my mechanical system

Quote from pneuma:

I trade about 7 mechanical systems. I have a "main account" with which trades 4 systems with uncorrelated performance metrics using significant leverage. I find that multiple systems designed for different market conditions work the best when working together.
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pneuma,

I have a couple or so questions, if you wouldn't mind:
1) What software are you using for your automation?
2) I assume you trade futures as you are using leverage? Or perhaps CFD (since you're in Australia)?
3) I'm also an Aussie (living in the US); what city are you located in?

Richard
 
The systems we stolen, begged, plagarised, borrowed, read about ... you get the picture. Look the more you research and chat and learn the more you can do. Go to a seminar, go home and code your new info, then develop the system. If it works great, if not who cares, toss it.

TFL - trend following long

Dip buy systems buy when the ticker drops outside it's normal trading range and sells when the ticker recovers - short term stuff (2-3 days).

I don't know what QQQQ or SPY are.

I use Wealth-Lab, but Amibroker is good too, with EOD data. I use stop and limit orders that sit in the market until the turn into market orders. My brokers platform allows me to do this.

I mainly trade CFD's, not available in the States and ordinary shares. No options, futures or Forex.

pneuma
 
Quote from pneuma:

The systems we stolen, begged, plagarised, borrowed, read about ... you get the picture. Look the more you research and chat and learn the more you can do. Go to a seminar, go home and code your new info, then develop the system. If it works great, if not who cares, toss it.

TFL - trend following long

Dip buy systems buy when the ticker drops outside it's normal trading range and sells when the ticker recovers - short term stuff (2-3 days).

I don't know what QQQQ or SPY are.




Thanks,
QQQQ is a trading twin to Nasdaq, SPY tro S&P 500.
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Quote from robottrader:

Welcome your comments.
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You haven't addressed the questions asked of you, but I am going to assume that your system (1) is based on EOD data, and (2) buys pullbacks.

If this is the case, then I hate to dash your hopes, but you may have a big problem with data.

In my experience with EOD data, which is pretty extensive, the daily lows are sometimes NOT what was actually printed intraday. Bad prints are logged as the daily lows, when indeed they were not. So your system would show a profitable trade, when a trade would not have occured at all.

This happens often enough that it can really skew your results over a periods of months/years.

So going forward in trading, be careful and watch for daily misprints.
 
When i create a strategy i turn my mind in a 3D diagramma of opt parametrs and measure the value of robustness for me...I do this for profit and DD...and after that i start study a perfomance/
 
Quote from pneuma:

I trade about 7 mechanical systems. I have a "main account" with which trades 4 systems with uncorrelated performance metrics using significant leverage. I find that multiple systems designed for different market conditions work the best when working together.

I have other accounts which i trade a couple of trend following long systems - more of a TA based active investing approach.

Humm, what can i say. I trade mechanical systems because my computer generates the signals nightly and i can do other things during the day. I use automated intraday entries and exits. I can't think of anything worse than day trading.

You should expect to loose more than your expect so, imagine triple your historical max DD; and you must engage the market like a clinical psychopath - without emotion. DO NOT 'CARE' about you trading - focus on the important things like what wine to have with dinner, family etc



It really depends on the system. I have TFL systems with a win:loss of 35%, but they make heaps of cash. I have Dip-Buy systems with a win:loss of 80% that make heaps of cash.

I look something that's really fkn simple (idiot proof) with a good to very good Sharpe ratio (>1.25); enough profit to make it worthwhile; a straight closed equity curve; an Average Annual Return:Max DD >5; and expectancy >3.

Or something like that. Yep i would trade you system after looking at the code.
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in some way this is the post i've seen in a while on ET.
 
Quote from RhinoTrader:

... If your backtest is not considering de-listed stocks then this increases the chance that historically you would have purchased some stock that is no-longer listed and therefore not in your back-test. Why was it delisted? It might be that it went bancrupt (big loses). This you have considered I'm sure....
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this is sometimes called survivorship bias and it is a true
nightmare. if i recall correctly, including all ticker changes
the SP1500 had 1100 changes in the nineties. these
things are massive problems for backtesting long only
single stock systems. they can easily wipe out the edge
or, seeing it differently, a system can be fit to this very
phenomenon that a database does not contain changes.

i would consider trading a short component against the
long side. even if is on its own not worth doing it could
enhance the robustness big time. in fact most long short
equity players are more or less breakeven on the shorts,
which just balance out the overall market risk.
 
Quote from lindq:

In my experience with EOD data, which is pretty extensive, the daily lows are sometimes NOT what was actually printed intraday. Bad prints are logged as the daily lows, when indeed they were not. So your system would show a profitable trade, when a trade would not have occured at all.

This happens often enough that it can really skew your results over a periods of months/years.

So going forward in trading, be careful and watch for daily misprints. [/B]
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agree that EOD sometimes are not reliable. In the past 6 months, I encountered at least twice. But it doesn't affect my system much, at least not in that period of time.
 
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