on the server?
Only you are responsible for logging into the broker software on the server. We do not need your broker credentials, so please keep them safe and do not share them. It is the user’s responsibility to ensure they monitor their platform for disconnections during the trading session. The systems can be fully automated, but users should monitor the platform to ensure everything is working as it should.
Market orders or Limit orders?
The current portfolio uses market orders because the number of pooled contracts is large and it would be detrimental to show this order on the visible trade book, other competing algo systems will always target large resting limit orders for liquidity purposes. There is also a tradeoff between more slippage with market orders but the guarantee of entry. Limit orders might have no slippage but you are not always certain to be filled, we have a large pooled order which would most certainly lead to partial fills for many users in most markets.
We work on a tick-by-tick basis and limiting slippage and fast execution is always our priority. We work on this constantly and we are monitoring every metric to ensure slippage is checked. The systems will seek liquidity and fire orders when the right liquidity conditions are met, they will attempt to achieve positive slippage in certain trades. Slippage and transaction costs are the number one reason why we don’t trade more frequently during the day session, liquidity and scalability is paramount when running a large number of pooled contracts.
On the ES you will rarely get more than 1 tick per trade and that is on over 300 lots/contracts. Someone trading 1 lot/contract with the right execution should get close to zero slippage on the ES, NQ and YM. On the NQ and YM with a large market order you might get 2 to 3 ticks slippage on entry and exit as an average over 100 trades, this is one of the challenges when trading a large contract size and not one lot/contract.
Is the Chimera Bot performance live or backtested?
The Chimera Bot’s latest version has been trading live with Users’ TradeStation and Interactive Brokers accounts since 2021. All results from 2021 to 2023 are live performances taken directly from a client’s live brokerage account. From 2007 to 2020, we show only backtested performance data, including all commissions and slippage.
There will be no issues trading the portfolio from a technical standpoint, and things should be a lot easier than trading the previous portfolios, as all NQ, ES, and YM systems will trade from a single chart.
What data feeds will I need?
CBOT, CME
Is Quant Savvy New To The Web Scene?
We launched the Quant Savvy website and have provided systems to retail users since 2014. Quant Savvy has been creating algorithmic trading strategies since 2006. However, with new technology making it more and more affordable for retail traders to have their own automated system, we have made the push to provide this software to retail users and small money managers to level the playing field with the greedy under-performing hedge funds.
What happens after I subscribe?
You choose a compatible broker. If you host on Quant Savvy servers, you do not have to do anything but log in to your server at any time to view your winning system. We will set up an individual VPS for you, and you will log in to your platform, and we will connect the systems. 100% support is provided every day.
How do systems trade and place automatic orders with my broker?
Your Quant Savvy systems are loaded into Multicharts/Tradestation automated software. The systems generate trading orders automatically which are then transmitted in real-time to your broker. The broker then executes the orders. Each system will automatically manage all aspects of the trade for you, from entry to exit.
The systems are dynamic and not static, meaning they react to live data coming into the market. Before any trade is placed, the systems calculate the risk and expected payoff and will always have dynamic stops and targets in place.
Can I view trades made on a chart?
Many of our users are day traders so they like to view systems running on a chart in real time. In Multicharts/Tradestation you can easily run your system on live charts. You will be able to see your system’s live trading positions, open profit and loss and also the ability to manually exit positions. It is like viewing somebody else trade for you.
We set up your server which you can log in to 24/7, there you can see all trades and orders easily and which systems are trading in an organized manner on one screen.
Where are servers located?
Servers are located nearest to your broker trade server to provide exceptional execution speeds and very low latency. Better execution leads to more profits and less slippage.
Do you modify and optimise systems?
We are constantly creating new automated systems which we will add to the portfolio with no fee. However, we do not optimise our systems. Vendors who optimize their systems every couple of months use indicators and pretend what would have been the best trade to make. A system that needs optimising means a losing system.
How to choose how many contracts to trade?
Quant Savvy users trade all systems with their chosen position size e.g. 1 Emini contract for a minimum $125K initial capital. Every user can choose their own contract size or use the position sizing bot based on these minimum guidelines:
- One Micro contract is the smallest position that can be traded in Futures markets
- Each user has a different risk propensity, some users might trade 1 contract for $100K, while others might choose to trade 5 contracts for $100k
- Only the User can input their Initial Capital and how much Risk Per Trade they want to exercise.
Who pays for Multicharts?
Users must pay for Multicharts by themselves. Multicharts software costs roughly $66 per month for a yearly subscription. Quant Savvy pays for Multicharts for Users trading more than 1 Emini contract.
What if the server crashes?
Users are responsible for their platform and connection. Even though the systems can be fully automated, users still should monitor their platform to ensure everything is working correctly.
Quant Savvy team can provide additional hardware and software support; if we spot an issue, we will contact the user by their preferred communication channel. Our technicians monitor all server hardware and software – this does not include broker connections or broker data issues.
We do not have control over Tradestation issues, which are rare, such as disconnections, margin issues, failure to fill trades, software crashes, and strategy crashes. We can only provide a technical support role as well as ensure the server hardware is working correctly. Even though we monitor servers, we still provide this as a free service and by no means can we guarantee we would spot any issue right away.
With Interactive Brokers, many of our clients use IBController, which will automate the IB Gateway login. If we experience a software crash, then the platform will auto-reboot the IB Gateway and reconnect the systems to your position.
Ultimately, we are trading low-frequency day trade-only systems with built-in fail-safes both automated and with our real-time monitoring of all platforms.
What is your level of redundancy for servers and data connections?
The servers have 99.9% uptime. We have backup servers for each user. Please keep in mind our systems are day trade only. Our technicians will monitor the server hardware for you each and every day at no cost. If there are any issues (very rare during the day trading session) e.g. Tradestation/Interactive Brokers crash or disconnection we will alert users via their preferred method of communication when we spot the issue.
When do you update the website?
We try to update our website regularly. However, our priority is systems development and portfolio management rather than marketing. We do not actively seek to add new users – we are referred due to the achievement of the portfolio. We provide the major website updates when the new system is incorporated into the portfolio.
Do I need to have a UK account?
You do not need a UK account. The majority of our users are from the US. You only need a compatible brokerage account, and you can subscribe worldwide.
Does quant savvy have access to my money?
Quant Savvy does not handle money. You will use your own brokerage account so you have full control over your account and capital, we recommend Tradestation or Interactive Brokers. You can add funds, withdraw funds or halt trading anytime, as it is your brokerage account. Quant Savvy has no control over your brokerage account.
How much does quant savvy system cost?
Quant Savvy has annual subscriptions based on your initial capital. We pay for your server, hardware and software from our pocket. Click here or call 1-800-820-3275 for more information.
Should I risk all my money with algorithmic trading?
Absolutely not. Algorithmic trading in the Emini Futures market on a relatively short-term basis should be considered a risky investment**. Quant Savvy is not a registered CTAs (Commodity Trading Advisor) and can not provide advice unique to your situation. Consult a professional to discuss your specific investment objectives and to determine if our algorithmic trading systems can provide a role in working towards those goals.
Please do not trade our algorithms if you do not have adequate risk capital to allocate towards them.
Does quant savvy guarantee consistent monthly returns?
No, Quant Savvy cannot guarantee that you will make money every month**. The posted trading result is backtested and is not representative of future performance***.
Is quant savvy registered as CTA?
No, pursuant to CFTC Rule 4.14(a)(9)(ii) we are not required to register under the Act as a commodity trading advisor.
A person is exempt from registration as a CTA if “[i]t does not engage in . . . [p]roviding commodity trading advice base on, or tailored to, the commodity interest or cash market positions or other circumstances or characteristics of particular clients.”
No connection issues. Hosting with Quant Savvy means 99% uptime. User can log in as much or as little as he wants – everything will work either way flawlessly.
We ensure the hardware is working correctly every day. We monitor hardware in real time and provide numerous fail-safes to ensure no errors occur.
We set up everything—no hardware costs for the user. No internet costs or expensive monitoring software are required. Simply log in and view your profits.
Anywhere. Anytime. Our users have access to their unique server 24/7. The server can easily be accessed via PC, Mac, Tablet or even Smartphone. The systems can be turned on and off when the user decides.
Speed. The servers we provide are fast with high spec. Strategic server locations – order fills latency can be less than one millisecond in many cases. We fire orders at high speed to ensure slippage costs are limited. The difference between precisely organised automated hardware and software execution relative to human trading is day and night.
We recommend TradeStation as the best broker/software with Interactive Brokers being a close second place – both are excellent brokers with competitive commissions, the platforms are very stable and work well with automated trading systems. However, with all the broker combinations we use, we find TradeStation gets superior trade fills.
Quant Savvy systems are compatible with numerous brokers, including OEC, Interactive Brokers, AMP, Tradestation, Dorman Trading, Futures Online etc.
See the list of other compatible brokers: Multicharts brokers.
You use your own broker, so you have complete day-to-day control over your own account. Don’t give away this control to an underperforming fund manager as they will often tie you up for a year or two; we believe every investor should have access to their money at any time!
**Commodity Future and Trading Commission Futures has large potential rewards, but also large potential risk. You must be aware of the risks and be willing to accept them in order to invest in the futures markets. Do not trade with money you cannot afford to lose. The past performance posted on quantsavvy.com is not necessarily indicative of future results.
Quant Savvy provides trading algorithms based on a computerized system. All advice is impersonal and not tailored to any specific individual’s unique situation. Quant Savvy, and its principles, are not required to register with the NFA as a CTA and are publicly claiming this exemption. Information posted online or distributed through email has NOT been reviewed by any government agencies — this includes but is not limited to back-tested reports, statements and any other marketing materials. Carefully consider this prior to purchasing our algorithms. For more information on the exemption we are claiming, please visit the NFA website: http://www.nfa.futures.org/nfa-registration/cta/index.html. If you are in need of professional advice unique to your situation, please consult with a licensed broker/CTA.
**DISCLAIMER: Commodity Futures Trading Commission Futures trading has large potential rewards, but also large potential risk. You must be aware of the risks and be willing to accept them in order to invest in the futures markets. Don’t trade with money you can’t afford to lose. This is neither a solicitation nor an offer to Buy/Sell futures. No representation is being made that any account will or is likely to achieve profits or losses similar to those discussed on this website or on any reports. The past performance of any trading system or methodology is not necessarily indicative of future results. ***All returns posted on this site and in our videos is considered Backtested Trading Performance.
Backtested trading results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between backtested trading results and the actual results subsequently achieved by any particular trading program. One of the limitations of backtested trading results is that they are generally prepared with the benefit of hindsight. In addition, backtested trading does not involve financial risk, and no backtested trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of backtested performance results and all of which can adversely affect actual trading results.
CFTC RULE 4.41 – Hypothetical or simulated performance results have certain limitations. Unlike an actual performance record, simulated results do not represent actual trading. Also, since the trades have not been executed, the results may have under — or over — compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profit or losses similar to those shown.
Statements posted from our actual customers trading the algorithms (algos) include slippage and commission. Statements posted are not fully audited or verified and should be considered as customer testimonials. Individual results do vary. They are real statements from real people trading our algorithms on auto-pilot and as far as we know, do NOT include any discretionary trades. Tradelists posted on this site also include slippage and commission. All advice and/or suggestions given in Quant Savvy website are intended for running automated software in simulation mode only. Trading futures is not for everyone and does carry a high level of risk. All past performance shown is backtested data only.
Providing Algo Systems Since 2014