Would you trade this system?

LongShot · Dec 16, 2003

if you wont post code we dont care why should we :-/

ps i wish baron would ban all annoying lame animated gif's

stock777 · Dec 16, 2003

You have found the Holy of Holy Grails.

Congrats.

Make sure to tithe 10% of the millions to some needs charity. Maybe some of the Prop shops that are folding could use a hand.

ig0r · Dec 16, 2003

Funky, mind if I make a guess at the system? Are you using a longer term version of your indicator to find the trend and a shorter term version (when it turns up/crosses/whatever) for the entries in the direction of a longer term?

oddiduro · Dec 16, 2003

Quote from funky:

i feel scared that i have come across this system...i feel like its somehow going to breakdown in the future...i had nightmares last night!

anywhoo, i think i'm going to get TradeStation and backtest it further than 6 months, but so far so good. this thing is completely automated (all the signals are traded at the closing prices of bars), so i'm wavering on the idea of whether to automate it or not (because i think i might be able to get better fills if i were to trade it manually).

i'll post the longer term results here in the future. btw, i have run this on a large set of markets and they all work, just in varying degrees. KLAC & AMZN seem to be the most efficient vehicles for this system.

i feel like a kid on christmas day right now....

Backtest it though 5 years, or 5000 trades, then eliminate years or trades that are outliers, and see what you have left.

Regards
Oddi

funky · Dec 16, 2003

Quote from oddiduro:

Backtest it though 5 years, or 5000 trades, then eliminate years or trades that are outliers, and see what you have left.

Regards
Oddi

thanks oddi...i am currently setting up TS for just that. i went through manually on a smaller timeframe today for entries/exits and did much better than my results.

i am going to go through the markets that this fell apart on, and do the same thing -- possibly will tell me what things need to be looked at. it might just be the parameters.

i definitely agree that 6 months is just not enough to feel comfortable with.

funky · Dec 16, 2003

Quote from stock777:

You have found the Holy of Holy Grails.

Congrats.

Make sure to tithe 10% of the millions to some needs charity. Maybe some of the Prop shops that are folding could use a hand.

well thanks for the humor, but i think i have alot of work ahead of me

this doesn't work for all markets (i haven't found out why yet -- need alot more research), and the majority of markets don't have these great of equity curves -- i have just posted the best i have found so far.

funky · Dec 16, 2003

Quote from ig0r:

Funky, mind if I make a guess at the system? Are you using a longer term version of your indicator to find the trend and a shorter term version (when it turns up/crosses/whatever) for the entries in the direction of a longer term?

no.

and if i told you, well, you know.

:eek:

Ron In-a-sauna · Dec 16, 2003

im sure somebody already said, but you can do much better $40 roundtrip trading 2k lots...

funky · Dec 17, 2003

Quote from Ron In-a-sauna:

im sure somebody already said, but you can do much better $40 roundtrip trading 2k lots...

true, but i like to backtest everything conservatively...and this system only trades 150-200 times a year. commissions won't be that big of an issue.

Walrus · Dec 18, 2003

I am a graduate student in financial engineering so I have some experience researching and testing financially motivated theories, but I am a *real newbie* when it comes to the trading world. I am curious about platforms allowing for backtesting over long series of historical data. TradeStation was mentioned in this thread as an option for this... are there others or is this the best? I guess if I plan to actually trade on my research I need to stop relying on academic data sources and purchase a data feed + history. Any help would be greatly appreciated.