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Thats true. I would never assume that a systems designer makes big big money, its all in the execution, manager, trader, dealmaker, these guys pay designers to sit down for 6 months and code the firms strategies. The only real secret is to be at a place where they code strategies and trade them...

You can build a system in about 100 lines of code. Automating to a broker, connecting to an api would be where most work is done, but you could hire an expert in api's for that.

I would like to see what the drawdown of a fundamentalist system is. Then I'd have something to compare to.

Well, send me software that can backtest fundamentalsand ill get back to you. Michael Covel wrote a blurb about how fundamentalists find it easy to accept that fundamentals seem to be divining rods for investing as opposed to looking at current and past price...

To optimize an ATR based stop. X =Optimize; Ue a range 1 to 5 * your average range for a period, intraday or end of day. Y = Optimize; Optimize for number of bars intraday or # of days end of day. Stop = X * ATR(Y);

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bloomberg?

Do you actually surf? Ive never seen a surfer come into a wave from the front, i imagine it'd be hard to do, sorta like shorting a "mean reverting" trend going from 90 bucks to 400.

Neiderhoffer should write another book, how to write options and blow up twice.

You can have a system that makes money 30% or less of the time and still beats systems with 80-90% success rates because riding trends is what creates the profits, not the probability of the indicator to be right. So the best thing might be to define where in the timeframes these trends occur...

Go to a casino poker table, play $1, $2 no limit with 50 bucks and see how long you last. Thats the best trading lesson you can get for 50 bucks.

I own the book, and there is no "system" in it in the sense that it could be backtested, because it can't. His hedge fund returns are higher for whatever reason, but he only suggests that 20% annual returns are possible by buying value stocks that are cheap. Think of it as a plane flight book.

Im not actively pursuing it, but the system already works using equities, i just want to see if the option premium is cheap enough to justify an option version of the system. The main issues are liquidity of the options, and the cost long term options.

So your saying I am on the right road, which means my intuition is correct. I read about and was warned that linear systems dont work when trading, so I guess I need to learn this advanced calculus, non-continuous, etc.... I'll see how it goes. See you in 3 years.

You got me thinking The difference between Close AND Close,-1 > than the difference between Close,-1 AND Close,-2, etc ..... could be a starting point to detect momentum, other than a pure thing like Close > Close,-1. I'll skip the calculus and try that.

Does anyone use calculus in developing strategies? Im thinking about relearning it, but Im not sure it will help in developing better systems.

No ones data is perfect. I started using EODData.com and Im happy with the service. I can get almost any index in the world. I recently tested japanese data and it was quality. Maybe one missed split out of 5000 or so stocks traded. The only thing is you have to register one index for 6 months...

Do european stocks trade with U.S Style options or European options or both? It would be hard to short-term arb a European option if you found a closed solution, because everyone would have the solution too = zero arb. Just a thought.

Murray, I think some people would be interested in learning if the system works on individual stocks. If so, can I trade a portfolio of stocks using the system? I couldnt find any data on the site showing this. Thanks Eric

UGNE.ob