Recent content by ktl8412

Excellent figure! I wish I could achieve half of that. Question: what criteria do you use to discontinue a strategy? I imagine I'll likely stop trading a strategy when the live drawdown is larger than the MaxDD in model, or when the drawdown period has exceeded the longest drawdown duration in...

Good sharing and your list of factors to consider is excellent. Reading your posts is a sure way to shorten my learning curve! Since higher trade count is the way to go, does it go without saying that a stock universe with more candidates is generally preferred (Russell 3000 better than SP500...

Val, in general do you prefer strategies with a higher trade frequency? For example, let’s say Strategy A and B are both mean reversion long strategies which use the same basic setup conditions. When these conditions are met, Strategy A will place a limit order (for next day) that is 4% below...

Pardon my ignorance, but what's "MC"? Thanks for pointing me to the above reference materials. The Excel API solution seems to be another good one to explore.

Thanks Val, @markd01 and @HobbyTrading for your great feedback. That would be enough to get me started. I am a novice in Python. My programming experience is mainly limited to writing AFL in Amibroker and VBA macros in Excel. The TWS csv import sounds pretty straightforward and I'll probably...

Hi Val, for people without extensive programming knowledge like yours, can they still somehow automate the trading process? Personally I use Amibroker for backtesting and scanning. After I generate my signals, I have to manually enter the orders in my broker's platform (I use IB). I'd like to...

You definitely read my mind! I used to trade some MR strategies (developed by others) and occasionally there would be some big losers. When I looked into them, a fair amount were due to earning events and made me wonder if filtering them out would yield better results. I confess that I didn't...

Hi, newbie here! I find your thread very insightful though most of the materials look a bit advanced to me. May I ask how you handle earning events? Say a stock comes up in one of your systems but is going to announce earnings in couple days. Do you filter it out?