Developing a Trading System Step by Step

[Prevail]

Quote from simonee:

I don't belive in systems, market logic is the key.

Thanks for sharing, now you can go to the market logic thread.

 

[simonee]

Quote from Prevail:

Thanks for sharing, now you can go to the market logic thread.

I have never..:eek:

 

[malaka56]

This is good stuff. Thank you for sharing. I am an aspiring systems trader, and finding it all quite interesting how it works. Unfortunately I don't have the data analysis plugin for excel so i can't make histograms for your data set... I'm suddenly getting flashbacks of forgetting my calculator for math class...

but, thank you for going through this step by step and taking your time to answer questions.

 

[Murray Ruggiero]

Quote from malaka56:

This is good stuff. Thank you for sharing. I am an aspiring systems trader, and finding it all quite interesting how it works. Unfortunately I don't have the data analysis plugin for excel so i can't make histograms for your data set... I'm suddenly getting flashbacks of forgetting my calculator for math class...

but, thank you for going through this step by step and taking your time to answer questions.

Link for Free Trial of Excel Tools


http://www.download.com/StatBox/3000-2077_4-10293652.html?tag=lst-0-1

 

[Murray Ruggiero]

Last call, Does anyone want to analyze my workbook from yesterday and post their results before I post my analysis tomorrow. This way you can explain your thinking and I can give you feedback on your analysis as well as posting mine.

 

[Murray Ruggiero]

Here our analysis

Since drawdown and recent performance is used in the scoring, the highest net profit is not the highest score. For example the top score of 2.86 only make a bit over 579K, even though some combinations make over 800K. The top score combination is isolated at 12,25,30. We want to find a high score were we have neigboring sets of parameters with similar scores. We want to pick in the middle of the area. It looks like a area around 9...18,30..40,70..80 looks good. Once again we find that some of the highest scores are occurring at the end of our parameter ranges, so we will run again. using a more course grid of parameters and widening out the range were needed.

Our new range will be
9...27, step 3, 30...50, steps 5,70...90 steps 5.
I know your saying , why can't we just get the answer . Well remember that this tutorial walks though the process, the good , the bad and the ugly.

I will publish the workbook with this analysis tomorrow.

 

[Murray Ruggiero]

Here is the new optimization workbook using our new optimization grid. Let's now evaluate these runs and pick the best set of parameters based on performance and robustness.

 

[granville]

Murray,
With so many variables (3 MA and a return variable) how do you observe robust surface solutions? I am certain that linear algebra could be employed but have never seen anyone do this in ET.
Thanks for your posts,
Adam

 

[swingman]

On the one hand moving averages are safe, but on the other hand there significant trade-offs to doing so. They are by their very nature LAGGING. Your trades will be "late."

If they are to be used, it is imperative that we understand how to minimize the lag in moving averages so as to best make decisions about how and when to enter and exit trades.

Murray, with your significant years of experience and research, can you enlighten us with how to do this?

 

[ntfs]

Link for Free Trial of Excel Tools
http://www.download.com/StatBox/300...tml?tag=lst-0-1

I noticed this was an exe. Has anyone tried this yet and is it safe?
If I don't want to use it is it easy to uninstall?

tia,

nt