I Think I Found the Holy Grail

inandlong · Jan 19, 2003

Quote from Corso482:

well, it's long only, buys at the open of the next 5 min bar after certain criteria are met. It exits based on opposite of entry criteria, 1% stop loss, or the end of the day. It's ridiculously simple. Makes 4-5 trades a day. Highest % returns come from low priced stocks. Avg profit is about .60% and avg. loss is .11%, but varies depending on what stock you're trading, what year you traded. I don't know what the hell you'd call it, it's not trend following, maybe volatility?

Ola from Naples. Took all of 2:15 to get here on the Citation XL. A sweet ride.

So an immediate problem I see since it is stox is the requirement to buy at the open of the next bar. And it looks like the exit will be a sell at the open of the next bar requrement since you said exit is the opposite.

Since that is the case, try using .05 as a slippage number on both entry and exit. That's right, just one nickle. Then subtract from the new results 5xRT's per day. Then try using .10, one dime for slippage on both sides and see how that effects things.

dis · Jan 19, 2003

Quote from Corso482:
buys at the open of the next 5 min bar after certain criteria are met. It exits based on opposite of entry criteria, 1% stop loss, or the end of the day.

Your assumption that one can buy/sell at the next intra-day bar's open is incorrect Try buying (selling) at the next bar` high (low) instead.

trdrmac · Jan 19, 2003

Corso,

There is an interesting book by Perry Kaufman called Smarter Trading which addresses system development. If you can find it used, he addresses some good psychology and tips on system development. I don't know if it is a "Bible" as I am not a system trader, but some of the ideas were good. Some too complicated for my pea brain.

On that note, to save you the $30, one of the things I took away that was memorable was the "UnAble" Trade. This is where your system generates a Positive Buy signal, and has a positive outcome for the trade, but you were not able to be filled in the real trade. One way to compensate for this is to make sure the price trades through your entry price. So if you planned to buy for $1, make sure it trades at .99 to "ensure a fill".

(This is important in determining return since a Positive Buy with a Negative Outcome will always be filled, thus skewing returns lower than they may actually indicate)

On Friday I was selling some options and watched the price trade through my Ask to the tune of 100 contracts. When I called and asked why my order was not filled the broker replied that the trades had been posted as late prints of earlier trades. Uh huh, Im sure that's what happened..

SubEtha · Jan 19, 2003

Quote from corso482:

Ok, the reason I'm posting this is because I'm new to system development, so I don't even know what is good or what means anything.

So I've been tinkering with system development for a while now, and I've come up with a system that returns about 200% a year on stocks, no margin, 1% of total capital risked per trade and about 5% max dd. The system is only about 6 lines of code, so it's extremely simple. It's got about 50% more winners than losers, and avg. winner is about 5x the avg. loser. I've backtested it back to 1997. The system trades a 5 min chart.

The above results seem too good to be true. Have I found something spectacular? Or do most system developers have systems like this hidden in their drawers? Do these results have any chance of working in the real world?

BTW, the reason the stats are so rough is because stockwatch pro doesn't give you many stats on the results page and I don't have excel to do all the calculations. So for max dd, I just eyed up the results manually and did what I could on Microsoft spreadsheet.

corso, using simple techniques I've developed and run several systems that do amazingly well.

To answer your questions:

Have I found something spectacular?

It's very possible.

do most system developers have systems like this hidden in their drawers?

I do.

Do these results have any chance of working in the real world?

Sure! Especially if the issue you're testing with has good liquidity.
A rule I've found is that the more scalp like the system, and the shorter the hold time, the more your slippage can be.

Good luck with the development, and keep digging!

Corso482 · Jan 21, 2003

Turns out it was a programming mistake, and I didn't find the holy grail after all!!! Does this mean I'm not gonna be famous anymore?

dozu888 · Jan 21, 2003

Quote from Corso482:

Turns out it was a programming mistake, and I didn't find the holy grail after all!!! Does this mean I'm not gonna be famous anymore?

that's what I thought from reading your very first post.

inmate451 · Jan 21, 2003

details, details, details.
Those little details always mess up the system when overlooked.
And yes your not famous anymore

D

Minime · Jan 22, 2003

Since it doesn't work, you can sell it and get rich. Maybe thats why all those systems from vendors don't have actual results to go with them?

Mark Conway · Jan 22, 2003

Quote from Corso482:

Turns out it was a programming mistake, and I didn't find the holy grail after all!!! Does this mean I'm not gonna be famous anymore?

Corso, a few months ago I was using the VIX in an intraday system that had an unbelievable profit factor, around 6.7. I went to bed that night thinking, this was it, after all these years, the Holy Grail.

The next day, I'm sitting there waiting for the first signal, but for some reason the VIX wasn't coming through. I waited for twenty minutes or so, cursing my software provider for the bad luck. Then, that sinking feeling hit me - I had tested the data using exchange time, meaning that the system was interpreting the VIX as if it had arrived one hour earlier (CBOE vs. NYSE). It was one of the worst feelings ever.

BCE · Jan 22, 2003

Quote from Corso482:
Turns out it was a programming mistake, and I didn't find the holy grail after all!!! Does this mean I'm not gonna be famous anymore?

LOL

Too funny. It was fun following the thread though.

Ha. Also it seemed to me you might have problems actually getting fills in the real world depending on what you were trading and at what size. The other thing is, as far as I know the REAL HOLY GRAIL can only be purchased on eBay and is only available from time to time so you need to track it carefully. It sells for $3,000 with BuyItNow.

Ha