23 replies to this topic

[ogm]

Soliciting opinions. I know there are people on this board who develop/try to develop automated trading strategies, and know how to read the reports and what to look for.

After some trial and error over a period of time, I finally have what I think is a viable and serious product.
Basically, years of trading experience without need to guess and think and pull triggers when I don't want to, or not at the screen.


The strategy is based on Internals mostly. Advancers, Decliners for both SPX and NYA, A/D volume, VIX. And only one price related indicator. There is some optimization, but not much. Most of the criteria for trading logic are relative comparisons, rather then fixed inputs.
The optimized values produce consistently profitable results with very small variation in Equity curve. Optional profit targets and trailing stops also affect the strategy performance very little.

Yes, I've ran into writing overptimized, curve fitted strategies before, that flatline in the real market. Been there done that, learned from mistakes.


The system is currently undergoing field testing with real money. I'm that confident that it will continue to perform.

Vehicle of choice.. ES 60 min chart. Most broad and responsive to internals index along with Russell.

Report in PDF is here http://futurestradin...es60min-report/

Even the most negative opinions welcome.

[orange]

Did you test your system on an out-of-sample set of data?

[ogm]

Did you test your system on an out-of-sample set of data?

Yes, I did.

Unfortunattely tradestation doesn't have internals data before 2007, or I'd test more.

Its undergoing the ultimate out of sample test right now ... the live market... can't get more out of sample then this circus:)

At this moment it is out of position after closing a profitable long trade, and waiting to reenter on a pullback. In the bigger picture this isn't a shortable market. And the strategy barely ever shorts in the uptrend.

Edited by ogm, 18 August 2012 - 07:40 PM.

[Om_Namah_Shivay]

Did you test your system on an out-of-sample set of data?

Yes, I did.

Unfortunattely tradestation doesn't have internals data before 2007, or I'd test more.

Its undergoing the ultimate out of sample test right now ... the live market... can't get more out of sample then this circus:)

At this moment it is out of position after closing a profitable long trade, and waiting to reenter on a pullback. In the bigger picture this isn't a shortable market. And the strategy barely ever shorts in the uptrend.

Looks pretty good, for a combination of strategies. I have myself worked extensively doing strategies for last one year....i wanted one single indicator to be my edge and rest of indicators to support my trading actions of entry and exit. I eventually found something interesting just based on price (one indicator thats it)..tested it on everything possible..stocks, index, currencies, commodities....and voila it works...so now have a tool for life like one who learns cycling never forgets it.
How do I get tradestation (any free download site)...as I do most of my testing on R-source

[NAV]

Being a hardcore systems guy, i can't emphasize enough, the importance of having a trading system. Having said that, i would place no importance on the results of the trading systems as they are highly variable and is a function of the market conditions. Past performance is no guarantee of future returns, as clichéd as it is, is a truism in the trading world. I would place more importance of consistency of the system rather than performance. Consistency is everything in this business. What i would do is test the system in various market conditions like 1) Low volatile uptrends 2) High volatile uptrends 3) Low volatile downtrends 4) High volatile downtrends 5) Low volatile range markets 6) High volatile range markets Well no system can make money or perform equally well in all conditions. Just make sure the money you made in one market condition, is not all given away in another market condition. I have seen so many system developers getting carried away with results they get in a particular market condition as the system is optimized for that type of market - only to later give away all those gains back in another market condition and switch to another system (rinse and repeat). A system which works great in a certain market condition should at least breakeven or perform with minimal drawdown in a another market condition to which it isn't optimized to. In the end, the bitter truth is, no matter what system you trade, there will be setbacks and drawdowns. It's all about emotionally dealing with those situations. Mechanical or otherwise, a trader has to deal with it. My 5 cents...

[CLK]

NAV, Good points. I've tried forcing a system through all those conditions before and it does not work. I think the best method is to be able to determine as quickly as possible when the market has transitioned from one condition to another and switch to a different system more suited to the market change. Low volatility bull moves like now, you can throw out sideways or high volatility divergence systems. Sometimes a trader just has to become an investor to properly trade the market, unless one still wants to trade the 5-15 minute for 3-5 points intraday, I don't have the time for it myself and prefer the 1hr,5hr, daily and weekly.

[NAV]

As for the technical aspects of trading systems, i have experimented on pretty much all kinds of momentum indicators, price based strategies and internals( for about 6 years using Tradestation and Amibroker). For my style of trading (hourly timeframe and less), i did not find much success with internals like A/D line, NYMO, NAMO, Breadth oscillators, VIX, TRIN etc. Too much of conflicts and too many good trades missed because of non-confirmations from them. My success came when i started trading momentum indicators. But trading momentum without due respect to context (or trend) cost me in terms of overall win/loss ratio. Traders-talk helped me a big way in understanding the importance of underlying trend. Watching folks fight the trend in traders-talk was an eye-opener, not to mention i was also a part of that crowd at some point. I then incorporated trend rules in my system using momentum methods. My success rate went higher. But i still missed some great trades because of non-confirmation of trend using my momo indicators. When a high amplitude move occurs and the pivots get wide apart, momo indicators take a lot of time to confirm sharp reversals in trend. There are many other situations where momo indicators fails to confirm trends. Finally to me the holy grail was defining the trend purely using price with my own rules, based on my observation of the price over a decade. Now my definition of trend is based on pure price, Entry trigger is based on one indicator, Stop is based on pure price, Exit is based on pure price. In other words 75% of my system is purely based on price. Only for the entry, i use a indicator based trigger. I am happy with my current system and have now pretty much stopped developing systems and focussing on trading and execution. It took me 8 solid years to settle with a system that i could fully trust and become consistent. It's one of the toughest professions in the world without a question.

Edited by NAV, 19 August 2012 - 12:13 AM.

[donmat]

How about using your automated trading strategy, but you the trader has the final say as to whether the trade is executed. If you get a buy signal and the market has already made a move up then maybe you don't make that trade. If the chart by itself doesn't look right can you improve the performance of the system by picking your trades? Because of the constant monitoring it's really not an automated system anymore but maybe a tool to help your trades. That's what I've been trying lately. I'll find out if it works as well when the volume and volatility return.

[denleo]

Ogm, This looks to be a good product. Contact me directly at hedge1208@yahoo.com Hedge funds might be interested in it. What is the capacity? Denleo

[ogm]

Looks pretty good, for a combination of strategies. I have myself worked extensively doing strategies for last one year....i wanted one single indicator to be my edge and rest of indicators to support my trading actions of entry and exit. I eventually found something interesting just based on price (one indicator thats it)..tested it on everything possible..stocks, index, currencies, commodities....and voila it works...so now have a tool for life like one who learns cycling never forgets it.
How do I get tradestation (any free download site)...as I do most of my testing on R-source

Om_Namah_Shivay,

I agree about the edge.
To get tradestation you need to open an account with them, they won't let you download the platform otherwise. I think its a very powerful platform and I really like it. Been using it for years.