Developing a Trading System Step by Step

[Murray Ruggiero]

Quote from invertednz:

I understand the 2MA vs the 3MA I was just wondering whether the best course was to choose which was better out of the break out and the 3MA before filtering or after.

Interesting about the adaptive giveback, can you give an example of this?

How would you go about coding divergence in MACD and price using tradersstudio?

When building systems I really like to limit filtering. Every trading methodology needs filter to make it tradable, the problem is if you overfilter the system might lose money when the core system without filters actually made money.

Filter are just that , filters. If I have two core trading methods a gauge hem on there core , or code + 1 fundementally sound filter , like a volatility filter.

In terms of divergence here an example using a moving average difference. This can get replaced by MACD. This is an example which ships with the product.

'Simple system To test divergence , prints results Of Function To Print Log.
'TradersStudio(r) (c) 2006-2007 All Rights Resevered.
Sub TestDivergence()
Print FormatDateTime(Date)," ","Bear"," ",BearishDivergence(Close,Average(Close,5,0)-Average(Close,35,0),5,125)
Print FormatDateTime(Date)," ","Bull"," ",BullishDivergence(Close,Average(Close,5,0)-Average(Close,35,0),5,125)
End Sub

adaptive equity curve giveback uses statisical analysis to decide on exit signals. For example , in a give market what percentage retracement can you have without violating an uptrend. What is the average RSI value at a 20 bar swing high ?. What is the standard deviation of those values ?. When we reach these points we use classic protective exit methods.

I gave you enough to get the idea as you can tell this is valuable research.

 

[Hook N. Sinker]

I wonder if it is necessary to have three moving averages. These rules might model the same trading concept with two moving averages:

1) Buy when closing price is less than fast moving average value AND

2) fast moving average value > slow moving average value.

 

[Murray Ruggiero]

Quote from Hook N. Sinker:

I wonder if it is necessary to have three moving averages. These rules might model the same trading concept with two moving averages:

1) Buy when closing price is less than fast moving average value AND

2) fast moving average value > slow moving average value.

Yes that another variation and could also work but we would need to test it compared to 3 moving averages.

 

[TraderSystem]

To learn more of MA crossovers, please see following:

http://www.elitetrader.com/vb/showthread.php?s=&postid=1985129#post1985129
http://www.elitetrader.com/vb/showthread.php?s=&postid=2130065#post2130065

 

[Derrick1983]

Are they any systems using adaptive moving averages?

 

[roter]

Quote from Murray Ruggiero:

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.

i registered in order to be able to see the second video but i can't see it without buying it.
did you ment it is abailable to see for free or we have to buy it?

 

[Murray Ruggiero]

Quote from roter:

i registered in order to be able to see the second video but i can't see it without buying it.
did you ment it is abailable to see for free or we have to buy it?

We just tested it and it worked. Did you log in and use verification code you received the first time to finish your site registration?.

It does work and it's available for free if you are registered on the site without any additional cost.

 

[roter]

Quote from Murray Ruggiero:

We just tested it and it worked. Did you log in and use verification code you received the first time to finish your site registration?.

It does work and it's available for free if you are registered on the site without any additional cost.

OK, i got it.
thank you.

 

[Murray Ruggiero]

I am going to start posting again soon and am going though all threads to see what topics have interest for me to address when I start up again.

 

[Derrick1983]

Are they any systems using adaptive moving averages? Thanks