The $3800 mistake
Even with fully automated trading systems there are errors since us mere humans are providing the input. I took a look at Tiger’s results recently since it wasn’t performing as well as I thought it should be. Guess what? I was right, and I made a mistake.
Tiger/Tiger Vol is re-optimized on a monthly basis with parameters updated going forward. I run the optimization in TradeStation and export the optimization results to Excel. There I add a column with my custom fitness algorithm and sort to determine the parameters to use going forward. When doing this I copy and paste the column’s formula from the previous month’s optimization. For years that has worked perfectly…until this March. For an unknown reason, the columns were exported in a different order in March and have been every month since. When I copied and pasted the formulas they were using an incorrect column in the calculations.
I went back and corrected the spreadsheets for March, April, May and the just completed June optimization. Then to see what difference it made I compared the results with the incorrect parameters and the correct ones.
Now the good and the bad news. The good news is that the correct parameters greatly improved the results, and the bad news is that the incorrect parameters (that were used in real-time) had a loss. The correct parameters had a $70 gain during this period and the incorrect ones had a $3730 loss, a difference of $3800! I would love to be able to go back in time and correct this mistake….and I apologize to those trading with Tiger. Tiger Vol would have had a $660 gain for the month of June instead of the $320 loss it had real-time. Again, I apologize for making this mistake. I assure you there won’t be any more copy and pasting! Or, if I do will be very diligent the correct columns are being used.
I could have just swept this under the rug and said nothing, but that doesn’t sit well with me. I believe in taking responsibility for ALL your actions – the good, bad and ugly. And if I didn’t report the mistake I made then I wouldn’t be taking responsibility.
Going forward Tiger Vol’s hypothetical results for 5 year performance on the website will be corrected to show what the system would have made using its rules correctly – this is to give a proper example of what to expect going forward. All blog results and “results since release” (being added to the website) will show the real-time results including the under-performance due to the mistake made during re-optimization.