Edge edge edge , what is it ?

The Turtles were mainly trading 55 day breakouts.
I think the initial stop they used was 2 ATR.

That was from millionaire's post. I erronenously thought it was the 20 day breakout which was created by someone else.
 
Just crack if your daytrader / scalper mentality, trading chop with the immediate direction, take small profits ish, average in if required, all out on trend changing or range breaking.

Sounds easy, but I wish but getting there :)
 
fan27 said:
Currently I use all data from SPY for signal/strategy formulation and test each strategy against SPY, QQQ and EEM where all the data is loaded in memory. Out of the hundreds of thousands that might be tested, there might only be a couple of hundred that go on to the next phase.

2 x ATR(14) plus or minus from entry for stop and limit seem to be a good indication of whether the strategy has any predictive value. But yes, you are correct, stock related instruments have an upward bias so it is much easier to find Long strategies with stocks. The question is can you outperform the market with the less volatility. That is my goal.
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Cool, well it is impressive that your software runs so quickly. You wrote it in C# right? I think regardless of the outcome of your findings you might be able to make some serious money selling your software to a hedge fund. If you price it correctly they might even buy it just as an "in-house" research tool if they need it for their own backtesting.
 
MoneyMatthew said:
Cool, well it is impressive that your software runs so quickly. You wrote it in C# right? I think regardless of the outcome of your findings you might be able to make some serious money selling your software to a hedge fund. If you price it correctly they might even buy it "just in case" they need it.
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Yes...it's C# .NET Core. Send me a PM if you write C# code and would like to try it out.
 
fan27 said:
Here is how I determine if an entry signal has an edge. This process is mostly automated so it is super easy to do.

1. Run Machine Learning routine on in sample data where strategies generated have a limit order and a stop order that are 2 x ATR(14) away from the point of entry.
2. Filter strategy results from step 1 that have a 75% win rate, thus beating random entry.
3. Run the filtered strategies on out of sample data with the same exit criteria.
4. Filter strategy results from step 3 with the same filter criteria outlined in step 2.
5. The strategies remaining are worthy of further investigation.

The whole process can test about 500,000 strategies in 20 minutes running on my 5 year old laptop. I have a similar process for determining exit criteria.
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fan27,

Very impressive. What is your in sample and out sample data historical year ranges?
 
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