How to research and verify trading ideas

[talontrading]

Ironically, we programmed a system to trade opening gaps on the opening tick in TradeStation EasyLanguage. TS couldn't handle it so we went to C#. If you think you're doing this in TradeStation it ain't gonna work. (as you admit Superbands isn't tradable you sort of know that somewhere in your pudgy little brain.)

and you're right I'm not a programmer beyond my meager R, VBA and EasyLanguage skills. That's why I hire programmers.

TS daily bars give you NYSE opens. Intrabar calculation doesn't work like you describe.

TS is not a good platform for strategy development. I mean it is for guys at home but it's not for professional strategies... their data often lag badly especially on the open (you'd know that if you traded money rather than demo).

Probably not our hardware either but I'm sure you'll suggest that.

Quote from bwolinsky:

The opening tick. It is in Tradestation referred to as Intrabar order calculation, which, since you seem to think that it's not possible, tells me you've not really gone very far in programming.

 

[talontrading]

LOL.

Quote from bwolinsky:

That was word, to give you context only. It's thousands of lines in wealth lab.

Wealth Lab <i>is for sophisticated users.</i> Any mathematical function is in WL, so I don't know why you think you'd need anything else besides that. It also has statistical functions that I use a lot in my pairs models.

 

[bwolinsky]

Quote from talontrading:

Ironically, we programmed a system to trade opening gaps on the opening tick in TradeStation EasyLanguage. TS couldn't handle it so we went to C#. If you think you're doing this in TradeStation it ain't gonna work. (as you admit Superbands isn't tradable you sort of know that somewhere in your pudgy little brain.)

and you're right I'm not a programmer beyond my meager R, VBA and EasyLanguage skills. That's why I hire programmers.

TS daily bars give you NYSE opens. Intrabar calculation doesn't work like you describe.

TS is not a good platform for strategy development. I mean it is for guys at home but it's not for professional strategies... their data often lag badly especially on the open (you'd know that if you traded money rather than demo).

Probably not our hardware either but I'm sure you'll suggest that.

Whatever, it worked fine for me. Intrabar calculation does work as I describe.

 

[xburbx]

so maybe we can let it die and go back to the original purpose of this thread? any chance talon, that you would be able to look at some testing that has been done as results of forward trades to explain what parts should be analyzed, what parts should be dropped and how to maximize it? unfortunatley if i post my results they are a bit more on the "art" swing side but i think the data can be maximized for better profitability. there is some discretion, but not much. just a thought to see if this might help put this back on track.

note : this isnt a ploy to have talon or someone help with my data because if i wanted that, i would just PM him. this is to help get this back on track

 

[bwolinsky]

Quote from talontrading:



and you're right I'm not a programmer beyond my meager R, VBA and EasyLanguage skills.

I'll tell you what else you're not:

1) You are not a professional, as evidenced by this thread.

2) Capable of ever backtesting this strategy.

3) Able to communicate on a public forum without 10 year old grade personal attacks.

4) Ethical, a very big portion of the CFA Curriculum that you would fail misreably at here.

 

[talontrading]

In their demo account yes. With actual executions, no.

So you didn't trade it BoWo (that's my new name for you.)

Quote from bwolinsky:

Whatever, it worked fine for me. Intrabar calculation does work as I describe.

 

[bwolinsky]

Quote from talontrading:

In their demo account yes. With actual executions, no.

So you didn't trade it BoWo (that's my new name for you.)

I traded an intraday version based on daily bars using intrabar order calculation and it worked.

 

[talontrading]

Happy to look at what you have but I petitioned the administrator to delete the entire thread with the promise that I would not start another one if that was done.

This thread doesnt look good for anyone... least of all me at this point.

Quote from xburbx:

so maybe we can let it die and go back to the original purpose of this thread? any chance talon, that you would be able to look at some testing that has been done as results of forward trades to explain what parts should be analyzed, what parts should be dropped and how to maximize it? unfortunatley if i post my results they are a bit more on the "art" swing side but i think the data can be maximized for better profitability. there is some discretion, but not much. just a thought to see if this might help put this back on track.

note : this isnt a ploy to have talon or someone help with my data because if i wanted that, i would just PM him. this is to help get this back on track

 

[xburbx]

ok. it's too bad, but not your fault. it tends to happen around here a lot

 

[maler]

Here is a little event study I did looking at the tail part of
talon's index rebalancing idea.
I looked at all additions to the SP500 from March 2003 up until
last August and retained all those that intersected the universe
of securities that I monitor. I monitor roughly the top 500 liquid
names listed on NYSE or NASDAQ and refresh the universe every
6 months. Also there is no suvivor bias in the way I look at things
because I consider all securities available at the time when I sort them by liquidity (so for example the universe in 2003 contains the most liquid stocks as determined on the first of Jan 2003 even though many stocks may have been aquired or were delisted meanwhile).
The spreadsheet is self explanatory. On the effective date,
short 100K worth of stock and hedge it with a long 100k worth of
SPY, executing everything on the close. Exit on the close 25 business days later.
I did not account for dividends or transactions costs
but the average profit will easily cover even very unfriendly execution and financing cost terms.
The results speak for themselves (the tStat of 4.9 is way beyond
the realm of just randomness even without accounting for heteroskedasticity).
A slight improvement could be had by being beta rather than dollar neutral, and scaling the size of the bet with the inverse of the specific residual stock volatility but these are minor refinements.

maler