2024 Year end update and plans for 2025
I recap what has been achieved in 2024 (it’s more than you think) and what I plan to do in 2025. We are looking at setting up live forward tests, streamlining and automating backtest reporting, and mo
Disclaimer: the following post is an organized representation of my research and project notes. It doesn’t represent any type of advice, financial or otherwise. Its purpose is to be informative and educational. Backtest results are based on historical data, not real-time data. There is no guarantee that these hypothetical results will continue in the future. Day trading is extremely risky, and I do not suggest running any of these strategies live.
I don’t know about you, but 2024 went by fast. My kid is closing in on two years old and HGT has already passed it’s 1 year anniversary. HGT has seen some changes this year and an array of subjects discussed/researched, but very little in the way of structure.
Strategy 1 was published in May, and as we close in on Christmas vacation, I have decided I am going to try and get to Strategy 24 before the year ends. This would give HGT an average of 2 strategies a month, a goal I intend to maintain starting in January.
Of course, that isn’t the only thing I intend on doing in January. I’ve got quite a few goals that are going to improve the value HGT provides to the community. But, before we get into that, let’s look at what we got accomplished this year.
2024 recap
It may not seem like it, because it has been so long since the last pyquanttools (pqt) post, but we took the concepts in Timothy Master’s “Statistically Sound Indicators” and created a suite of indicator testing tools that can be used to measure the value an indicator might have in a prediction model. We also created a small library of indicators that we have been using to develop trade strategies all year long.
As of this writing, there have been 20 strategies published since May of this year and I have a goal of 4 more before the year ends. That’s a healthy amount of strategies. On top of that, I have become more proficient at strategy research, creation, and scripting. There are enough strategies to start building combined strategy portfolios, and that’s exactly where we are heading.
A sub-domain was created to host strategy and indicator reports. The purpose of this is to grow into a continuously update report portal to keep track of all developed strategies. Currently, it holds backtest reports and indicator reports.
What we haven’t seen this year is structure and consistency. That changes in 2025. A few months ago, I started a monthly update post that attempted to keep me on track with my goals for writing and researching HGT. It didn’t work well and I fell off of it. What I didn’t stop doing was researching and publishing strategies and that repetition has paid off. It takes far less time to develop strategies now, and I think it’s time to create a rigid minimum a month for 2025.
The plans for 2025:
I’m gonna ramble a bit, so here are the cliff notes:
TL:DR:
Minimum 2 strategies a month.
Minimum 1 article a week.
Create and automate (as much as is sensibly possible, anyway) backtesting reports with in and out of sample results and routine updates.
Develop a meta-strategy report for quarterly updates on backtest portfolio.
Develop multi-strategy portfolios for forward testing.
Setup a simulated forward testing environment to track progress of strategy portfolios.
Develop reports for forward tests AND comparisons to continuous backtest results to compare results of backtesting to “live” results.
Red Team members will have access to code before it’s published and code that isn’t published. They will have issue and pull request privileges in the HGT repositories and access to the Signal chat if they want.
The GitHub organization is getting some elbow grease. Documentation, structure, and work flow are all changing.
The base framework for the reports has already been developed at the reports sub-domain. I will build trade analysis tools in the PQT library to automate strategy reports. This will allow trade data from any platform to be used for analysis. The trade analysis will be designed to work with in-sample/out-of-sample (IS/OOS) backtest results and live trade results. This will give us a comprehensive report of how the strategy is actually functioning with live data in comparison to the backtest trading data.
Now that we have a collection of strategies, and intend on adding to that at least twice a month, it is time to start building combined strategies and testing them with live data on simulation accounts. If you are a subscriber to Celan Bryant’s Automated Trade Strategies, you know that she believes that forward testing data is far more valuable than backtesting data. I believe (like many others) that this is true too. I don’t know exactly how I am setting this up just yet, but I have a pretty good idea. I’ll keep the community updated as I solidify plans, but how I approach this might surprise you.
Combine all of this and what we will have is a semi-automated system for testing algorithmic equities and futures trading strategies on historical and live data with routine reporting protocols to keep track of the performance in real time.
Sounds kind of bad-ass, right?
I am going to dedicate the first quarter of 2025 to getting this up and running. I intend to do this while spending as little (if any) capital on the project, so it should be easily reproducible for anyone looking to create dedicated trade testing or trading system on your local network.
Red Team Membership
I am still keeping GitHub access limited to Red Team members. This is because I plan on leaning into the git and GitHub framework more as I move forward. Members of the private GitHub will have access to all the projects I am working on BEFORE they are published.
This membership level is for the person who wants access to the bleeding edge and is in the business of sharing information that will help themselves and others grow as algorithmic traders. My goal is start documenting the coding process more and incorporating issues and pull requests so members can have a say in what gets worked on in the project.
This will be where I look first when I am looking for the next project or task to complete for HGT. That gives Red Team members the direct ability to help the tool library grow, so we can all improve or researching and trading technique.
Red Team members will also have access to the HGT Signal chat room, if they are interested. There are only a couple of people in it right now, but some good information is being shared and sharing information is how we all grow.
Update your subscription below if you want to get more involved.
GitHub Changes
The GitHub has been a glorified filing cabinet up until this point, but that is also changing. I am going to apply a healthy amount focus on restructuring the GitHub and leaning into the git/GitHub system more. This will start with organization, meander through documentation, and finish with work flow design that improves commit/change logs. I can’t promise that the change comments won’t have cuss words, but they will be more atomic in nature and explain what was changed.
Obviously, this only applies to Red Team members, but this is actually more good news. Once I have the flow established, my work will be available on the GitHub well before an article gets written. On top of that, there will be a whole bunch of other un-published goodies too. Scripting and developing trade ideas between multiple platforms requires building some specialty tools (script glue?) for those middle areas. So, there will be small scripts/tools for that too.
Wrapping it up
I’m excited. This year has been a lot of exploration and change, but now that I have had some time to get some reps in, I feel confident that I can take this project a step further. Adding forward testing, multi-strategy portfolios, and rolling reports will give the community more insight into how these systems actually perform in the market with live data on simulated accounts.
I will provide updates along the way as I get this setup. Red Team members (and anyone with GitHub access) will have advance access to any projects I am working on and will have the ability to put in feature requests and pull requests to develop the code base further than what is discussed on the newsletter.
Feel free to comment below or e-mail me if you need help with anything, wish to criticize, or have thoughts on improvements. You can also DM me or start a chat thread. Red Team members can access this code and more at the private HGT GitHub repo. As always, this newsletter represents refined versions of my research notes. That means these notes are plastic. There could be mistakes or better ways to accomplish what I am trying to do. Nothing is perfect, and I always look for ways to improve my techniques.