Example Trading System
- Thread starter sidinuk
- Start date
After our very profitable start to the year, making 3,347.50, we didn't have such a good week last - giving back 1,202.50 across the 5 contracts that I study.
I appologise if anyone is receiving popups when they visit my website it looks like one of the free services (the mini poll, probably) that I use has decided to be a little more intrusive than I would like. If this is the case then their services will no longer be required!
I appologise if anyone is receiving popups when they visit my website it looks like one of the free services (the mini poll, probably) that I use has decided to be a little more intrusive than I would like. If this is the case then their services will no longer be required!
well - is it real good ?
Quote from Cheese:
OK is any further real discussion wanted? Lets find out. You will have seen some of my approach in other posts. I cannot say whether any useful debate will ensue. I will try with a very small dose.
I will try a starting concept. It will be completely meaningless if I don't say what I'm doing. That is not how.
A predictive model predicts the price behaviour ahead. That does not mean absolute price; it means relative price. I am not predicting long term or medium term. The prediction is near term: the day ahead for the DOW (ie.YM). Why near term? Because this is the arena in which you can construct and maximize accuracy. There are it seems only a few sources elsewhere on ET which recognize rationally the potency of exploiting the near term.
So you see in the Example system a valid base or idea of daily exploiting the intra-day gyrations. But it is offered without refinement and apparently without any real understanding of the context.
Hi Cheese,
Thanks for your posts on this system. Below are some (edited) comments of yours I found thought provoking.
"means of validly recognizing or predicting "
"appears to use available raw data and is only on a backtested basis"
"real understanding of the context"
The context comment I think is really interesting / useful.
How can one improve the system? In essence, I suspect by filtering out losers more effectively. Better filter development or an a understanding of the "context" may come from some of the, untested, suggestions below.
- A brute force, qualitative analysis of the system's 10% biggest losers.
- An analysis of opening gaps and/or opening prices relative to yesterday's OHLC data versus the subsequent ORB price action.
- An analysis of the dynamics of volatility breakouts, ala Crabel.
- Development of a scoring system for tomorrow's range's likely direction/magnitude. Possibly in conjunction with candlestick analysis, volatility, new highs/lows?
- A move towards risk-adjusted dollar exposures per market. (ticks values for the mini Dow and mini Nasdaq are not the same)
- Applying the system to futures in other sectors, specifically FX and FI futures.
- Superior, dynamically adjusting money management and bet sizing techniques.
- Analysis of profitability versus the size of the breakout range.
- Analysis of profitability versus the size of the ATR.
Perhaps one should implement any new filters/understanding as unobtrusively as possible. In other words, keep the system as free from parameters as possible and become able to estimate when the edge is greatest/weakest. One can then bet accordingly.
Any thoughts?
AM
Another quick thought...
I recall the risk taken by the system, the stop level, varies according to the size of the opening range each day. This might not be optimal.
Would it be better to calculate market-calibrated stop levels, relative to volatilty perhaps, to be applied individually to all markets each day? i.e. rather than 30 ticks one day/market, 40 the next day/market, the system takes x ticks per market per day. (Risk could be spread evenly between markets or in some weighted fashion, according to money management rules.)
P.S. This is an interesting link on risk.
http://www.seykota.com/tribe/risk/index.htm
I recall the risk taken by the system, the stop level, varies according to the size of the opening range each day. This might not be optimal.
Would it be better to calculate market-calibrated stop levels, relative to volatilty perhaps, to be applied individually to all markets each day? i.e. rather than 30 ticks one day/market, 40 the next day/market, the system takes x ticks per market per day. (Risk could be spread evenly between markets or in some weighted fashion, according to money management rules.)
P.S. This is an interesting link on risk.
http://www.seykota.com/tribe/risk/index.htm