Newbie would appreciate some direction

anony first of I am Canadian as well living in Vancouver,

I would love to help you, to share my knowledge

I would even like to surprise you and impress you

and frankly I can tell you are very smart, you process information quickly and accurately



but you see, you are up against guys like me, ALSO very smart, you are my future competition, you are my enemy

I shall tell you nothing :D
 
someone - great example of a valueless post

OP - from my perspective, you are starting out with one required skill-set for what you are trying to do (build an ATS) - i.e. you have the programming skills.

unfortunately, it sounds like you are lacking the most important skill-set / knowledge which is being able to trade well and consistently profitably.

from what you write, it sounds like your friends do not meet this criteriavery well either? I might be wrong here of course. But even if they are consistently profitable, translating their discretionary thought processes into computer algorithms might prove difficult.

coming up with a concept or idea for a profitable trading system is by far the most difficult part of building an ATS IMO. Comments that you may have read (they are common-place) that any strategy will make money with good money/risk management is pure BS. Coding the idea for auto execution is secondary (although clearly important)

on the upside, you have a head-start on the testing phase as you will be able to code your proto-type ideas faster and better.

in summary - if you have a genuinely profitable strategy that can be reduced, in full, to computer code then, with good coding skills, you are onto a winner. if not, the best coding skills in the world will not help.
 
Quote from CBuster:

bla bla bla
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He already knows all of that, can't you tell he is very smart


what he lacks is proper psychology which is normal, all beginners lack that
 
Quote from CBuster:

someone - great example of a valueless post

OP - from my perspective, you are starting out with one required skill-set for what you are trying to do (build an ATS) - i.e. you have the programming skills.

unfortunately, it sounds like you are lacking the most important skill-set / knowledge which is being able to trade well and consistently profitably.

from what you write, it sounds like your friends do not meet this criteriavery well either? I might be wrong here of course. But even if they are consistently profitable, translating their discretionary thought processes into computer algorithms might prove difficult.

coming up with a concept or idea for a profitable trading system is by far the most difficult part of building an ATS IMO. Comments that you may have read (they are common-place) that any strategy will make money with good money/risk management is pure BS. Coding the idea for auto execution is secondary (although clearly important)

on the upside, you have a head-start on the testing phase as you will be able to code your proto-type ideas faster and better.

in summary - if you have a genuinely profitable strategy that can be reduced, in full, to computer code then, with good coding skills, you are onto a winner. if not, the best coding skills in the world will not help.
More...
Thanks for your post. I think you've summarized my situation quite well. I just hope there's such a thing as "a genuinely profitable strategy that can be reduced, in full, to computer code." That's the million dollar question.
 
Quote from anonymous:

Thanks for your post. I think you've summarized my situation quite well. I just hope there's such a thing as "a genuinely profitable strategy that can be reduced, in full, to computer code." That's the million dollar question.
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don't worry, there is. unfortunately it could take you anywhere from a month (if you are lucky) to 10+ years to find one depending on a few things.

it took me approx 1.5 years full-time to refine something decent and consistent. sure that will come to an end at some point so i now spend all my time working on the next ideas....

guess it boils down to your risk tolerance and time value. I gave up my job and went full-time without anything concrete to work with. i had no major financial commitments and a decent balance in the bank so could take the risk. if you have a family / mortgage / little savings / etc then your decision may be different.

good luck
 
<i>"If I optimize my system on the last 8 weeks of data once a week, if it exists I will choose the set that has at least 300 pips of profit a month and a drawdown (calculate how you want) of less than 24%. If there are multiple input sets that meet those criteria, I will choose the best one by weighting the smallest stop loss at 40%, the highest profit at 20%, and the lowest drawdown at 40%. I will then run those numbers for the next week.

Then down the road I might add the fact that using 8 weeks of data isn't always best. If the market trends change suddenly, then I need to reevaluate my inputs.

As you can tell, this is quite a lot of work. If it makes me good money, then it's 100% worth it. I just don't want to spin my wheels on it if my plans are based upon fundamentally flawed presuppositions."</i>

What you described above is the process of short-term optimization. If indeed any financial market (FX or otherwise) remained static in behavior like that, all of the traders before you would by now be fully mechanical and totally freakin' rich.

Unfortunately, real life and markets don't work that way. Pick any period of time with optimized results, and it will never walk forward consistently. The whole idea of a system is creating a broad enough curve to profit from some portion of market behavior to a greater degree than cumulative losses from another.

Said another way, you are discovering the best ways to play football in an outdoor stadium with a foot of snow, sub-zero temps and gale force winds. Take that gameplan to the next football game which is played inside in a dome on dry turf. Take the next optimized gameplan for that new situation to an outdoor stadium in south Florida with 80F degree humidity and intermittent downpour rainstorms.

It's all football, right? Those three games are all played with 22 men on the field and one ball. Why won't the same gameplan (system) work in every situation?

You have barely scratched the surface on systems trading. There are many, many rabbit trails to follow down. Where you've begun is where everyone begins... and where most aspiring system writers quit. Knowledge of computer coding is terrific. Now you need some knowledge of financial market behavior in order to succeed. Pure computing prowess and total market ignorance will not result in a robust, long-term profitable system.
 
Quote from CBuster:

don't worry, there is. unfortunately it could take you anywhere from a month (if you are lucky) to 10+ years to find one depending on a few things.

it took me approx 1.5 years full-time to refine something decent and consistent. sure that will come to an end at some point so i now spend all my time working on the next ideas....

guess it boils down to your risk tolerance and time value. I gave up my job and went full-time without anything concrete to work with. i had no major financial commitments and a decent balance in the bank so could take the risk. if you have a family / mortgage / little savings / etc then your decision may be different.

good luck
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I was hoping to hear someone say something like that. I appreciate you being willing to share this information, and I'll choose to believe it :)

I think one impediment to many peoples' success in an endeavour such as this is that they believe it to be "easy". When it gets "hard", they give up. If anything, I see this as a positive as it makes me feel less like it's too good to be true. I just don't want to spend a bunch of time on something when there's close to a mathemetical impossibility that I'll be successful. I can gain experience, develop a better trading psychology if neccessary, and pick up other skills, but if my fundamental assumptions are wrong then I might as well be trying to grow wings and fly to the moon. Everyone knows that's a waste of effort as my wings would not work up in the ionosphere.
 
Quote from austinp:

You have barely scratched the surface on systems trading. There are many, many rabbit trails to follow down. Where you've begun is where everyone begins... and where most aspiring system writers quit. Knowledge of computer coding is terrific. Now you need some knowledge of financial market behavior in order to succeed. Pure computing prowess and total market ignorance will not result in a robust, long-term profitable system.
More...
OK, fair enough. Do you have any suggestions on what I might do next to pick up the knowledge and wisdom I need next to be successful with this? I'm trying to do my best to learn from others' successes and mistakes, and to be as efficient as I can with what is basically picking up a second career.

Thanks,
- Andrew.
 
Quote from anonymous:

I was hoping to hear someone say something like that. I appreciate you being willing to share this information, and I'll choose to believe it :)

I think one impediment to many peoples' success in an endeavour such as this is that they believe it to be "easy". When it gets "hard", they give up. If anything, I see this as a positive as it makes me feel less like it's too good to be true. I just don't want to spend a bunch of time on something when there's close to a mathemetical impossibility that I'll be successful. I can gain experience, develop a better trading psychology if neccessary, and pick up other skills, but if my fundamental assumptions are wrong then I might as well be trying to grow wings and fly to the moon. Everyone knows that's a waste of effort as my wings would not work up in the ionosphere.
More...

you have a good attitude - similar to how i thought when i started out.

but you really had better believe how hard it is to make it (which, btw, i do not think i have yet). i can tell you from experience that, even if you're expecting it, working for a year or more of long hours and having little or nothing tangible to show for it is f'ing depressing. everything austinp say is true (IMO).

and thanks for believing me - lol. i would take everything you read on these boards with a pinch of salt as the majority of posters are wannabes or bitter failed traders mixed with a few quality traders and posters. from what i have read, austinp is one of the good guys....
 
<i>"OK, fair enough. Do you have any suggestions on what I might do next to pick up the knowledge and wisdom I need next to be successful with this? I'm trying to do my best to learn from others' successes and mistakes, and to be as efficient as I can with what is basically picking up a second career."</i>

Excellent question, not really one good umbrella answer. I'll say it this way: most systems are written by traders who already have a profitable edge identified. From there they meld it into language a computer can understand and not negate the edge due to discretionary factors.

That's the really hard part, imo.

If you are focusing on FX trading alone, I would suggest working with strategies based on volatility breakout approach. Spend your time back-testing data on periods of time in the past, optimize that data and then apply it to the last two years or so. Walked forward, virtually.

Do not always pick the most optimal settings... select your criteria from the middle of a positive curve of settings. In other words, a total outlier will always be the best performing dataset from any test. But that's a siren song. You need to find the fattest curve of acceptable data results to work with... i.e. smoothest curve of performance.

I have written volatility breakout systems for GBPUSD (best pair) and EURJPY, EURUSD that are all profitable and robust thru the past four years untouched. Sometimes they have monstrously profitable months. Sometimes they have very painful months. Overall they are solid performers if given time, enough capital and free rein to run.

One last suggestion: create a family of systems with somewhat different parameters for different symbol pairs. Run them as a basket, spread your capital across two to four semi-correlated systems. That should result in the smoothest overall performance curve possible.

It may take you years to get where you want to be in system building. Not an easy path, but there are no easy paths in our profession. That's why the reward at end is unlimited... journey is hard but the reward is infinite potential.
 
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