Developing a Trading System Step by Step

[Prevail]

let's build sp systems.

 

[Murray Ruggiero]

Quote from swingman:

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.

First I got sidetracked. I had people interested in the Intermarket stuff and did a thread on energies and intermarket analysis, sorry.

http://elitetrader.com/vb/showthread.php?s=&threadid=72664

I am doing a three part series on developing trading systems in Futures as well as a live seminar , which I will be making a announcement on shortly.

In conjunction with these I will be starting a new thread for it and will go though it step by step this time. You made some good comment with the simple bullet list.

Here are several other questions for the ET group.

What questions do you have about Data ?
I want to address this, but I want to make sure I answer questions people have.

What questions do you have about finding ideas to use in a trading system ?.

What questions do you have about how realistic backtested results are ?

Please give me your input here. I will answer these question and more in the new thread. When I set it up I will put the link here for everyone.

 

[swingman]

Of the three question types you listed, I am partcularly interested in interpreting backtested results correctly and identifying mirages from the journeyman system to the Strateverri (spelling off). What are characteristics of different systems----types of combinations of profit factor to percentage correct; average wins to whatever other factor that needs to be compared and the two or three types, equity curve behavior is important (what's good and what's not; what's the behavior telling you---exits not working correctly, betsizing needed or not; trailing stop or profit target more appropriate, ATR exits better than simple trailing or simple stop loss combinations.

In SUM, how to DIAGNOSE THE SYSTEM from a few key variables and THEREFORE KNOW HOW TO BEST REMEDY THE PROBLEMS OF THE SYSTEM OR "FOLD OR WALK AWAY FROM THE SYSTEM ALTOGETHER."

TO THIS WE MUST KNOW WHAT IS POSSIBLE AND WHAT IS NOT, IN SHORT, WHAT BEAUTY AND THE BEAST LOOKS LIKE.

THANK YOU. I will check the intermarket thread to see what's been happening.

 

[swingman]

PLEASE ADD THE SUBJECT OF POSITION-SIZING TO MY LIST ABOVE.

Let's swing with it....

 

[Murray Ruggiero]

I plan on starting next week.

 

[tamaharbor]

What year?

 

[Murray Ruggiero]

I am very sorry, but we fell behind getting 2.5 ready and I have not had the time I planned on. We added many new features because our customers requested them and I should have stopped adding them sooner but I wanted to try to make as many of our customers as happy as possible.

 

[swingman]

2010 then.

 

[Murray Ruggiero]

Quote from swingman:

2010 then.

I am very sorry, but sometime software really gets behind. Look at Vista, it is about 2 years late. TradersStudio 2.5 scheduled release is March 4th, so we are about 4 months late. TradeBolt going out of business has also taken my time to find a alternative for our real time product

I really don't blame you for being upset. I really wish I had the time over the past 4-5 months to continue my threads. If you have looked at my posting history , I have only posted a few times in the last few months and I am still paying as a sponsor. This means I am losing chances to help sell TradersStudio also. If I was posting a lot of marketing stuff and not helping support the community that would be one thing , but I have not really posted for either purpose that much.

 

[kut2k2]

Quote from Murray Ruggiero:

I am very sorry, but sometime software really gets behind. Look at Vista, it is about 2 years late...

Awful example. MicroCrap's planned obsolescence of perennially shoddily designed software is not the image you want in your customers' heads for a standard of your software.

Or is it?