Developing a Trading System Step by Step

Do you trade mechanical systems

  • Yes, I buy and trade commerical systems.

    Votes: 24 4.7%

  • I develop and trade my own systems.

    Votes: 350 69.2%

  • I trade both commerical and systems I develop.

    Votes: 44 8.7%

  • I don't believe in mechanical trading systems.

    Votes: 88 17.4%
  • Total voters
    506
Quote from Murray Ruggiero:

How do you deal with the fact these markets open at all different times ?. This means your index can only look at data up though yesterdays close, you can't look at today's open if we deal with worldwide markets.
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Murray,


For example - I would want to JUST use the first thirty minutes of the U.S. markets opening period for the ES, YM, NQ, ER2, EC, etc to see how these futures contracts react during that first thirty minute period, to use the data to build up a ORB potential measurement tool. For the EU market open I would use their first thirty minutes to look at the data for the DAX, EC, British Pound, Bund, etc.

I am trying then to find the best products (futures contracts that will have the biggest potential to have good trending moves out of their related market opens) to trade with market opening bracket trades at the three main market opening periods everyday - US, Asian, and the EU market opens.

Also, I would only need to look at the data from the 10 PREVIOUS market opens for this tool.....not the current trade day. The previous 10 trading days data would be more then ample.
 
You want to build a index which ranks the possibility that tomorrow is a large range day. If you watch my video on TradersStudio.com, I discuss why this is what you want to do to filter your opening range breakout system.

http://www.tradersstudio.com/Tutorials/OpeningRangeBreakoutVideo/tabid/129/Default.aspx

I have two parts of this video available on my site for free. The first part can be viewed by all and the second part requires registration on the site , which is free. I think I discuss large range days in the second part of the video available on the site.
 
Murray that all sounds great - thanks!

I will take a look at the videos, and then I will do some additional research for determining how I could use your product to help test out my ideas.
 
Quote from 5Pillars:

Murray that all sounds great - thanks!

I will take a look at the videos, and then I will do some additional research for determining how I could use your product to help test out my ideas.
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Just to clarify the the point we do perform intra-day backtesting down to 1 minute bars and can do the analysis at the portfolio level on intra-day data. You can also do multiple timeframe analysis.
 
Murray,


No -- I want to measure the range of the first thirty minutes after the open, and the speed or momentum of the ORB during this time. I would like to set a number of points parameter and see how fast each futures product I trade will break out of this bracketed area. The product that leaves my designed bracketed area the quickest each day of the rolling ten day average would have the highest "ORB potential" factor or reading.

__________________________________________________________________


Murray Ruggiero
TradersStudio

Registered: May 2005
Posts: 380


06-21-06 10:14 PM

You want to build a index which ranks the possibility that tomorrow is a large range day
 
Quote from 5Pillars:

Murray,


No -- I want to measure the range of the first thirty minutes after the open, and the speed or momentum of the ORB during this time. I would like to set a number of points parameter and see how fast each futures product I trade will break out of this bracketed area. The product that leaves my designed bracketed area the quickest each day of the rolling ten day average would have the highest "ORB potential" factor or reading.

__________________________________________________________________


Murray Ruggiero
TradersStudio

Registered: May 2005
Posts: 380


06-21-06 10:14 PM

You want to build a index which ranks the possibility that tomorrow is a large range day
More...

Fine you can do that on a backtested basis with TradersStudio on your portfolio and apply filtering using the trade plans.

I was trying to give you another idea to try. Here is my concern, markets which break out of the range early, would score high in your system but, if the breakout don't hold you might lose money. I have a feeling that very early breakout first 30 minutes which if I understand what you are doing would score well , fail more often than breakout which occur a little later. I bet that there is a window of 30 -120 minutes from the open which is ideal for breakout trading.
 
Mark,

Ok, SO ARE WE NOW FINALLY ABLE TO MOVE ON WITH THE MECHANICS OF BUILDING A SYSTEM FROM SCRACTCH?

I've been waiting patiently for this to resume after your Tradersdudio dutuies per your promise in April.

Let's get it rock and rolling? I've been learning a lot more on my own since then, but I am still a beginner and would appreaciate a comprehensive course, despite the fact that some of us are more advanced than others.

Thank you.
 
Quote from swingman:

Mark,

Ok, SO ARE WE NOW FINALLY ABLE TO MOVE ON WITH THE MECHANICS OF BUILDING A SYSTEM FROM scratch?

I've been waiting patiently for this to resume after your TradersStudio duties per your promise in April.

Let's get it rock and rolling? I've been learning a lot more on my own since then, but I am still a beginner and would appreciate a comprehensive course, despite the fact that some of us are more advanced than others.

Thank you.
More...

Mark ?
I am assuming you mean Murray , OK I will be ready to start up again later this week. Since we have been away for a long time how should we restart. What kind of recap should I do ?. Do you want a different example ?. Give me some feedback and I will get this moving again.
 
So, was this lecture moved some place else? I thought that was what was going to happen, but did not see anything? Seems like the delay and confusion lost some people.

If so, a simple skeletal step 1-10 bullet point recap with any special points/warnings highlighted additionally in a quick 2 sentences.

I believe we still have to cover position sizing, exits, optimization, portfolio theory re systems management/diversification, and any other complex areas of thought you can think of, as you know more about the subject than any of us.
 
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