Example Trading System

Posting some current thoughts.

If one looks at the test period's long and short trades separately, do they have different optimal ATR stop levels?

If long and short trades behave differently, what exit strategies create the most value for each?

How do Fridays behave differently to the rest of the week?

Cheers,
AM
 
Hi AM,
You are right, cause short and long behaving different, and market is not really symetrical, symetrical rules are simplified, both sides should be tested seperated... But I use it myself, I´m busy next time and somewhat exhausted from hourlong testing/hacking either, so I will look at this stuff some days later.

For fridays I expect also some different behavior, but couldn`t found anything special, may be there is less activity the last hour than the other days of week, but that `s just a guess. Have to look at this later...

Michael
 
Fixed fractional MM - another parameter?
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This is an embryonic idea so far. Curious to see what other people think:

Is it not the case a *fixed* fractional value in MM terms is a basically an untweaked parameter?

When would a *variable* fractional MM approach be beneficial? (Under what conditions should the system risk more / less?)

What might such a solution look like?

AM
 
Via some web research...

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http://www2.oanda.com/cgi-bin/msgboard/ultimatebb.cgi?ubb=get_topic;f=16;t=005331;p=1#000001

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http://www2.oanda.com/cgi-bin/msgboard/ultimatebb.cgi?ubb=get_topic;f=16;t=002042;p=3#000031

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f you want another money management idea that is very responsive to performance, yet doesn't make you make too hard decisions up front try this:

Firstly you need to know your daily % NAV gain or loss.

Start trading at a conservative 5% FFP (or whatever suits you). But instead of using a Fixed Fractional percent, you use a range say 2%-25%. Move up and down the scale by adding or subtracting half of your last daily NAV percentage.

For example start at 5% FFP

Next day profit on trades = 1.5%
Therefore your next FFP = 5 + (1.5 * 0.5 ) = 5.75%

Say you then lose 3%
Next FFP = 5.75 + (-3 * 0.5) = 4.25%

Obviously use ranges and a daily factor (here 50%) that suits you, but you'll find this method really rewards good methods, and lightens up very quickly on bad.

I use it myself, and find it very sound.

~chaffcombe



Quote from alpha_monkey:

Fixed fractional MM - another parameter?
More...
 
Well the YM yesterday in the order of a 180 point move (rise) straight from the Open is pretty rare. The majority of YM daily max +/-'s measured from the Open are below or somewhat below 100. All ranges are for the player to exploit.
:)
 
sidinuk

thanks for updating the website Excel tracking sheet.

Since January the market has had a bit of a personality change.

Many intraday reversal, which of course do not bode well for systems that look for trends.

It looks as though the YM has had a larger drawdown than its historical past.

It will be interesting to see when the system parameters come back into favor and for how long, etc.
 
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