Lets build a trading system
- Thread starter wdbaker
- Start date
OK, since many of us here like to explore trading system, I propose a group project.
Many people know of the trading system Oddball (as featured in the Dec 2000 issue of Active Trader ... see http://www.oddballsystems.com for background)
In a nutshell, the system measures the Advancing NY issues (rate of change) and buys/sell when the Rate of Change rises above/below certain levels.
On the Omega list, a gentleman named Bob Fulks posted an equity curve and hints about a self-adaptive version of Oddball he had.
The equity curve is here ---> http://www.purebytes.com/archives/omega/2002/gif00033.gif
The post describing details of the system along with the performance report is here ---> http://www.purebytes.com/archives/omega/2002/msg06378.html
Some observations ... the system trades 376 times over 51 months. The average # bars in winners is 28, implying the system trades once every 4-5 days.
I've toyed with different ways of dynamically adjusting the buy/sell levels .. first taking an average of the ROC measurements:
This is Tradestation 6 code, with Data1 as @ES.D and Data2 as $ADV
inputs:
sstart( 0930 ),
eend( 1600 ),
movavg( 30 );
variables:
bz( 0 ),
sz( 0 );
bz=average(roc(c data2,8), movavg);
sz=bz;
if time >= sstart and time<=eend then begin;
if roc (c data2, 8 ) > bz then buy this bar close;
if roc (c data2, 8 ) < sz then sell short this bar close;
end;
The results aren't great, but it does improve limiting the trade time to 2 - 4 pm est.
Some ideas to play with are taking the log of data 2, using the std dev of the roc average to adjust the buy/sell levels, using the highest/lowest roc level over a set lookback period, etc.
Brainstorm, think about different ways this can be done. We can create a strategy that performs well and we all can trade
Cheers,
Rich
Many people know of the trading system Oddball (as featured in the Dec 2000 issue of Active Trader ... see http://www.oddballsystems.com for background)
In a nutshell, the system measures the Advancing NY issues (rate of change) and buys/sell when the Rate of Change rises above/below certain levels.
On the Omega list, a gentleman named Bob Fulks posted an equity curve and hints about a self-adaptive version of Oddball he had.
The equity curve is here ---> http://www.purebytes.com/archives/omega/2002/gif00033.gif
The post describing details of the system along with the performance report is here ---> http://www.purebytes.com/archives/omega/2002/msg06378.html
Some observations ... the system trades 376 times over 51 months. The average # bars in winners is 28, implying the system trades once every 4-5 days.
I've toyed with different ways of dynamically adjusting the buy/sell levels .. first taking an average of the ROC measurements:
This is Tradestation 6 code, with Data1 as @ES.D and Data2 as $ADV
inputs:
sstart( 0930 ),
eend( 1600 ),
movavg( 30 );
variables:
bz( 0 ),
sz( 0 );
bz=average(roc(c data2,8), movavg);
sz=bz;
if time >= sstart and time<=eend then begin;
if roc (c data2, 8 ) > bz then buy this bar close;
if roc (c data2, 8 ) < sz then sell short this bar close;
end;
The results aren't great, but it does improve limiting the trade time to 2 - 4 pm est.
Some ideas to play with are taking the log of data 2, using the std dev of the roc average to adjust the buy/sell levels, using the highest/lowest roc level over a set lookback period, etc.
Brainstorm, think about different ways this can be done. We can create a strategy that performs well and we all can trade
Cheers,
Rich
Oh well, I dunno where to start, but I really hate the fact that I'm joining this thread thaaaat late ... the truth is, I never saw it before ...
Anyway, many people in here say they have coded the Traders' Taradise system ... some have liked it and found very profitable ... others say it's useless and fails all the time ... especially after slippage and commissions ... etc ...
My question is .... How can you code a system or even discuss in an attempt to code and test it ... when the guy who invented the whole thing isn't even here to guide you ?? just a simple question ...
Now before we get any further ... I would like to admit that I was the most critical of this system when the original "Traders Paradise" forum at delphi started ... and I was even a bit aggressive with the guy who invented it ... (calls himself THEEE_MAN) ... but then later on I read calmed down and tried to digest his method ... and the system itself (NOT THEEE_MAN) proved me wrong .. by continously returning profits ... all along the thread people came with questions, which basically showed that almost everybody was applying the system differently ... and they were all wrong ... and THEEE_MAN kept helping them for several weeks ... and maybe months ... until some of them excelled in its application ...
Please go to http://www.stockhits.com/ .... and talk to someone called Zizou in either the "Traders Lounge" forum or the "Traders' Paradise" forum ... and ask him about the system ... he has been trading it for a while now ... and get yourself ready for a big surprise !!! The guy quit his job after contacting THEEE_MAN throughout the past couple of months ... until he fully understood the system .. and is now trading it for a living ... a common dream for you all ....
Maybe you would want to talk to THEEE_MAN himself about his system ... but please just don't go code the system from the top of your head and then come to accuse it of being a failure ...
Finally, another question, which imposes itself at this stage ... How about the FREE traders' paradise commentary at http://www.stockhits.com/ ? It's been there for a while ? People have been manking money with it just trading the NDX and the QQQs ... just by listening to THEEE_MAN ... he says buy, they buy ... sell and they sell ... last trade, closed few days ago earned 30 points on the NDX ...
I just thought this whole thread needed some guidance ... before another trading system gets killed by wrong application ...
Good trading all !
Anyway, many people in here say they have coded the Traders' Taradise system ... some have liked it and found very profitable ... others say it's useless and fails all the time ... especially after slippage and commissions ... etc ...
My question is .... How can you code a system or even discuss in an attempt to code and test it ... when the guy who invented the whole thing isn't even here to guide you ?? just a simple question ...
Now before we get any further ... I would like to admit that I was the most critical of this system when the original "Traders Paradise" forum at delphi started ... and I was even a bit aggressive with the guy who invented it ... (calls himself THEEE_MAN) ... but then later on I read calmed down and tried to digest his method ... and the system itself (NOT THEEE_MAN) proved me wrong .. by continously returning profits ... all along the thread people came with questions, which basically showed that almost everybody was applying the system differently ... and they were all wrong ... and THEEE_MAN kept helping them for several weeks ... and maybe months ... until some of them excelled in its application ...
Please go to http://www.stockhits.com/ .... and talk to someone called Zizou in either the "Traders Lounge" forum or the "Traders' Paradise" forum ... and ask him about the system ... he has been trading it for a while now ... and get yourself ready for a big surprise !!! The guy quit his job after contacting THEEE_MAN throughout the past couple of months ... until he fully understood the system .. and is now trading it for a living ... a common dream for you all ....
Maybe you would want to talk to THEEE_MAN himself about his system ... but please just don't go code the system from the top of your head and then come to accuse it of being a failure ...
Finally, another question, which imposes itself at this stage ... How about the FREE traders' paradise commentary at http://www.stockhits.com/ ? It's been there for a while ? People have been manking money with it just trading the NDX and the QQQs ... just by listening to THEEE_MAN ... he says buy, they buy ... sell and they sell ... last trade, closed few days ago earned 30 points on the NDX ...
I just thought this whole thread needed some guidance ... before another trading system gets killed by wrong application ...
Good trading all !
