System Building and some potent thoughts

I don't want to spark yet another argument about whether or not "system" is equated with "mechanical", but most if not all of these problems regarding singles and doubles vs home runs can be taken care of through multiple contracts or share lots.

In other words, it's not necessary to make a choice between letting profits run and cutting profits short. For example, one ctx can be pulled at the first profit target and the second left at breakeven.
 
Hmm ... you're right that's probably what he means. I didn't see it at first because it's not the usual way to express things operationnaly: when he says "evenly" what does it mean operationnaly ? When one say "evenly" one refers to randomness but "randomness" is not more operational than "evenly". In fact it is not me that says that it is Walter Shewart the father of Statistical Process Control who has thought about the operational definition of this word. He excluded the fuzzy term random and replaced it with the term "under state control" and he defines it with a physical operation. I won't extend because I could write pages and pages :D

Quote from Mr Subliminal:



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Quote from harrytrader:

Average is of course important but associated with average I think he forgot or it is not listed the variance wich defines the consistency of the average.
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Harry, I think variance is covered by the following 2 quotes :

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to build a robust trading system that is likely to continue to perform in the future, make sure that ... the gross profit and the gross loss are evenly distributed through time and in relation to each other.
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Translated into trading terms, for a system to be both as robust and as profitable as possible, you should strive to make each trade as similar to all other trades as possible, EVEN if it means that you have to cut your profits short every now and then.
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More...
 
Quote from dbphoenix:

I don't want to spark yet another argument about whether or not "system" is equated with "mechanical", but most if not all of these problems regarding singles and doubles vs home runs can be taken care of through multiple contracts or share lots.

In other words, it's not necessary to make a choice between letting profits run and cutting profits short. For example, one ctx can be pulled at the first profit target and the second left at breakeven.
More...

Db-

yeah, I don't want to get involved either. Sounds like it has been a topic on this board. However, I think we are in agreement, that
is to say that all mechanics are systems, but not all "systems" are mechanics.

I consider what I'm trading as more of a toolkit that resembles a
set system where you'd take all the signals regardless.
This toolkit has currently six entry setups, and multiple reasons
to exit. However, my current version of the rules has me exiting
on mainly one indicator that seems to be doing quite well in this market.

Also, I am currently doing as you stated, with respect to the multiple contract trading. It is not reflected in the spreadsheet on that particular index, however, I find entering with say two, exit on one at the first sign of "trouble", then hold the other with the longer-term indicator or what-have you works quite well if your
entries are consistently "good"


-momo
 
Quote from momotrdr:

The Profit Factor:
....to build a robust trading system that is likely to continue to perform in the future, make sure that the underlying logic is sound and Simple,
that the trading rules are as simple and as few as possible...
More...

i think simple wins out in the end for most traders. the fewer parameters the better. unfortunately, there's always a catch. when we design things that are 'simple', we are actually modeling the market as a rigid structure. this means that the market (being NOT a rigid structure) tends to break down the 'simple' system from time to time. well, the catch is that most traders abandon the 'simple' system because of this. they see how 'stupid' the system is during these times and go in search for another 'simple' (or more complex) system.

find a system that has very few parameters, and that has a good expectancy, and stick with it. learn how to lose (that is, trade your signals and don't intervene!) when the market goes out of sync with the 'simple' system.

now, of course there are those trader gods who can adapt as the market changes, but i'm not gonna go there :) for most of us mortals, this will be the road to success.

great stuff momo...thanks!
 
Quote from funky:



i think simple wins out in the end for most traders. the fewer parameters the better. unfortunately, there's always a catch. when we design things that are 'simple', we are actually modeling the market as a rigid structure. this means that the market (being NOT a rigid structure) tends to break down the 'simple' system from time to time. well, the catch is that most traders abandon the 'simple' system because of this. they see how 'stupid' the system is during these times and go in search for another 'simple' (or more complex) system.

find a system that has very few parameters, and that has a good expectancy, and stick with it. learn how to lose (that is, trade your signals and don't intervene!) when the market goes out of sync with the 'simple' system.

now, of course there are those trader gods who can adapt as the market changes, but i'm not gonna go there :) for most of us mortals, this will be the road to success.

great stuff momo...thanks!
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Very well said indeed! :)
 
Quote from momotrdr:



Db-

yeah, I don't want to get involved either. Sounds like it has been a topic on this board. However, I think we are in agreement, that
is to say that all mechanics are systems, but not all "systems" are mechanics.

I consider what I'm trading as more of a toolkit that resembles a
set system where you'd take all the signals regardless.
This toolkit has currently six entry setups, and multiple reasons
to exit. However, my current version of the rules has me exiting
on mainly one indicator that seems to be doing quite well in this market.

Also, I am currently doing as you stated, with respect to the multiple contract trading. It is not reflected in the spreadsheet on that particular index, however, I find entering with say two, exit on one at the first sign of "trouble", then hold the other with the longer-term indicator or what-have you works quite well if your
entries are consistently "good"


-momo
More...

I enjoyed your two posts. I especially like how you demonstrated "market operating point migration". It is apparent from the way the set ups come and go, but are used repeatedly during some parts of the day. An orderly transition.

It's probably clear to you also that people should learn to trade by restraining themselves to only trades and market situations that they understand. Filling in the whole picture, necessarily comes much later when skills are developed and capital becomes available.
 
Quote from momotrdr:



.

IHere is an example of how I traded yesterdays market. A few nice ones that really ran hard. But mostly really small gains per trade. they just add up.


best-

momo
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Thanks for a great tread ,
Would you , please, post this for today also ? I am just venturing into trading QQQ and looking over your shoulder is helping me tremendously .
Thanks,
Walter
 
Quote from Walther:

Thanks for a great tread ,
Would you , please, post this for today also ? I am just venturing into trading QQQ and looking over your shoulder is helping me tremendously .
Thanks,
Walter
More...

Hi Walter-

I used to trade the QQQ a while back as well. I tried working my own small equity account while transacting trades for the clients
in the futures with a similar system to the one I'm running now. Couldn't quite get it to a point of profitability that I was happy with. (aka.. I kept losing money daily)

With comms. in the futures being what they are nowadays, IMHO, it is a better vehicle to trade 1-contract on while getting
"the hang" of things. The Futures Indexes respond well to technical analysis.

I'm No Guru or profess to be anything other than a student
of the market, for that matter specifically the Nasdaq. So, I don't
want to sound like I'm giving advice, just my observation.

As for today. I left a *uck'ing ton of cash on the table today. The move up for me was harder to hold onto. Working within the context of overbought and oversold conditions has its limitation has noted by today's summary of trades on the long side. Although, I was able to realize gains in the later part of the trading day, arguably it should have been considered a stopping point for the day in this particular account once Break-Even in point value had been obtained midway through the day.

However, a key point of today, which has been a point to ponder for the Nasdaq is the steadily increasing velocity of this market.
If this continues to increase, or at the very least maintain these
levels it will be IMO, a favorable market to daytrade.


-momo
 

Attachments

Thanks momo,,
I trade futures( Bonds ) but some friends are asking me to develop trading method for qqq . You are doing really good so it is a great help to me when I can see what you are doing .
How do you feel about doing journal ? Not necessarily here though .
Thanks,
Walter
 
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