Was able to look through code and found the mistake. The only derivatives effected were the ones where profit targets were hit. The code fix improved returns. Will post tomm, updated results.
Minimal Effort Returns - Algo Based
- Thread starter Spectre2007
- Start date
after March 24th my postings will be discontinued, will fall under CTA regulatory guidelines.
Calculation of STD of the price series would lead to optimization of profit targets. Since current profit targets were not directly related in a statistical fashion.
Does this mean that you are changing jobs?
No. CTA registration requires one to be discreet.
Whatever I have done in life is kinda at its later stages. So setting up a business for the kids, CTA business, plus various funds(hedge funds). I'm 45, and have 20 year timeline for research/establishing funds. Most of the research is already done. I'm looking to learn VBA/Excel. Also after Series #3 get Series #65. Plus take the Wilmott course, plus study the CMT material. The years are going by extremely fast. I have no ego in regards to the future, I see that the only true important thing is what you teach your kids and leave behind for them.
http://www.cqf.com/
https://www.mta.org/cmt/chartered-market-technician/
@Spectre2007 thank you for this detailed answer. That is an impressive overview.
Your welcome, meaning to read Rob Carver's book. He has a journal here also.
It all comes down to numbers, discretionarily trading is okay too, but a semi-automatic approach seems more suitable for me. I like the automatic risk management, and the 'edge' is applied with discretion.
Yes, I have read the book (and his website and journal at ET). Then made my own interpretation of the system in java and am running that live. I guess you have seen my journal with the results I am achieving with it.
..yep. I think your on the correct path. One of keys to trading is a market consolidating or trending. I've seen it referred to as the 'build', scan derivatives that are 'building' / consolidating, wait for the average length of time of consolidation before breakout in that market. It will reduce transaction costs. Instead of predicting a breakout/entering, let the market consolidate for a defined period of time.