Paper Trading to find a system

J

j_hall82

Hello all,

I have been trying to figure out a way to either swing trade in periods of 1-3 days, and intraday trade for profit. I only have about 20k to throw around and I am planning on trying to leverage my way to real money in the span of a year or two.

I would like to know what you think of this system of testing. I have built a few spreadsheets so that I can come up with a system that generates buy and sell signals, then select a few stocks, go back a few months and pretend I am trading real-time. I enter the date/time/price of the signal, then the price at which I probably would have been able to buy at, then I enter the high of the period (usually the same day) and the low that was reached before the high. Then I have a table of all the trades I would have made. I go through and filter out all that would not give me a good ratio of losses to wins and then figure out what % I could get out of each trade given my stop loss that would be set according to the lows.

Using this I have found that it is REALLY difficult to find a profitable system. I have tried Stoch, ADM/ADX, RSI, Williams %, volume indicators, time based indicators, moving averages, etc...
I have tweaked their settings every which way, and combined them many different ways but I cant find anything that will be REALLY good. Usually I can figure out a system that will give me .002-.007% on each trade (factoring in the losses it would take to make them) but it will only work for a couple of stocks, etc...

I have searched the internet high and low and cant find any really good strategies that work consistently. I dont know what I am doing wrong. Does someone know of a list/database of good intraday strategies that are explained?

I think there is probably some combination of tech indicators, that when configured with the right intervals etc, should work pretty well... but I am having a really hard time here...

Anyone know where I can get help on this?
it would be GREATLY appreciated!!

Thanks.
 
Clearly I have asked too broad a question or come across as a dumbass. In short, I have read quite a few books and watched and paper traded for years.. now I want to get serious.

I cant find a good list of intraday strategies (setup, entry, ext, etc...) that I can try on and adjust for use.

Anyone know of any? book / website / whatever. I dont really want to pay for a course where someone tells me how moving averages work though.
 
You are doing backtesting the way it was done 30 years ago. You have to first find out what others are doing because you are essentially competing with them in exploiting possible edges.

A couple of years of backtesting is not even remotely enough. For daily data the backtest must span more than ten years. For intraday data you should use tens of thousands of bars.

Also, keep in mind that any conceivable combination of indicators has been already exploited by NNs and data mining programs. There are programs that will generate handreds of profitable systems, historically of course, in a few hours or days, by mining data. Many traders use them and this speeds up development time exponentially.

Good luck.
 
Ah I see... that's interesting. I have not spent much time learning about NN or data mining, but that is a good direction. Thanks for the input.

I read some about NN on websites in the past but I actually thought that most of them must be scams. Is there a good way to differentiate between a legit NN / data minding system, or are they just hit-or-miss?

Again, thanks for the input.
 
Quote from j_hall82:

Clearly I have asked too broad a question or come across as a dumbass. In short, I have read quite a few books and watched and paper traded for years.. now I want to get serious.

I cant find a good list of intraday strategies (setup, entry, ext, etc...) that I can try on and adjust for use.

Anyone know of any? book / website / whatever. I dont really want to pay for a course where someone tells me how moving averages work though.
More...



Here are 2 goog websites to point you in the right direction. one is a great blog from don miller, he is very good with trading psychology and the other is a prop firm that is good to listen to and paper trade with their ideas, you should try a 1 month subscription to them or it might even be free for a couple of weeks to to follow....

http://donmillereducation.com/journal/
www.t3live.com
 
Quote from intradaybill:

A couple of years of backtesting is not even remotely enough. For daily data the backtest must span more than ten years. For intraday data you should use tens of thousands of bars.
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Why ten years+? The way the market behaved 10 years ago is not very reflective of this environment or environments in the future. The main cause of this is the explosion in automated systems which has fundamentally changed price action and are not likely to go away.
 
Quote from walterjennings:

Why ten years+? The way the market behaved 10 years ago is not very reflective of this environment or environments in the future. The main cause of this is the explosion in automated systems which has fundamentally changed price action and are not likely to go away.
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Price behavior is price behavior whether that is caused by automated systems, people or robots. My research indicates nothing has changed in the longer timeframes. Intraday yes, you are correct, the dynamics are different and so is the name of the game. But on the EOD data scale, very little has changed. I keep on finding systems that forward test as profitable in the period 2005 - 2010 as they were in the period 1995 - 2005.
 
This is just my opinion, but going back ten years is a detriment given events of the past 24 months.

IMO, only backtest for 2 years. You don't want to include market cycles that emphasize mean reversion and timing over break-out trends and momentum. Again, just me, but I would advise modeling for the market environment at hand - be effective and profitable for the present market realities, build up your capital reserves, and then adapt when the market cycles again. If you account and model for much different acting market cycles, your system will be less effective in the now. In any event, you will have to make adjustments to your trading system when the market warrants it (your Win to Loss ratios will signal a change).

There is no one system that works in all market cycles and conditions. Every veteran trader has tweaked/modified or even started over again from scratch with a trading system. Build your capital reserves up first by being effective in the current environment.
 
you are making this really hard on yourself; indicator trading is one of the hardest things to learn imo, the ones that do it had help from others. Naked price action is my thing, but it takes tons of screentime and reading everything into context, so you'll need several charts up at the same time for the one instrument you're trading. Trading one tf chart is, like one of the biggest traders on ET put it to me last week, like guessing which way the cockroaches are going to crawl after you put the light on. :D
I am not saying indicator tradying can't be done, but it's the same story there: context and several charts at the same time are needed. Don't expect any overnight succes with this advice however, it's the school of hard knocks that will make you wiser.
 
Quote from bone:

.....There is no one system that works in all market cycles and conditions......
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Hmmm...what about S/R?

(Just trying to throw you a bone, dog.):p
 
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