Advice from the experienced

finding an edge is not easy. if you're going the mechanical way, you're gonna have to spend countless months/years of your life backtesting every little concept and calling bullshit or going "hm that looks kind of good." unfortunately, the first happens much more often than the second.

so you say, screw that, i'll be one of those discretionary traders. well then welcome to the world of getting "screen time", ie. staring at the chart day in and day out, playing back charts and papertrading on the simulator for months on end, until you finally (and hopefully:) get that "gut feeling" (experience/intuition) that discretionary traders rely on.

Either way you're in for a long ride of sweat, blood, and tears:) If you're not ready, I'd go back to your job.
 
by someone that developed a mechanical system:

http://www.elitetrader.com/vb/showthread.php?s=&threadid=10237&highlight=40yotrader

It is actually fairly easy to find a set of indicators(canned) that will produce fantastic backtested results. Say use eight months of one minute data ~ 65,000 data points and then produce a system. I guarantee your fantastic system will NOT produce the same result into the future! That is optimizing the variables in your system to the data. The best mechanical systems on the market (see Futures Truth) are generally methods that work but produce large drawdowns. Drawdowns are a fact of life with mechanical systems.

The simple idea in the above thread is best way to produce a winning system that has longevity. Systems with multiple variables will most likely just give you an optimized system with no hope of future success.

Good luck!
 
Quote from vanilla2:

I'm a new trader with good programming skills. I did discretionary etf trading for a month, but got frustrated after a month of hovering around breakeven. I set up tradestation to enhance my research about 10 days ago and have quickly reached programming proficiency on this platform. Unfortunately though, I haven't found a strategy with good results yet working 15 hours a day since I got the software besides fading MA crossovers (which is pretty weak). I'm stumped.

I started out optimizing the gammut of canned indicator crossovers and slopes. Predictably no good. Then I introduced stop loss, pullback and profit taking exits. Surprisingly, still no results. I see potential in a few good areas, namely adaptive MAs, fractal efficiency, double screen systems, NYSE $UVOL and $DVOL data, and SR levels... largely inspired by this board. Still, I am struggling to make these work and feel like I've tried everything. I would greatly appreciate direction from writers of successful mechanical systems who want to give back and help out a beginner.

How do mechanical SR systems work? What works?
More...


gee sys it's very easy actually. just trade S/R. enuf said. :-/
 
LongShot,

That is certainly a logical approach that I am very drawn to, as opposed to more esoteric abstractions of price (not that I'll exclude this type of analysis by any means). Nothing lags price less than price, right?

I have studied the Tradestation code for automatic trendlines and pivots to design a SR based strategy. I considered a strategy that would weight pivots based on how long ago they occured and how major/minor they are, then use them to define a support range and a resistance range. I wasn't sure if it would be better to trade within the range, or when the range is broken. Is this in the ball park, or am I making it more complicated than it has to be?
 
Quote from AAAintheBeltway:

vanilla2,

Couple of questions. What markets are you looking at? Are you looking to daytrade, position trade or what? What kind of returns are acceptable?
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great Q's
 
rtstrading,

Great link. I just read the thread by 40yotrader. WOW. And I thought I was working hard. Unless I missed something, he never posted the results of his work. What happened with his system?
 
http://www.dacharts.com/


http://www.talkstox.com/forum/forumdisplay.php?forumid=13




Quote from vanilla2:

I'm a new trader with good programming skills. I did discretionary etf trading for a month, but got frustrated after a month of hovering around breakeven. I set up tradestation to enhance my research about 10 days ago and have quickly reached programming proficiency on this platform. Unfortunately though, I haven't found a strategy with good results yet working 15 hours a day since I got the software besides fading MA crossovers (which is pretty weak). I'm stumped.

I started out optimizing the gammut of canned indicator crossovers and slopes. Predictably no good. Then I introduced stop loss, pullback and profit taking exits. Surprisingly, still no results. I see potential in a few good areas, namely adaptive MAs, fractal efficiency, double screen systems, NYSE $UVOL and $DVOL data, and SR levels... largely inspired by this board. Still, I am struggling to make these work and feel like I've tried everything. I would greatly appreciate direction from writers of successful mechanical systems who want to give back and help out a beginner.

How do mechanical SR systems work? What works?
More...
 
40 never came back to tell us how he did. Shame.
I hope he didn't have a bad day on that fateful day of November 1st and did something stupid.
Hopefully he didn't start out his career with a drawdown.
 
shoot! what could that mean? he sounded too well prepared not to work it out. he did seem like he was coming under some unusual psychological stress toward the end there though, considering his earlier level headed approach to loss. I hope he got it right.
 
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