Developing a Trading System Step by Step

[Gyles]

How often should you reoptimize parameters?

 

[SuperCruz]

Since, the pit no longer exists for many markets and a few years ago the electronic markets were not liquid enough. How do you do a long term backtest with today's electronic markets?

 

[Murray Ruggiero]

Quote from SuperCruz:

Since, the pit no longer exists for many markets and a few years ago the electronic markets were not liquid enough. How do you do a long term backtest with today's electronic markets?

Pinnacle data has created a new type of backtested contract. This is the pit only data to a given date and then electronic 24 hr. When the volume of the electronic is greater than the pit, we switch from the pit to electronic . The contracts are back adjusted include the one which switches the pit to electronic. This is what I use for backtesting as well as trading.
I worked with Pinnacle to find the best dates for these switches.

 

[SuperCruz]

Thanks for the reply. How do we order this pinnacle data package ? What will be the cost of the same?

 

[Murray Ruggiero]

Quote from SuperCruz:

Thanks for the reply. How do we order this pinnacle data package ? What will be the cost of the same?

http://www.tradersstudio.com/Produc...cmd/CatalogItemDetails/psmid/657/Default.aspx

 

[Murray Ruggiero]

Quote from Gyles:

How often should you reoptimize parameters?

Good question and there is not easy answer. It depends on the system. How sound is the premise of the system. In general systems will perform out of sample for about 25% of the development period, but this is a quick fast rule.

 

[Gyles]

Sincere thanks for the reply. Murray

 

[SuperCruz]

Quote from Murray Ruggiero:

http://www.tradersstudio.com/Produc...cmd/CatalogItemDetails/psmid/657/Default.aspx

Thanks for the link, Murray

 

[JaiSreeram]

Any updates regarding systems here?

 

[Murray Ruggiero]

Quote from JaiSreeram:

Any updates regarding systems here?

I will be starting a series of new threads on many topics with some structure as educational material over the next few weeks.