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- Thread starter travis
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Travis, your referring to a mean reversion strategy, just like selling at the top Bollinger band and buying at the bottom. The only problem with these systems are they work fine in a non trending market, but you get absolutely killed once a major trend breaks out....
If you are getting a 55% win, but you're losing the profits to commisions and fees, have you looked at being more aggressive at trading out of the losing positions? In analyzing a model once, I saw that had a 55% winner vs. 45% loser on the individual trades, but it had a 58% to 42% on the total dollar figures. This gave it enough of an edge beat out the cost of commission.
Hey, here is the tradestation report, attached (with the easylanguage code included into a sheet I created). If anyone wishes to look at it. I put my best efforts at it for the past few hours.
I only came up with a system that trades about once a week. It gets two trades right, out of three, and makes about 2 ticks per trade - after spread and commissions. In the report spread and commissions have not been subtracted. Subtract 574 ticks for spread, and 126 for commissions (depending on which broker you use). This leaves a profit of about 800 points. 100 points per year. An average of 2 ticks gained per trade. Which actually means on week 1 you will make a profit of 6 ticks, week 2 you will make a profit of another 6 ticks, week 3 you will have a loss of 6 ticks.
I don't think it's good enough to trade a systems that makes 10 ticks a month. If I try hard I can make 10 ticks in a few minutes. I am not going to build a system, automate it, to achieve in a month what I can do in a few minutes.
So here it is. It may not be that good, but I don't think it's over-optimized (I tried a lot of cross-tests to avoid that).
I only came up with a system that trades about once a week. It gets two trades right, out of three, and makes about 2 ticks per trade - after spread and commissions. In the report spread and commissions have not been subtracted. Subtract 574 ticks for spread, and 126 for commissions (depending on which broker you use). This leaves a profit of about 800 points. 100 points per year. An average of 2 ticks gained per trade. Which actually means on week 1 you will make a profit of 6 ticks, week 2 you will make a profit of another 6 ticks, week 3 you will have a loss of 6 ticks.
I don't think it's good enough to trade a systems that makes 10 ticks a month. If I try hard I can make 10 ticks in a few minutes. I am not going to build a system, automate it, to achieve in a month what I can do in a few minutes.
So here it is. It may not be that good, but I don't think it's over-optimized (I tried a lot of cross-tests to avoid that).
Attachments
I need to go back to school and study math all over again. The formulas for Kalman and Particle filters are way too complicated for me:
http://en.wikipedia.org/wiki/Kalman_filter
http://en.wikipedia.org/wiki/Particle_filter
It seems much harder than learning VBA (which took me years). This is Chinese to me.
http://en.wikipedia.org/wiki/Kalman_filter
http://en.wikipedia.org/wiki/Particle_filter
It seems much harder than learning VBA (which took me years). This is Chinese to me.
Too complicated. If this is what the big guys are using they are really overly complicating the situation. Lotsa assumptions.
Where is the common sense? I still recommend the simplistic approach, However I'm not into day trading where it looks like noise can be a large part of normal movement.
Much prefer longer term considerations. Don't like leverage it increases the risk of ruin.
Too old to change much. It has been said that you can't teach an old dog new tricks. You can but they better be simple ones.
Where is the common sense? I still recommend the simplistic approach, However I'm not into day trading where it looks like noise can be a large part of normal movement.
Much prefer longer term considerations. Don't like leverage it increases the risk of ruin.
Too old to change much. It has been said that you can't teach an old dog new tricks. You can but they better be simple ones.
Yeah, if it is too complicated then you should stay away from it. It is useful in FX when there are many feeds from various brokers and you are filtering to get an accurate representation of what the true market is then generate arbitrage signals based on this. The same has been applied to all the ECNs, etc.
I think you are actually not looking for filters here but biased signals;example %volatility is greater than average volatility on say rails and the %vol of the general market is great than average then sell a CNI, BNI until %vol of market or sector comes back to some defined level (near average...). Is that kind of the path you were looking to traverse?
I think you are actually not looking for filters here but biased signals;example %volatility is greater than average volatility on say rails and the %vol of the general market is great than average then sell a CNI, BNI until %vol of market or sector comes back to some defined level (near average...). Is that kind of the path you were looking to traverse?
Well, I am not very good at understanding the difference between the terms you are using. I had a system with many trades, and the % of wins wasn't high enough, so I was trying to "filter out" some of the bad trades. That's why I used the term "filters".
Also, as I explained, I want to keep things simple only because I am not that good at formulas. Otherwise I would certainly try all those formulas. Formulas are more or less like German to me. A foreign language that I don't know very well and that I can understand to some degree, with a dictionary. I was exaggerating when I said formulas are like Chinese, because I can understand something in formulas (at least if they are simple).
Also, as I explained, I want to keep things simple only because I am not that good at formulas. Otherwise I would certainly try all those formulas. Formulas are more or less like German to me. A foreign language that I don't know very well and that I can understand to some degree, with a dictionary. I was exaggerating when I said formulas are like Chinese, because I can understand something in formulas (at least if they are simple).