ETs Ultimate Trading Strategy

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Darc said:
OK, positive participation level is low. Maybe @Magna could please delete this thread.
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You are one impatient sumbitch you are alright. You expect to accomplish in 1 afternoon what Jim Simons took a decade or more to accomplish? At least give us till the end of the day tomorrow if you want us to come up with a billion-dollar set up.

El OchoCinco said:
Traders sharing their best secret set up for free in 3.....2.....1....
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I'll give y'all one. I need a day or two to decide just which of my best secrets I'm willing to spill the tea on.
 
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I'm going to dig out my copy of The Man Who Solved the Markets. I do believe thinking when I read it that Mr. Simons might have inadvertently given away some clues somewhere in there.

Are we looking for day trade set ups? I seem to recall Simons' fund and most of his systems were day trade and one day holds only? I might be mistaken. I think I have the book somewhere in my basement still. I'm going hunting for it now.
 
Rams Fan said:
I'm going to dig out my copy of The Man Who Solved the Markets. I do believe thinking when I read it that Mr. Simons might have inadvertently given away some clues somewhere in there.

Are we looking for day trade set ups? I seem to recall Simons' fund and most of his systems were day trade and one day holds only? I might be mistaken. I think I have the book somewhere in my basement still. I'm going hunting for it now.
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I've got the Book too. There's also alot of hints on Google. He does keep it guarded though. Mean Reversion as previously mentioned is in the Book (midway through from memory).

Strategies: Day/Swing Trading or Stock picking? Just trying to build an Ultimate System.



THE MORE WHO CONTRIBUTE, the better off we ALL are.
 
Secondary Components

Trade Profit Enhancements

Many items can be included to maximize performance of a constructed model. These items may be incorporated as switches and are more typically related to money management techniques. When used in the latter case, the code is simply appended to the end of the respective buying/selling conditions.
Other techniques may include algorithms which allow a position to be reversed as in the case of an always in the market position system (this can also be referred to a "stop and reverse" defined system.) These techniques may be stand−alone or incorporated alongside money management to form a composite system.

Summary

If the problem of seemingly random market data is to be conquered with a mechanical model, the modeling will need to separate the data into quantifiable sections. What these sections are and how they are defined is actually dictated by the market data itself. The primary focus should be upon price actions, which are most prevalent and validated within the data.

Specific models are developed independently to accurately encapsulate as much of the targeted price action as possible. These models are then combined through the use of switches to complete the base model. Other components, such as money management, can then be included to enhance overall performance.

Specialized Components of Model Building

Non−Trending

Components would include oscillators of various types and shorter term, price patterns. These price patterns are normally and specifically defined for a particular market because of the shorter term nature of trades typically taken in non−trending market conditions.

Caution needs to be exercised when establishing inputs of the non−trending components. Avoid long−term inputs and using short−term indicators. For the purpose of discussion, price patterns will also be included when the terminology associated with indicators is used.

Oscillators are often normalized between an upper and lower limit, then buy/sell zones are established for the oscillator. The oscillator can also be normalized over a zero line used as the reference point to enter long or short positions. There are a variety of short−term non−trending indicators covering a broad spectrum that can be used in model development and testing.

Trending

Components in their simplest forms would be defined as moving averages, trendlines, price channels and extremely long−term oscillators. Trending market conditions, by their nature, are longer−term. Logically it is expected that longer−term inputs would most likely apply to indicators, which are being used to detect and follow trends.

However, it should be noted that these longer−term inputs introduce lag. This lag can of course be detrimental to the profitability of the trading model. When using switches this concern is somewhat minimized. The longer−term trend following model is being calculated in the background, while the shorter−term non−trending model is active in producing the trades.

This technique essentially emulates a backup system, which has its calculations up to speed, ready to be implemented upon demand. This will hold true if the targeted market shows a preference to non−trending characteristics while these conditions will reverse when applied to the subject of a trending market.

Outline of Position Model Components

Entry Techniques

• Non−Trending entry method switch
• Trending entry method switch
• Combining the entry method switches

Money Management

Is another component that could possibly be implemented as a stand−alone system. Thus, it is a very powerful tool by itself − it can also be a detriment when improperly deployed with a successful trading system. Some trading models will incorporate their own dynamic money management by being able to reverse a position dynamically. Other models may only incorporate a catastrophic stop loss of some fixed amount. Variations of this stop theme would be to employ a dynamic stop loss amount calculated and based upon volatility.

Stop Techniques Fixed Cost Stops

• Percentage stops
• Trailing stops
• Range stops
• No stops
• Target exits

Fixed Target Amounts

• Range based targets
• Percentage targets
• No targets

Timed Exits

• Exit after number of bars
• Exit if profitable
• Exit upon time of day

Other Strategies

Might include seasonal patterns such as a specific time or month of the year, week or time of the month, day of the week and time of the day. It is important to not overlook interesting strategies that can also be developed for possible future use within a system by utilizing system statistics such as: number of losing trades in a row, number of winning trades in a row, percentage of winners, percentage of losers, etc.

First Things First − Final Summary

The above items have been outlined to serve as a step by step guideline to building a successful model. The first basic steps in creating such a model should be to build the non−trending and trending components.

Analyzing the Results

Great care should be taken when analyzing the non−trending systems results. Large losing trades will generally occur when the non−trending model is caught in a counter-trend trade. These trades should be omitted from the system's results so concentration can be placed upon how well the model performed on non−trending price action.

Likewise, omission of extended non−trending system results should be utilized when modeling the trend following component. Concentration should be placed upon analyzing the results of how profitable the trending component performed at its specified task of trading the trend. Just as the price action itself should be broken down and analyzed, it is important to also analyze the performance and results of the systems.

Combining the Techniques

Once the non−trending and trending components have been tested and the results are satisfactory, they can then be combined to form a singular trading methodology and trading platform. The next step is incorporating switches within the new platform building on the success of the trend functions and methodology. The highly desired benefit of the switches is that they can be incorporated and deployed in an almost infinite combination, covering a wide spectrum of criteria. The truly significant core to this approach is that optimization determines the best possible combination of potential model components (switches) to be utilized.

Only after these steps are taken and accomplished with satisfactory results should the focus move forward implementing additional strategies such as (but not limited to) money management. By building the models first with no constraints, solidifies the foundation that the true personality and nature of a particular market has been defined by the best performing combination of the respective models.

Implementing Secondary Techniques

It will now be interesting to see what impact traditional money management strategies have upon the system as well as different ideas and concepts as the creative model process moves forward to finalizing the system. It is highly recommended that this combination of strategies and model performance be analyzed thoroughly. Satisfaction with the model results is a key element as well as the imperative aspect to fully comprehend and understand the development process, which rendered the model.

If total satisfaction of the finished model performance is not achieved at this point or the system is not meeting the desired criteria for a robust system, there is no purpose in continuing with any additional development of the model. To eliminate wasting time, simply go back and redevelop new non−trending and trending models. Then, go through the combination process again, being aware that perhaps only one of the models may need to be redesigned. If a model is found to have particularly good statistics, then it is most likely worthy to be set aside until a complementary model can be discovered which will enhance the overall profitability when combined to form a complete system.

Mark Brown
 
Darc said:
The BEST SETUP?
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Here's an everyday intraday.
Suggest products, discuss, get tuned and trade em gangnam style.

Please remember to be kind and leave some money in the pool for the little people.

#4 Late Day Breakout

At the end of the day around 2 pm the volatility picks up again in the market. This is where traders return from lunch and are looking to enter or close positions in preparation for the next trading day. This is a great trading opportunity for active traders as the high low ranges set earlier in the day are breached.
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Late Day Breakout Rules
The stock exceeds the morning range with an increase in volume after 2 pm.
The stock is able to clear the range by .2%.
Profit target is the size of the move that preceded the trading range.
Stop loss is the middle of the range. This would imply the stock failed on the breakout attempt and is now falling back inside of the range from the morning.

Trader Profile – Late Day Breakout

Slow to react
Likes to perform thorough analysis over the course of a few minutes to a few hours
Likes volatility
Enjoys riding the trend into the close
https://www.tradingsim.com/day-trading/day-trading-setups#4_Late_Day_Breakout
 
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easymon1 said:
Here's an everyday intraday.
Suggest products, discuss, get tuned and trade em gangnam style.

Please remember to be kind and leave some money in the pool for the little people.

#4 Late Day Breakout

At the end of the day around 2 pm the volatility picks up again in the market. This is where traders return from lunch and are looking to enter or close positions in preparation for the next trading day. This is a great trading opportunity for active traders as the high low ranges set earlier in the day are breached.

Late Day Breakout Rules

The stock exceeds the morning range with an increase in volume after 2 pm.
The stock is able to clear the range by .2%.
Profit target is the size of the move that preceded the trading range.
Stop loss is the middle of the range. This would imply the stock failed on the breakout attempt and is now falling back inside of the range from the morning.

Trader Profile – Late Day Breakout

Slow to react
Likes to perform thorough analysis over the course of a few minutes to a few hours
Likes volatility
Enjoys riding the trend into the close
https://www.tradingsim.com/day-trading/day-trading-setups#4_Late_Day_Breakout
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Jim Simons did also conclude that certain times of the Day and certain Days were more conducive to buying n selling too.
 
Darc said:
Jim Simons did also conclude that certain times of the Day and certain Days were more conducive to buying n selling too.
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What's Jim Simons ET username? We should tag him and get him involved too.
 
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