System Development with acrary

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Quote from bulat:

Sorry if this is off topic, but might I ask what you consider to be better than neural networks?

-bulat
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I was referring to the process of mining the data. I had been using the nets to find dependencies. I just came up with a better process of doing it that saved lots of time. Didn't mean to imply that I found something better than nets.
 
Quote from virgin:

Acrary,



When you would add a non-correlated instrument to your

project, like the EUR/USD since the correlation between the

S&P and the EUR/USD is only .11 (+or - I don't remember),

you would do the same research on that instrument and

probably you will also have the best modified sharpe ratio

when you make a combination of the 3 models.


And then look for the optimal weighting between (1&2&3 -S&P)

and (1&2&3 - EUR/USD).

I am pretty sure you will find an even better sharpe ratio.


It's easier to find a non-correlated instrument than a fourth

model.. just a thought
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I would add other non-correlated instruments if I could do 5-10 trades per-month in the instrument and it improved the sharpe ratio. To be honest I haven't spent much time looking for high frequency trading ideas outside of the SP market. I spent some time looking for longer term trading methods and found plenty that were profitable.

From my perspective I'm nearing the end of my trading career. I don't see myself creating any new massive development projects in the rest of my life. I thought I'd share a little of what I learned along the way and maybe others will want to pick it up and run with it. If you have a single model maybe you'd like to share the markets you trade with it that aren't correlated and give us some idea of the modified sharpe ratio you've obtained. If you have the equity streams in weekly, quarterly, or whatever I'd be happy to run them through my program to spit out the optimal balance for you.
 
Quote from acrary:

If you've learned this and forgotten it, then no doubt you've replaced it with something better. Please contribute anything you're willing to divulge that goes beyond the material. Obviously you're more advanced than me and I would be grateful to any clues as to what additional direction(s) I should be checking out. Also, if you've seen this stuff in any book, please let us know the name of the book. I know I would love to read about it from another's perspective.
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Thanks for answering my questions. As far as reading this stuff in a book, I don't read that many books....Tushar Chande wrote a book several years ago, I think called Beyond Technical Analysis, which alluded to developing a portfolio of systems to trade in different markets. Similarly, he used a rolling period of comparisons to evaluate system/market performance. I didn't read the book.

My own efforts were based on variations of a single theme, geared toward equities and the performance of the market when tested against the theme and it's variations. I don't have the work on this computer but in the due course of the next week or so will look at it all again with the thought of contributing something. Thanks for the invite.
 
acrary, I came back to ET after a few months and noticed this thread.

I remember several interesting posts of yours at Chuck LeBeau's forum a few years ago. So I have a general idea about your work.

But I think it'd be better if you talked a bit about what type of behaviour you're looking for (breakout, reversal, buy-the-dip, extreme sentiment, exhaustion etc).

And approx timeframe, i.e. day, swing, position trades.
 
Quote from acrary:

I was referring to the process of mining the data. I had been using the nets to find dependencies. I just came up with a better process of doing it that saved lots of time. Didn't mean to imply that I found something better than nets.
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If you could describe this process at some point, I am sure that many of us would be very interested and grateful for the contribution.

I've also used neural nets to mine data in the past, and have found them to be insanely time consuming. Any way to achieve the good result with less time, would be incredibly helpful.

Thanks,
bulat
 
Systems or methods to harvest a certain set of conditions in market behavior every time they arise have always attracted research and adherents. Probably it is the most popular hope or approach by players.

However I take a whole approach. I want to go first to the most profitable market. There I want to optimize (and then maximize) the means to remove all the profit offered by that market (stake multiplied by market moves) and as well I want to do that on a whole market day, day on day basis. I pursue that approach from the outset. Time is finite in any day and for my lifetime. So I must arrive each day with the biggest possible shovel.

What should anyone do if they want to also follow that approach? Firstly consider implementing the paragraph above. Then what next? Very very short answer: recognize market behavior as a zero sum game in which you monetise the gyrations.

I do not do weekly or monthly plays. It means I'm very risk averse. It would also be a diversion. I don't want to divert if day on day I'm taking away the optimum (or maximum).

As always horses for courses and each to his own. And it is Acrary's thread to offer his benefits.
 
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