Developing Trading Systems on a basket

Do you trade a portfolio based system ?

  • Yes

    Votes: 20 76.9%

  • No

    Votes: 6 23.1%
  • Total voters
    26
trillenium,

Interesting observations. I'm not sure a "volatility" indicator per se will solve this problem. I think the dynamic you are attempting to measure is something other than pure volatility. Would you agree? How would you define it?

What time-frame is your short-term system - I presume intra-day something like 30 or 60 minute bars? I also presume it is trend-following? Have you tested with constant volume bars?

rgds, bolter
 
The volatility issues have made it hard for me and may other Stock index traders. I don't mind the comment , even negative ones which are well thought out and based in facts. I will answer any questions people have.
 
Quote from rokafella:
The biggest joke is on all the fools that buy TradersStudio. It's nothing revolutionary. TR is still better than this shite. Murray is a joke.
Rok [/B]
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Well you might think that and even if it is true Trading Recipes is $25,000 for the windows version . TradersStudio is $499.00. Your comment is like saying everyone who buys a $200,000 house is stupid because a $5,000,000 house is much nicer. Our goal at TradersStudio is to be the best software for traders. I hope you join me in that goal. If someone wants to be constructive and give me ideas for version 2.0. Please tell me ,I want to hear from you.
 
don't worry murray, many people appreciate the comments and free lessons and will look into your software if nothing else. good discussion so far and the thread isn't even long.
 
I am trying to help. Yes I have a product I have developed. We have worked on TradersStudio for four years, we have worked very hard. Thank you for your words, it helps to know that not everyone is out to attack.
 
Quote from Murray Ruggiero:

Well you might think that and even if it is true Trading Recipes is $25,000 for the windows version . TradersStudio is $499.00. Your comment is like saying everyone who buys a $200,000 house is stupid because a $5,000,000 house is much nicer. Our goal at TradersStudio is to be the best software for traders. I hope you join me in that goal. If someone wants to be constructive and give me ideas for version 2.0. Please tell me ,I want to hear from you.
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You left out a few things. Mechanica Pro is 25K and worth every penny. TR for windows is not out yet nor has it been priced. The funny thing is that you KNOW this Mr. Einstein of wallshit. You're just trying to scare people into trying your buggy software and then locking them in to the upgrades and losing systems. Whatever the windows version of TR costs it is well worth it.
It's nice of you to only partially inform everyone here at ET about what the truth is.

Moderator:
Aren't there rules against spamming? Every other word out of this guy is tradersstudio. Let him get his own forum and pay for it since he thinks his software is so damn great. I bet that will shut him up.
 
@bolter

That is exactly the problem. Define the "dynamic" of the market. I am using for my intraday systems 5 min bars (but there i only trade 12 markets) -- Volume i dont use at all. I gave up on volume a long time ago. I know too many flippers in the market that create artificial volume and on expiration there is extra volume.

I will let you know when i have found a better indicator to describe the dynamic of the markets in whatever time frame. So far i have no solution and i trade my systems in all markets with same inputs in order not to over optimize. I have not found a way yet whne to stop trading for a while because the dynamic of the market is not the right one.

Maybe really the easiest solution is to trade the equity lines themselves. Has anybody tried to follow 60 markets and to only trade the 30 with the highest raltive strength. That means changing the 30 markets every month based on relative strength
 
trillenium,

I wasn’t actually referring to contract volume. The constant volume bars I mentioned are actually based on tick volume (count). A bar on a chart represents say 200 ticks versus 5 minutes. Each discrete bar therefore is a constant unit of activity. It renders intra-day action much more suitable for trend following. Tradestation plus other packages offer it these days.

Determining when to trade/not trade a market is IMHO the toughest aspect of trading a portfolio systematically. I’ve done lots of work in this area. If you want to discuss further I’ll start another thread. Let me know.
 
bolter

these constant volume bars are an interesting thing -- i will convert my tick data base - so that x-ticks represent a bar on the chart. Good idea. I will tell you what my experience is when i have results.
 
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