System Development with acrary

funky · Jun 4, 2004

Quote from acrary:

I developed the edge test to see the deterioration coming and stop trading against a model before it started to lose money.

what kinds of things do you look for in determining when a system is decaying? thx
-funky

abogdan · Jun 4, 2004

Quote from acrary:

This thread is about the process of developing systems/methods and the detail that surrounds them. I've been semi-retired for about three years now. I'm now 48 and the older I get, the less desire I seem to have doing trading related work.

Its funny, I'm also 48 and I also don't want to just trade anymore. I think, to me, the intellectual effort is a lot more satisfying then actual making of a buck trading.
Looking forward to see this thread unfold.
Cheers,

electron · Jun 4, 2004

Quote from acrary:

I've only had one method die a quick death. I attributed that to a book that explained the edge.

Perhaps you could tell us what book you mean so that we could avoid it...

CharlesXT · Jun 4, 2004

Quote from acrary:

I went back and looked at the program to see exactly how it works. What I'm doing is loading a table of z scores for all values from .5 to 99.5 in .5 increments. For example, the z score value at 51.0 I'm using is .025. Then the program randomizes both the % win based on the win percentage input and the size based on random from .5% to 99.5% and ranked for outcome, profit factor, and MAX DD. When I created this, I was thinking of a VaR Analysis where you can see the distributions of outcomes and DD on graphs at various levels. I think the proper name for the test is Monte Carlo VaR Analysis if you want to look it up on the net. Sorry for the confusion.

Incredible and fascinating as always. Thanks acrary.

Allan

lindq · Jun 4, 2004

Quote from abogdan:

Its funny, I'm also 48 and I also don't want to just trade anymore. I think, to me, the intellectual effort is a lot more satisfying then actual making of a buck trading.

I'm with you. But the last time I wrote a check to my mortgage company to draw on my "Intellectual Effort", the damn thing bounced. Can't figure why.

abogdan · Jun 4, 2004

Quote from lindq:

I'm with you. But the last time I wrote a check to my mortgage company to draw on my "Intellectual Effort", the damn thing bounced. Can't figure why.

I said "Just Trading" it doesn't mean I don't trade to pay my bills.

Thunderdog · Jun 4, 2004

Acrary,

I gather from this thread that your approach is largely statistically based. If this is indeed the case, may I ask what kind of return on equity your methods generate on balance?

riskreward · Jun 4, 2004

From your posts acrary, I know that you do a lot of work w/ breakouts. I was wondering if you ever looked at the general volatility level of a security and how well breakouts work...
The work I've done shows a strong correlation.

nitro · Jun 4, 2004

Quote from riskreward:

From your posts acrary, I know that you do a lot of work w/ breakouts. I was wondering if you ever looked at the general volatility level of a security and how well breakouts work...
The work I've done shows a strong correlation.

That "correlation" is almost tautologous.

A better question would be persistence of trend _after_ "breakout".

nitro

riskreward · Jun 4, 2004

Maybe I didn't phrase this right... Say I'm looking at a stock ABC. It's statistical volatility is in the 80 to 90th percentile (for two years). I look at daily data for this. When the stock breaks out of a narrow range day, the break seems to be followed by a good trend more than often. When daily volatility shrinks, intraday breakouts seem to crap out a lot more.

This might seem really basic but it has kept me out trouble. I know which stocks and securities are better for breakouts: the most volatile ones.