Mechanical Trading Stocks

Do you trade stocks or mutual funds using a mechanical systems ?

  • Yes

    Votes: 20 74.1%

  • No

    Votes: 7 25.9%
  • Total voters
    27
Murray,
I Still am not getting your point about the splits.
Can you please post an example showing the difference in results if you use100 X 30 $ stock vs. 200 X 15 Dollar split adjusted stock. and how or why that diffenece occured.
I talking not talking about commissions at 1$/share point. That part I understand would cause problems with commission being 200 $ instead of actual 100$.
If there is any other problem that it would be interesting.
Can you please use some very simple example like buying 1 month high and exiting 1 month low.
Thanks,
Rajiv
 
I assume you read them all. Yes some stuff did not hold up but remember so of it was for examples of a given concept, not as commerical systems. Other things still work like the intermarket relationship between silver and bonds. That still works today.
 
If you are using percentages for slippage and commission , which TradeStation can't do and Trading only one stock with a fixed number of shares. If your output is in percentage return , the problem is less but still exists. Here an example

100 shares at 2.00 , lose 10%- 190.00
100 shares at 50.00 make 10%

What is your percent return 0 or about 8%

We solve that problem buy always buying a fixed dollar amount. This works for 1 stock.

If we have a basket , them Microsoft is .20 so we buy so 10,000 buys 50,000 shares. Another stock which did not split is 50.00 so we buy 200 shares. You can't buy microsoft for .20 cents so , the balance here is wrong and over time with reinvesting profits errors of 300% to 500% occur on large baskers of stocks.

I will put a example up with spreadsheets as soon as I get a chance.
 
Murray...

I believe one can invest in stocks using a sophisticated program.

However, I do not believe one has been created yet, because they are all based on statistics and not the real world. Statistics work fine when things are predictable, stocks are not, because there is a human element, namely: management of the company.

No matter how good a stock looks on paper, if a key person leaves, the company may not ever be the same. Or, if a very successful executive joins a company what program is going to pick that up. No need to cite examples.

Personally, I use two screens:
1. where the market is headed - highest probability
2. scan the universe of stocks for specific criteria, real time

Then, I screen the stock screen ... works terrific

Tony
 
Just like you can trade commodities using a system if you have the right tools and I believe TradersStudio is the first generation of these tools, you can make money Trading stocks using a system.

In fact you can implement a system on a basket of stocks and further screen after using our global macro language.

I think your point goes back to 100% mechanical , versus discretionary trading. Remember discretionary does not mean winging it , it is a system that has subjective components. That fine, I have spent a lot of research making objective methods mechanical.
 
Quote from Murray Ruggiero:

I think your point goes back to 100% mechanical , versus discretionary trading. Remember discretionary does not mean winging it , it is a system that has subjective components. That fine, I have spent a lot of research making objective methods mechanical. [/B]
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I'm not familiar with your program, sorry.

Yet, I do believe, a totally mechanical, method is very possible with stocks. Not only possible but can be extremely profitable. A turnkey ATM if you will. The criteria I use is measurable.

Send me a copy I'll analyze it :)

Tony
 
Quote from Murray Ruggiero:

Just like you can trade commodities using a system if you have the right tools and I believe TradersStudio is the first generation of these tools, you can make money Trading stocks using a system.

In fact you can implement a system on a basket of stocks and further screen after using our global macro language.
More...

These features have been available in the competitor program "Trading Recipes" for seven years, and in the competitor program "Wealth Lab Developer" for three years. Attached is an example output file from Wealth Lab, showing a mechanical system trading a basket of 150 stocks for a period of 15 years.

Notice that the system performance equals buy-and-hold during the Irrational Exhuberance of the Clinton bull market, and greatly exceeds B&H during and after the Nasdaq meltdown. It buys when the oscillator says "Oversold" and exits when the oscillator says "Overbought". Also notice the log scale of the graph.

By the way, WL program includes the capability to test and trade using intraday data -- which Traders Studio promises they'll deliver Sometime Soon, Really. It suggests that Traders Studio isn't actually first, at all.
 

Attachments

Quote from horribilicus:

These features have been available in the competitor program "Trading Recipes" for seven years, and in the competitor program "Wealth Lab Developer" for three years. Attached is an example output file from Wealth Lab, showing a mechanical system trading a basket of 150 stocks for a period of 15 years.

Notice that the system performance equals buy-and-hold during the Irrational Exhuberance of the Clinton bull market, and greatly exceeds B&H during and after the Nasdaq meltdown. It buys when the oscillator says "Oversold" and exits when the oscillator says "Overbought". Also notice the log scale of the graph.


Very impressive indeed...Especially 2000 - 2002
More...
 
You are correct Trading Recipes has had these feature for years but at $2500.00 for MS DOS and $25,000.00 for windows you can't argue that that the same as $499.00 TradersStudio. Our goal is to allow as many traders as possible to have this power. In addition Trading Recipes can give you results for optimization at the porfiolo level , but it can not give you both the market level and portfiolio level view with a single mouse click.

Now let's talk about wealth labs, It is a interesting product but unless you want to open a account with Fidelity , you can't buy it in the USA any more. So this product is just like TradeStation 2000i effectively no longer on the market as a desktop application. In addition Wealth Lab is not a very easy or intuative product. Read the review on Wealth labs "Great for Academic use" - murty April 02, 2005 9:31 AM

I agree with him, which is why I trade to make TradersStudio easy to use.

I think TradeStation metafore of processing a single bar at a time and being able to access past bars data for both price and variable is very good. Wealth labs code requires you to have processing loops though the data in your script. That why we support a bararray type which is just like a TradeStation variable and we can even translate your existing EasyLanguage code , so you can do intergrate portfiolo analysis and money management for your EasyLanguage system if you own TradersStudio.

If you are a stock trader, TradersStudio's stock contract will allow you to do money management on a stock portfiolo, which are not valid with split adjusted data.
 
I want to say if someone wants to give me EasyLanguage code for a system for stocks. I will put the results on the Nasdaq 100 from TradersStudio up. Let's try to discuss some positive things and share ideas and research.
 
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