why can't I follow my system?

sigh...



Quote from ymtrader:

Jimmy-Jam,

Thank you for your suggestions. I have thought about what you mention, but have not coded it in TS yet. I will look into coding and backtesting this more seriously, I have always thought that if I could let me winners run a bit more, that I could improve this thing.

My system actually has been fully coded and automated using TS's easy-language. But I have found problems in execution and stability through-out the day b/c I cannot monitor TS while I'm at work, and I have a hard time leaving it unattended at home. I tried it for a while, but my system is pretty simple, so it, should be, easy enough for me to just place my trades in a manual manner. The glitches, data connection issues, etc... are just too common to allow TS to run unattended. On the downside: I must enter the trades myself rather than allowing the automation to drive it.

Thx for the feedback!

-chris
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Quote from Ami-Chai:

there are plenty of great sites, i hear that http://www.smartquant.com/ is really good.
you may want to look into it.
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Thanks for the info Ami-Chai,

ymtrader, I was actually going to recommend that you head on over to the Automated Trading section as well, since you've already got the formal ed. and you have experience with automation already (albeit with the not quite ready for prime time TradeStation). You're actually over 80% "there".

I actually plan on taking some programming courses this fall and intensively pursuing the automation process. Once you've got a really robust system that you know works, I think getting it automated is a pretty good way to to go. :D

Best,

Jimmy

P.S. My previous analysis was with two contracts, and factored in slippage and commissions btw.
 
I thought your system was good. You do not need to change any target or stop parameters...

Work on the rank and manage with trade size...keep your system loose as it is now...

Over optimizing and curve fitting is not the answer...

The looser the better as going forward in time will test the extremes...so it is far better to RANK the set ups...and just take the peanut butter and jelly out of the middle.

You can also think like this:

You are a surfer riding the wave and while in the curl you stick your hand out and scratch the wave. you are not looking for tops and bottoms, other than the girls in their bikinis. Enjoy the ride and get what you can...there are a lot of girls

Michael B.

P.S. A good trader can execute your system and outperform automation. You are not scalping or Arbing. And never leave automation unattended if you respect money.

P.S.S. There is so much money out there for you to take with many singles...stay away from the home runs...I know because of the very nature of your system.


Quote from ymtrader:

Why the sigh, Electric?
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Which is why I haven't really changed it much at all over the last 4 years. I think it's good, too. I do think, sometimes, that I could create a higher w/l ratio, but when ever I try something, my win % decreases, as you'd expect...and the overall system degrades.

I will play around with some of Jimmy's suggestions, though. I always like to tinker! :)
 
Novice traders always like high win loss ratios...with ranked MM you only need 30%.

ym I do not consider you a novice.

if you like to tinker...here : www.linnsoft.com I do not recommend anything that I can not stand behind...William and Chad are the Doctors of analysis.

i gotta run now, i am getting near an exit in my system..

Michael B.


Quote from ymtrader:

Which is why I haven't really changed it much at all over the last 4 years. I think it's good, too. I do think, sometimes, that I could create a higher w/l ratio, but when ever I try something, my win % decreases, as you'd expect...and the overall system degrades.

I will play around with some of Jimmy's suggestions, though. I always like to tinker! :)
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Quote from ElectricSavant:

I have done extensive research with money management and have concluded...that Kelly...FRM....OptimalF...and various martingale strategies applied to strings or not...DO NOT WORK

Unless....


You rank your trade set ups as to their probabilities and then apply MM accordingly.

I have my own proprietary methods and I can assure you that there are a few (just a few) other traders that might agree with me and there are far more that disagree with me.

I cannot argue with you as I am unwillingly to share my work with you.

Michael B.

P.s. markets are random except for the trends...the length of the trends are random..The market is always trending in some time frame...
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***
There goes your backtest right there.

Option 1: System as is.
Option 2: Get 2 (or maybe 3) really good rankings (Rank 1=Good Trade, Rank 2=Great Trade, Rank 3=Home Run!). Trade your number of contracts according to the Setups' rank.
Option 3: Splitting the sytem's contracts 1st 1/2 gets 2 pts, the 2nd 1/2 goes for the long ball after breaken stop.
Option 4: Combine the Ranked Money management concept with the Splitting Contracts and see how it pans out.

Try it on trade station (must be good for something), see how it pans out.

Later,

Jimmy
 
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