"Give your system a KISS" by Mark Seleznov

Quote from Surfeur:

hi WBacker,

You have this code for TS plz ? :)
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Sorry,
I don't use tradestation, maybe someone else can help you with that, haven't had time to learn the EL.

wdbaker
 
Quote from wally_:



Thanks, I had a very similar idea just recently, last week I guess. I believe I even mentioned it in one of the threads here, except that I meant it for 30 min bars.

My question in connection with that: did you check this system also for other time frames, say 30 min and 45 min? And how about choosing randomly out of 4 bar lengths: 15, 30, 45, 60.

Would it change anything?

And since you are a local Amibroker expert here, two more questions if you don't mind:

1. Is Amibroker capable of automating strategy execution? I guess Tomasz Janeczko promised something like that long time ago, but don't know how he delivered. Any idea how close is Amibroker to that?

2. Does it support IB data feed or is it still stuck with the most expensive data package on the market?


Thanks,
wally_
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Thanks but definitely not the amibroker expert.
re: 1. If you mean automated hands off trading, no, if you mean program a strategy and have it tell you real time when to take the trade, yes.

re: 2. I think I just read something about them preparing for IB but can't find it. If I remember correctly that was a priority for them.

I haven't had a lot of time to experiment with this piece of code, I have my own systems that I am working on. This just looked very interesting and thought maybe some of you would be interested in a different strategy to experiment with. Everyone is always yelling because nobody will give them any strategies :D :D

wdbaker
 
wdbaker,

Can you run a few backtests on the system using much shorter bars? Like 5, 10 and 15 minutes.

Also you might want to try it with a filter through the lunchtime period. 11.30 - 1.30


Thanks,

Runningbear
 
Quote from Runningbear:

wdbaker,

Can you run a few backtests on the system using much shorter bars? Like 5, 10 and 15 minutes.

Thanks,

Runningbear
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Runningbear,
Which piece of code are we talking about, The original in the first message, the modified close out at end of day in the first message or the other one we discussed with llv * .995 instead of 1.005 ????

wdbaker
 
a close at end of day system with llv * .995 instead of 1.005

Also experimenting with a fixed stop on entry may reduce maximum drawdown.

Thanks,

Runningbear
 
Did you guys collect all this ES data or did you purchase
it somewhere?

Any ideas on where I can get a ton of 1 min ES candles?
Or any candles for that matter.

Id like to backtest some strategies too... ill post results
if anyone knows a data source for ES/NQ.
Or ill code up strategies other people are interested in
for them, if they have the data I can use.

Or ill just start collecting data for 6 months, and start
after that. :(


peace

axeman
 
wally, create fully automatic trading system not that complicated, and it actually very easy do do with IB for average programer. how it will work for you-that another story)))))))))))
 
Quote from Bob111:

wally, create fully automatic trading system not that complicated, and it actually very easy do do with IB for average programer. how it will work for you-that another story)))))))))))
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How do you then explain the fact that there are not so many of those ATS on the market yet? Literally one or two. I have my own systems, just need some software to run them, will have look into that soon.
 
Quote from wally_:



How do you then explain the fact that there are not so many of those ATS on the market yet? Literally one or two. I have my own systems, just need some software to run them, will have look into that soon.
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Actually only one of my three systems would require that, two others can easily be run manually.
 
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