You are using an out of date browser. It may not display this or other websites correctly.
You should upgrade or use an alternative browser.
You should upgrade or use an alternative browser.
Example Trading System
- Thread starter sidinuk
- Start date
Quote from thomas_spinner:
wow! may i ask what the rules of this system is? you can PM me if you don't want to tell everyone.
-thomas
Hope you understand Easylanguage:
Code:
Input: EndBOTime(10), StartTradBars(1), XDayofWk(1), admin(0.00), hys(0.00), TrinLimit(0.00);
var: hi(0), lo(0), btime(0), trin(0), stime(0);
DefineDLLFunc: "PUSHPOP.DLL", DOUBLE, "POP", LONG, LONG, LONG;
value1=pop(99,date,time);
if dayofweek(date) <> xdayofwk then begin
trin = c data2;
if currentbar = 1 then begin
btime = calctime(0830, endbotime*barinterval);
stime = calctime(btime, starttradbars*barinterval);
end;
if date>date[1] then begin
hi=h;lo=l;
end;
if time <=btime then begin
hi = maxlist(hi,high);
lo = minlist(lo,low);
end;
if time>=stime and marketposition=0 and time>=btime and time <=1430 then begin
if trin<1-trinlimit and value1>admin then buy (20000/c) shares next bar at hi + hys stop;
if trin>1 + trinlimit and value1<-admin then sell short (20000/c) shares next bar at lo - hys stop;
end;
if marketposition<>0 then begin
sell next bar at lo - hys stop;
buy to cover next bar at hi + hys stop;
end;
if time = 1500 then begin
sell this bar at the close;
buy to cover this bar at the close;
end;
end;Data1 is IWM
Data2 is $TRINQ
the dll reads adv/(adv+decl) which I use in a number of other studies.
Substitute:
data3 = $adv
data4=$decl
adv = c data3
dec = c data4
then ,
value1 = iff(adv+dec>0 ,adv/(adv+dec), 0);
DS
thanks for sharing!! how much do you use the trin and the adv/dec issues? i have never thought about that before in my testing...
-thomas
-thomas
Thank you RC. Good analysis; good observations.
m
m
Quote from Random.Capital:
The idea they originally start with is based on market structure and quite valid; it is, essentially, a backdoor bet on volatility.
What they do in the subsequent analysis, however, is a case study in how to data-mine your way out of a useful idea and into something that tests well but will under-perform going forward. A rule like "don't trade on Thursdays" is curve-fitting, plain and simple, and the fact that using it doubles the so-called expectancy should be setting off alarm bells. As should the use of a moving average, which, again, is curve-fitting. There are other problems. Two major ones: all the data tested against comes from a period undergoing a secular bear in volatility, and assuming consistently hitting entries and exits when one of the criteria is EOD price.
Charting equity curves after psuedo-statistical tweaking of this kind is completely pointless: they will always show a nice, smooth, historical equity curve since that is the implicit optimization being made. Another warning bell, frankly.
Most of the issues would have been uncovered if they had done proper out of sample testing. Yes, I know, they did something that kind of looks like it, but in reality it's not, the "out of sample" data is being used implicitly in the original setup.
Again, the original well-known concept is a great starting point, unfortunately this article is not an example of how to get to the finish line. In one piece, anyway.
Ask, "Are you developing systems based on the market or you?"
While I enjoyed reading the article, I would caution anyone contemplating using this system that it almost certainly will lose substantial amounts over a meaningful test period. Volatility breakout systems are proven winners in commodities, when traded over a portfolio of products. Unfortunately, they have almost always done poorly in the stock indices, excluding the bubble market years. They are particularly poor as day trading systems.
There are very few day trading systems that have ever tested out positively over time, and I am pretty sure none of them is a vol breakout system.
If you want to trade a vol b/o system, stick to currencies, interest rates and grains, and position trade it so you can ride the trend moves.
There are very few day trading systems that have ever tested out positively over time, and I am pretty sure none of them is a vol breakout system.
If you want to trade a vol b/o system, stick to currencies, interest rates and grains, and position trade it so you can ride the trend moves.
Quote from AAAintheBeltway:
There are very few day trading systems that have ever tested out positively over time, and I am pretty sure none of them is a vol breakout system.
If you want to trade a vol b/o system, stick to currencies, interest rates and grains, and position trade it so you can ride the trend moves.
I wonder what kind of money management can be applied to this type of strategy, i.e. time exits rather than specific price targets.
I have tried some pyramiding/scaling in techniques on this system and none seem to work. Maybe it is too short of a timeframe?
-thomas