Deadline June

[Adamus]

Make the system simple.. try a breakout system with a trailing stop (on a 2hr bar). You might get decent results. Your win ratio will be less than 50 pct but that's not material.

Doing that now, with the slight difference that I'm using limit orders to get filled on retracements. Well, not retracements as much as heads or tails of candles jutting back against the trend.

 

[meanreversion]

That's not a breakout system! Forget retracements, just look for a move outside of a bar or a band of some sort. Make it V simple.

 

[Adamus]

You're probably right, I don't know what the TA lot call it, and I guess it's not a break-out system. I'll save that for later.

What I'm working on at the moment is an attempt to get in on an underlying trend using a limit order below the market for long trends to gain a few ticks compared to catching the break-out, and to minimise the slippage compared to the stop.

I'm looking for filters that let me place entry orders when the trend might not be powered ahead, but is likely to do so at some point soon.

It's simple enough. I'm buying at the bottom of the channel of an upward trend rather than at the top. I guess the flipside is that it's not such a high probability trade, so the parabolic trailing stop quickly takes the trade out if there's no movement. Also there's the danger that the trend disappears and it breaks out against my position, but so far I think there's potential in the approach.

 

[brettus]

You're probably right, I don't know what the TA lot call it, and I guess it's not a break-out system. I'll save that for later.

What I'm working on at the moment is an attempt to get in on an underlying trend using a limit order below the market for long trends to gain a few ticks compared to catching the break-out, and to minimise the slippage compared to the stop.

I'm looking for filters that let me place entry orders when the trend might not be powered ahead, but is likely to do so at some point soon.

It's simple enough. I'm buying at the bottom of the channel of an upward trend rather than at the top. I guess the flipside is that it's not such a high probability trade, so the parabolic trailing stop quickly takes the trade out if there's no movement. Also there's the danger that the trend disappears and it breaks out against my position, but so far I think there's potential in the approach.

Channels are great and always go with the trend on the channels because if you try and sell at the top of the channel on a uptrend, you may find that the price does come back down to the bottom line of the channel, but price isnt actually lower than you sold it. The best thing about channels is that you know where your stop is. It is disciplined trading.

 

[meanreversion]

You're probably right, I don't know what the TA lot call it, and I guess it's not a break-out system. I'll save that for later.

What I'm working on at the moment is an attempt to get in on an underlying trend using a limit order below the market for long trends to gain a few ticks compared to catching the break-out, and to minimise the slippage compared to the stop.

I'm looking for filters that let me place entry orders when the trend might not be powered ahead, but is likely to do so at some point soon.

It's simple enough. I'm buying at the bottom of the channel of an upward trend rather than at the top. I guess the flipside is that it's not such a high probability trade, so the parabolic trailing stop quickly takes the trade out if there's no movement. Also there's the danger that the trend disappears and it breaks out against my position, but so far I think there's potential in the approach.

I think you're tying yourself in knots here. Try something SIMPLE before you start adding the bells and whistles.

Channels work well, but more from a discretionary viewpoint, when you can draw two lines on a chart and see roughly what's going on. You'll struggle to program this.

Also, if you're waiting for a retracement, you might actually miss the move.

Tushar Chande in his book "Beyond Technical Analysis" has some systems you might want to look at. There's also a book by Richard Weissman which is quite good.

But keep it simple. Once you start adding unnecessary degrees of freedom, you will decrease the robustness of the system. Instead, just add more markets to increase the chances of finding the conditions you want.

 

[Yamato]

Right, I say it all the time. Simple systems, small edge, many markets.

 

[Adamus]

Channels work well, but more from a discretionary viewpoint, when you can draw two lines on a chart and see roughly what's going on. You'll struggle to program this.

Also, if you're waiting for a retracement, you might actually miss the move.

Hey Guys,

you're all queuing up to tell me not to do something I'm not doing.

My system really is as simple as 1,2,3. When the filter allows it, I set a limit below the market to enter longs or above it for shorts. I know I talked about channels, but it's not because I'm programming them or the two lines to define the channel, I just talked about it because how else do you describe the broad path that the price covers on its way up or down a trend?

And it's not retracements I'm after, remember? You told me that

Though I could still miss the move if the limit isn't hit, but I think that's a red herring. If the results are good enough, why worry about what was missed? You'll never get everything. I think it's worth trying this way to see what I can come up with today. I got a long way yesterday.

So what did you think I was doing? Bollinger Bands but buying on the lower SD & selling on the higher? I have tried that actually, but that was EOD stuff - didn't trade it.

By the way, is it worth trying to find Chande or Weissman online? Otherwise I might just nip down to Foyles during the after-lunch inspiration black-out. Hopefully though I can pull something out of the bag before lunch on my current Not-a-retracement,not-a-channel system.

[EDIT: OK, found Chande's book online. Shall give it a good read now]

 

[Adamus]

I must write down these ideas when I have them. I had several ideas to work on this morning and I thought they were so obvious I didn't bother writing them down last night and now they're gone.

What I'm working on right now, I have a filter based on volatility - the MA of the SD of the ATR, one is 21 the other is 34. I thought I want to enter when the volatility is low. Makes sense. High volatility means more likelihood of catching a big loss. So I applied it to the system and the results are totally mixed.

When the 21 bar volatility MA is below the 34 bar, that suggests to me that volatility is low, or at least declining, i.e. the longer term MA is probably on its way down to catch up the fast MA. But if I give the green light to trade, the results are awful. I swapped it around, and trade when the fast MA is above the slow MA and I get great results.

But that is only long trades. For short trades, it's the opposite. But there's no directional component - it's just the MA of the SD of the ATR.

What do you make of that? Use it or lose it? I figure using it one way for long and the other for short would take away twice as many degrees of freedom and push me over the edge into overoptimisation territory.

 

[Adamus]

OK, the volatility filter is crap. Doesn't work on other markets whatsoever. Didn't even bother trying to out-of-sample data.

What I have so far:

(1) Entry mechanism based on filter & limit orders.

(2) Parabolic trailing stop.

I've messed around for long enough on the entries and can't find anything more robust and profitable than what I've got now so I'm going to see if tinkering with the stops can save it from the wastebin.

 

[brettus]

OK, the volatility filter is crap. Doesn't work on other markets whatsoever. Didn't even bother trying to out-of-sample data.

What I have so far:

(1) Entry mechanism based on filter & limit orders.

(2) Parabolic trailing stop.

I've messed around for long enough on the entries and can't find anything more robust and profitable than what I've got now so I'm going to see if tinkering with the stops can save it from the wastebin.

Hi Adam

I read recently that you were talking about rollover charges for overnight positions. Spreadbetting is alot more expensive. Alot of Brokers wont charge much more than the market because it's not competitive. Spreadbetting firms dont have to be competitive mainly because there arent that many of them around. It's alot more attractive because it's tax free and generally better traders use FX brokers because their company is based in the british virgin islands or switzerland. Also many ae oblivious to the huge charges from spreadbetting companies.

 

[Adamus]

Brettus,

thanks for the unbiased and objective post

 

[brettus]

Brettus,

thanks for the unbiased and objective post

I use spreadbetting companies to trade because its tax free.

 

[Adamus]

deadlines lalalalala can't hear you

Trying to construct a sensible exit mechanism.


There are actually a lot more factors to consider when testing exits with random entries than there are for testing entries.

I am not adding transaction costs and for a good exit mechanism I'd like to see a positive profit per trade. I think this is the only statistic from the results which can be used 'as is' to compare exit mechanisms.

If you take an exit mechanism having a stop loss, then the stop loss is primary concern as far as I can tell, no matter what else the exit mechanism does. On the one hand, a very tight stop loss is going to get hit > 50% of the time. I guess there's an indicator waiting to be defined there, how likely is the stop 1 tick below the market likely to get hit.

On the other hand, there's a stop infinitely far from the market or no stop, which never gets hit and leads to the account being blown out, if there are no other exit mechanisms than that and a target.

So optimising a stop loss based on how often it is hit would lead to infinitely large stops as optimal. How often it is hit is shown by the percentage profitable trades. I guess I'll have to bear with % profitable trades dropping right down then.

 

[meanreversion]

When do you envisage going live with your system? Maybe you should rename the thread?

 

[Adamus]

I'm going to put one system live this week - tonight even. It's one system on one market and it's not enough to live off, but it marks the start. Once I've nailed a couple of other decent systems I shall be more comfortable. I also intend to do some discretionary day trading on the Euro/USD forex or the future.

I should rename the thread but it's not a feature available on this forum.

Perhaps I can just redefine my deadline. My deadline can be to have got to the point by June 2011 where I am making enough to cover living expenses and I am increasing my capital. I fully expect to post zero profits for the 2010/2011 tax year.

 

[timsk]

Perhaps I can just redefine my deadline. My deadline can be to have got to the point by June 2011 where I am making enough to cover living expenses and I am increasing my capital. I fully expect to post zero profits for the 2010/2011 tax year.

Hi Adamus,
Your honesty and candor is refreshing. The fact that the June (2010) deadline has been and gone is nothing to be embarrassed about. A weaker personality (like me) would have started trading live in June - even if I wasn't ready to - just to prevent a loss of face. As it is, I think you demonstrate a rare strength of character by not giving in to this temptation and/or, alternatively, giving up on the thread and T2W altogether. So, good on you! If you want, I can rename the thread for you. However, I don't advise it because it will confuse those currently subscribed to it and, to my puritanical way of thinking, it's mildly intellectually dishonest. So, please stick with it, I and other T2W members will respect you for it and be rooting for your success. For the record, I rep'd meanreversion's post because, after a Sunday lunchtime drink (or two!), it struck me as amusing although, for the reasons given, I don't actually support the sentiment.

Tim.

 

[montmorencyt2w]

When do you envisage going live with your system? Maybe you should rename the thread?

George Orwell had the same problem when he wrote "1984".

EDIT: You must have an iron constitution Tim.
If I have a drink or two at lunchtime, I'm asleep by now!

 

[Adamus]

It's a business. There are many ways of keeping your ego under control and I'm quite good at that. Sometimes I can take it too far to the point where I realise I should perhaps pay more attention to the social norms, manners and graces of everyday life. But here I do actually get something out of T2W, and it seems there can only be danger in trying to fake stuff.

Actually come to think of it, it was exactly because of the potential peer group pressure that I started this journal with the hope that it would give me more incentive to keep on the straight and narrow and not deviate from the plan to do whatever was necessary to start trading.

It just goes to show that even the peer group pressure and having failed in front of an audience was not enough to get to me do what I have to do. But really just because I blew out the deadline of June I dont feel like I've failed at so much. I got 90% of the way there and it's not as if my goals have suddenly evaporated.

 

[meanreversion]

I'm going to put one system live this week - tonight even. It's one system on one market and it's not enough to live off, but it marks the start. Once I've nailed a couple of other decent systems I shall be more comfortable. I also intend to do some discretionary day trading on the Euro/USD forex or the future.

I should rename the thread but it's not a feature available on this forum.

Perhaps I can just redefine my deadline. My deadline can be to have got to the point by June 2011 where I am making enough to cover living expenses and I am increasing my capital. I fully expect to post zero profits for the 2010/2011 tax year.

I wish you all the best. Don't take this the wrong way, but you can be a little "sesquipedalian" and I was wondering when you were going to bite the bullet and switch the thing on!

The thing is, you could spend ten years trying to perfect something and then find out something you didn't anticipate on day 1 of live trading.

I'm in the middle of coding up an automated sytem myself. I have the strategy, now it's just a case of learning how Amibroker interfaces with Interactive Brokers.

As an aside, I'm thinking of running my trading applications on a PC I have at home, which I'll then remote control from my trading office. That way, I'll be able to leave it running overnight. I'm sure I'll encounter issues with this, but I'll see how I get on.

 

[Adamus]

I wish you all the best. Don't take this the wrong way, but you can be a little "sesquipedalian" and I was wondering when you were going to bite the bullet and switch the thing on!

Sesquipedalian? You utter *******! How dare you call me something I have to look up!

I hope you have more luck with Amibroker than I have with NinjaTrader. NinjaTrader and IB is not a good mix. NinjaTrader doesn't know how to handle IB's data provider throttling - after a specific number or quantity of data requests, IB throws an error and blocks requests for 5 mins and NinjaTrader is always making data requests. It's enough to make me seriously consider getting a dedicated data provider.