How many strategies do you Test

johnbennett103 · Feb 13, 2017

Diversify. I trade about a dozen systems in stocks and ETFs. Some look for trends, other are mean regressive. NEVER STOP RESEARCHING.

SimpleMeLike · Feb 13, 2017

johnbennett103 said:
Diversify. NEVER STOP RESEARCHING.

Thanks johnbennett103 for your response.

When you say never stop researching , do you mean try and consider different strategies? For instance, should a price action trend trader, consider counter trend trading.

I've read several sources that states to stay with one niche and build off that and stay with one market.

Thanks for response.

johnbennett103 · Feb 13, 2017

Strategies come and go, and you never know what your next big system winner will be. If you have a small account, do one good trend system, and one good counter trend system. This should help reduce drawdowns. Check out Kevin Davie's website - he is a systematic futures trader who has a complete framework for developing and trading multiple systems. While I only have about a dozen systems, he has more than 70, and I met a very successful prop trader who traded over 100 systems! You have to be organized and diligent to get this far, but it is possible.

SimpleMeLike · Feb 13, 2017

johnbennett103 said:
Strategies come and go, and you never know what your next big system winner will be. If you have a small account, do one good trend system, and one good counter trend system. This should help reduce drawdowns. Check out Kevin Davie's website - he is a systematic futures trader who has a complete framework for developing and trading multiple systems. While I only have about a dozen systems, he has more than 70, and I met a very successful prop trader who traded over 100 systems! You have to be organized and diligent to get this far, but it is possible.

Thanks johnbennett103,

I am very familiar with Kevin Davey and I am currently reading his book on algorithm trading.

What platform so you use to program and test your systems? I am heavily considering NinjaTrader with its #C language.

johnbennett103 · Feb 13, 2017

I am a huge fan of Amibroker because it handles portfolio systems very well (applying the same set of rules to a universe of stocks.) I find it much harder to curvefit a portfolio than a single symbol. I also use it to trade volatility (XIV/VXX). I tested NinjaTrader and Multicharts.net, and ended up getting MC because I had used Tradestation in the past, but I liked NinjaTrader. NinjaTrader seems faster than MC.

SimpleMeLike · Feb 13, 2017

Thanks for your response. I am leaning towards NinjaTrader as well, although some say, including Kevin, that Tradestation is cheaper.

Steve Alexander · Feb 18, 2017

SimpleMeLike said:
Hello

I am slowly moving from the manual (manually back test and manual day trading) trading arena to the programming, developing, testing, and algorithmic trading arena.

When a trader moves towards developing algorithmic trading systems:

1. How do you find trading strategies to program and test?

2. Is it true that to properly find and develop a winning strategy/system, a trader may have to test nearly 100 trading ideas before moving forward with 1 proven system? I recent watched a webinar over algorithmic trading and the speaker stated it usually takes testing 100 to 200 trading ideas before find 1.

3. When you find a winning strategy, do you stop finding and testing strategies?

4. How long on average does it take you to program the trading strategy?

Thanks,

1. I get ideas from various sources - other people, online articles, my own head.

2. I find winning strategies are about 1/3 of those I test. I have written well over 200 winning strategies over the past 15+ years. They don't win in all markets at all times, but under the right circumstances...

3. I don't stop writing new strategies when I find a winner. I come up with 2-3 new ones each month. Currently, I have half a dozen winners running. Market conditions change, though, and next week I may be running six different strategies.

4. Sometimes it takes only a few minutes to write a new strategy; sometimes weeks.

SimpleMeLike · Feb 18, 2017

Steve Alexander said:
3. Market conditions change, though, and next week I may be running six different strategies.

Thanks Steve for the response,

1. So you don't just let your your winning strategies run all year?

2. You start and stop the strategies based on market conditions? How do you know when the market conditions will change?

3. Do you recommend NinjaTrader for proper programming, back testing and strategy development?

Thanks