Megamuel's Money Making Journal

[megamuel]

Sam,

Question: does the strategy "make sense"? As in, can you explain why every condition is in there bar "it makes money this way". One of my algos for example, all it does is, defines a range, defines a breakout, defines a pullback, if you breakout of a range and get a pullback enter. There's 1 variable involved (2 if you include the time frame), because that's as simple as I can get it, I could look at whether we're up or down on the day, that might even improve profitability, but as a trader I don't see why it SHOULD improve profitability, so I won't add it.

On the surface it might seem like I'm just missing out, but it means I can be far more comfortable with it. Your curve is fine, so what if you had a down year?

Answer: No. To be honest. What I've done is to create an EA with loads of parameters for bar opens and closes and infinite percentages for stop loss and take profit and optimise it, hoping it would find a profitable system for me. Big fail! Although I am sure there are good systems in there, finding them would be pretty damn hard. Shame I'm to honest to be a systems vendor, loads of people would buy that and find profitable systems, only to see they don't work in live trading!

Not sure which curve you are referring too. The one I posted was a back test, not my actual results. I'm not trading anything yet.

May I ask how you range break-out system is performing? Maybe I could start working on such an idea. What TF do you use?

Sam.

 

[megamuel]

Don't try to invent it all yourself! Plagiarise as many ideas as you can. Take them and adapt them. I have a list of over a hundred potential systems that other people have invented that I need to code up, check out and adapt to my nefarious purposes. We're not all Mozarts. And anyway, I bet the people with the great ideas are rubbish at implementing them.

Good point. Any idea where I can find strategies to plagiarise though?

 

[Adamus]

Good point. Any idea where I can find strategies to plagiarise though?

Just keep your eyes open. People are always talking about system ideas, despite lots of traders saying you should keep your system secret.

e.g. Trading Systems That Work | NeoTicker Blog

I got 48 ideas on my list and that link was just one of them - I have no idea if those systems are any good (let me know if you find out) - I built up the list from reading too many old T2W and EliteTrader threads. BMT.com too.

Plus there are books. Chande, Raschke. Check 'em out.

My plan is to build up a portfolio of systems, preferably not too correlated to each other. Trade them all, on forex and other instruments, with micro lots or small bet sizes. You'll never find one system on its own whose results will satisfy you. That's unless you have massive capital and the guts to do LTTF across 100 markets. In fact you could even do LTTF with small capital but I'm not sure you'll find 100 markets that offer small enough position sizing.

 

[Yamato]

Yes I think I have committed a classic case of over optimisation here. The silly thing is, I bet in all of the 10,000 results that somewhere there will be a system that would actually work consistently on multiple time frames and pairs. But trying to find it would be like searching for a needle in a haystack. Guess I need to refine the idea a bit more. Or maybe scrap it. Or maybe add some filters. I think the concept is too simple. I know people say to keep it simple, but this is really simple. It's just open and close sequences of bars.

Damn, I wish I could just think of a good idea. All my ideas are rubbish. I need a good idea before I get it programmed next time. As I can't code systems myself I have to pay to have it done and I can't waste any more money on rubbish ideas. Not that it's expensive, it's just wasteful.

Thanks for the advice about back testing and optimisation. What platform do you use for testing? I don't think I can change my x and y axis in the way you described. So yes my results do look seismograph-like.

I think the things with trailing stops is that I don't like giving points back. Prefer to have fixed targets. But you are right, I think I should look into using them a bit more. But first, I need a decent idea. Back to the drawing board.

Sam.

Sorry, but I need to point out a big problem I have spotted (cfr. part I highlighted in red font above). I strongly believe you cannot make progress this way. You're going to waste money. The tests needed and the tweaking and the trying and all that are so many that there is no way you will ever do it through a programmer.

You need to learn to use tradestation all by yourself, and work on it as much as needed (hours and days and months and years). Impossible to pay someone else to do it for you. It's as if you were an actor and needed to be dubbed all the time (even in your own language). Like everyone else doing this, especially given your young age, you must go through the process of learning to use tradestation or another program, and therefore learn to "program". Best if you learn vba as well, so you can translate your strategies into excel, in case you cannot do it all directly from tradestation. I sucked at math, but since this was necessary, i learned easylanguage and vba.

 

[Hotch]

Answer: No. To be honest. What I've done is to create an EA with loads of parameters for bar opens and closes and infinite percentages for stop loss and take profit and optimise it, hoping it would find a profitable system for me. Big fail! Although I am sure there are good systems in there, finding them would be pretty damn hard. Shame I'm to honest to be a systems vendor, loads of people would buy that and find profitable systems, only to see they don't work in live trading!

Not sure which curve you are referring too. The one I posted was a back test, not my actual results. I'm not trading anything yet.

May I ask how you range break-out system is performing? Maybe I could start working on such an idea. What TF do you use?

Sam.

I was referring to the backtest, a drawdown in backtesting isn't a biggy IMO.
m15/hourly. As for performance, I'm happy with it.

Some more random advice (on systems as opposed to entry criteria, sure you can figure that out yourself).

I really suggest you just stare at charts until your eyes bleed, you will see the patterns, you will find setups, you will work it out. I guarantee it. What I do not guarantee is that it is the best use of your time. Hell, at minimum wage I've still not broken even.

Remember what you're trying to achieve, (I'm sure you're the same as me: expectancy & frequency), it's natural to look at the highs and lows and try to find ways to enter around these points, as opposed to looking for those places of greatest expectancy. Nobody ever looks to enter in the middle of a move, no idea why.

A backtest for 10 years with 100 trades in it is significantly different to a backtest of 6 months with 10000 trades in it.

I'm sure there's much more I should say, I will try another time, but finally.

If all else fails play with donchian channels, the beauty of them is that IF you decide to take every breakout up and down, you will not miss a move. So that's somewhere to start. There's probably a lesson there, you've immediately set one thing in stone.

P.S. My breakout strategy has nothing to do with donchian channels, don't want to misguide anyone.

 

[intradaybill]

As I can't code systems myself I have to pay to have it done and I can't waste any more money on rubbish ideas. Not that it's expensive, it's just wasteful.

That is a very expensive way of developing systems. I remember once when I started I badly needed to make a change in the code of one of my systems programmed by an assistant and he was out of town.

Get one of the trading system discovery programs that generate the code for you. Development time is reduced by orders of magnitude plus you don't have to deal with programmers. You really need to become independent in this game. Good luck to you. I think you will do well because you are down to earth and determined.

 

[Yamato]

Yes, I agree. You need to be self-sufficient. You can't build such a big enterprise on the foundation of some guy you're paying to code your systems. You would later regret it, for lack of money to pay the guy, lack of reliability of the guy in coding what you need, lack of trust in keeping your secrets.

You can find programming manuals for free on the internet. You can read. It's time to study. Trying to take too many shortcuts would lead you to take a longer route in the end. This is one shortcut you cannot take, and it is not a shortcut.

Unless you take the discretionary route, as an automated trader, you shouldn't even start trading with real money for the first 3 years. And it will save you a lot of money.

 

[Liquid validity]

If you want simple systems, or want to reduce the coding work, Ninja Traders
Strategy wizard is the simplest starting point I am aware of.

Zero C# knowledge is required as its a wysiwyg condition builder.
Ninjas strategy wizard will do 90% of the work achievable with raw C# programming.
Check out some of the videos here (v6 strat wizard same as v7).

Scroll to bottom of page for strategy wizard and condition builder videos:
http://www.ninjatrader.com/support/helpGuides/HelpGuideV6/helpguide.html?VideoLibrary

V7 vids - not as detailed as above v6 videos.
NinjaTrader Version 7

Ninja is free to try:
NinjaTrader stock, futures and forex charting software and online trading platform. Use NinjaTrader Free.

License costs:
NinjaTrader stock, futures and forex charting software and online trading platform. Purchase. Lease.
NinjaTrader stock, futures and forex charting software and online trading platform. Purchase. Own.

 

[intradaybill]

NinjaTrader is good and the strategy wizard works well for simple systems. If you want to do something more advanced you will have to learn C#. I used NT before with APS and now with Price Action Lab because this pattern discovery software can read the NT daily data text format without doing any conversion to them and it also generates pattern code for NT you can copy & paste after you develop the basic code using the wizard. This cuts down system development time and thus cost dramatically after you setup the basic development structure.

 

[megamuel]

Just keep your eyes open. People are always talking about system ideas, despite lots of traders saying you should keep your system secret.

e.g. Trading Systems That Work | NeoTicker Blog

I got 48 ideas on my list and that link was just one of them - I have no idea if those systems are any good (let me know if you find out) - I built up the list from reading too many old T2W and EliteTrader threads. BMT.com too.

Plus there are books. Chande, Raschke. Check 'em out.

My plan is to build up a portfolio of systems, preferably not too correlated to each other. Trade them all, on forex and other instruments, with micro lots or small bet sizes. You'll never find one system on its own whose results will satisfy you. That's unless you have massive capital and the guts to do LTTF across 100 markets. In fact you could even do LTTF with small capital but I'm not sure you'll find 100 markets that offer small enough position sizing.

Thanks for the link. Some interesting ideas there. May be a good starting point. Your plan is the same as mine - to have lots of systems trading small lots rather than one systems trading big size. Having said that I am having trouble creating one good system never mind many! Anyway, thanks again.

Sam.

 

[megamuel]

Sorry, but I need to point out a big problem I have spotted (cfr. part I highlighted in red font above). I strongly believe you cannot make progress this way. You're going to waste money. The tests needed and the tweaking and the trying and all that are so many that there is no way you will ever do it through a programmer.

You need to learn to use tradestation all by yourself, and work on it as much as needed (hours and days and months and years). Impossible to pay someone else to do it for you. It's as if you were an actor and needed to be dubbed all the time (even in your own language). Like everyone else doing this, especially given your young age, you must go through the process of learning to use tradestation or another program, and therefore learn to "program". Best if you learn vba as well, so you can translate your strategies into excel, in case you cannot do it all directly from tradestation. I sucked at math, but since this was necessary, i learned easylanguage and vba.

Good point. But remember you were the one that told me that if I can't do something then find someone that can. Yes paying a programmer is not ideal, although the one I was using was cheap and would make as many changes as I wanted until I was happy. However, I've been in touch with a programmer who I worked with on a previous project and I am hoping that we might be able to start working together again. I've been looking for someone to work with anyway as you know and this guy would be ideal. I will supply the ideas, he will code them up and I will do all the testing. I think I'l be better working with someone anyway as I have a tendency to get very disheartened at times and lack motivation. Someone there to bounce ideas of each other and support each other is just what I need. I am considering learning mql though. Thanks for your post.

Sam.

 

[megamuel]

I was referring to the backtest, a drawdown in backtesting isn't a biggy IMO.
m15/hourly. As for performance, I'm happy with it.

Some more random advice (on systems as opposed to entry criteria, sure you can figure that out yourself).

I really suggest you just stare at charts until your eyes bleed, you will see the patterns, you will find setups, you will work it out. I guarantee it. What I do not guarantee is that it is the best use of your time. Hell, at minimum wage I've still not broken even.

Remember what you're trying to achieve, (I'm sure you're the same as me: expectancy & frequency), it's natural to look at the highs and lows and try to find ways to enter around these points, as opposed to looking for those places of greatest expectancy. Nobody ever looks to enter in the middle of a move, no idea why.

A backtest for 10 years with 100 trades in it is significantly different to a backtest of 6 months with 10000 trades in it.

I'm sure there's much more I should say, I will try another time, but finally.

If all else fails play with donchian channels, the beauty of them is that IF you decide to take every breakout up and down, you will not miss a move. So that's somewhere to start. There's probably a lesson there, you've immediately set one thing in stone.

P.S. My breakout strategy has nothing to do with donchian channels, don't want to misguide anyone.

Hi Hotch,

Yes the draw down in the backtest wasn't so bad, it was where it was which was a worry. It was exactly the bit of data that I didn't include in my in-sample and out-of-sample testing. I highlighted that actually I had curve fit my system to the samples and when anything outside of those samples was tested - the system was not profitable.

As for staring at charts until my eyes bleed, trust me I've done a lot of chart staring over the past 3 years. Obviously I need to do more though because these patterns and setups you speak of are not jumping out at me! I mean, sometimes they do. But when I code them up and test them, it seems they were just in my imagination! But thanks for having faith in me! I believe I will get there too. Even if I do nearly give up every few weeks! It's a tough game. I need to hang in there. The more things that don't work, the more things I rule out, the closer I get to my goal.

Yes it's true what you say about people looking for highs and lows. I would say I fit into that category. I'm naturally a contrarian so I'm always looking for the reversal instead of trying to join a trend. Maybe this is something I need to work on. Remove the need to enter a trade at an extreme and maybe look to take a bite from a trend. I think I will try this for my next attempt.

Yes I'm with you on the number of trades. This is why when backtesting and optimising I only ever look into results with a good number of trades. Agreed.

Thanks for the advice and I will definitely take a look at Donchian Channels. Hope you'll keep checking back here.

Cheers,

Sam.

 

[megamuel]

That is a very expensive way of developing systems. I remember once when I started I badly needed to make a change in the code of one of my systems programmed by an assistant and he was out of town.

Get one of the trading system discovery programs that generate the code for you. Development time is reduced by orders of magnitude plus you don't have to deal with programmers. You really need to become independent in this game. Good luck to you. I think you will do well because you are down to earth and determined.

You are right. I think I will have to learn to code or at least learn to use a "System discovery program" like you suggest. Do you use/know of any good ones? Another systems trader told me about "Price Action Labs" I think it was. Sounds good but it is out of my budget. Anyway, in the meantime (as I mentioned in a previous post), I am hoping to start something up with a programmer I know. Thanks for your kind words, I appreciate it.

Sam.

 

[megamuel]

If you want simple systems, or want to reduce the coding work, Ninja Traders
Strategy wizard is the simplest starting point I am aware of.

Zero C# knowledge is required as its a wysiwyg condition builder.
Ninjas strategy wizard will do 90% of the work achievable with raw C# programming.
Check out some of the videos here (v6 strat wizard same as v7).

Scroll to bottom of page for strategy wizard and condition builder videos:
http://www.ninjatrader.com/support/helpGuides/HelpGuideV6/helpguide.html?VideoLibrary

V7 vids - not as detailed as above v6 videos.
NinjaTrader Version 7

Ninja is free to try:
NinjaTrader stock, futures and forex charting software and online trading platform. Use NinjaTrader Free.

License costs:
NinjaTrader stock, futures and forex charting software and online trading platform. Purchase. Lease.
NinjaTrader stock, futures and forex charting software and online trading platform. Purchase. Own.

Hi LV,

Thanks for the suggestion. Does look very interesting indeed. Although I've spent all these years using MetaTrader, I am inclined to stick with it. Especially if I get things running with this programmer as I know he knows how to code mql. Actually I am sure he can turn his hand to anything, he is a very talented guy but I guess with both already have experience with MetaTrader and Excel. But if things don't work out with him I might look further into that. Thanks again. Please keep checking back here - I like your posts.

Sam.

 

[megamuel]

NinjaTrader is good and the strategy wizard works well for simple systems. If you want to do something more advanced you will have to learn C#. I used NT before with APS and now with Price Action Lab because this pattern discovery software can read the NT daily data text format without doing any conversion to them and it also generates pattern code for NT you can copy & paste after you develop the basic code using the wizard. This cuts down system development time and thus cost dramatically after you setup the basic development structure.

Oh I just mentioned Price Action Labs with regard to your previous post - before I read this one. How do you find it? I was talking to another guy on here about it and he said he scans for patterns using it and that they are usually good for a few years. Sounds good but I can't afford it. They did have an offer of 3 systems for quite a low price but they removed it now.

Sam.

 

[intradaybill]

Oh I just mentioned Price Action Labs with regard to your previous post - before I read this one. How do you find it? I was talking to another guy on here about it and he said he scans for patterns using it and that they are usually good for a few years. Sounds good but I can't afford it. They did have an offer of 3 systems for quite a low price but they removed it now.

Sam.

You can do several things with it but analyzing the results is not that easy other than in cases where they are clear. It takes some experience in working with the program I would say about one year or so. I use all three functions but I am interested primarily in the 1 bar win rate provided by the scanning function. Take a look at the blog by Harris and you will see examples of the use of the scan function. The most recent is about a QQQ pattern for short entry that might have hit profit target of 5% today. Here is the link

 

[megamuel]

Thanks for the info Intraday William. I better not look into it too much though as I can't afford it. Especially now that all my investments have taken a battering.

Oh and now I see why I need to learn to program systems. My programmer is taking aaaaaaaaaages to make changes to my EA.......

 

[megamuel]

Can someone help me. My programmer has put an MA feature in my EA but it's always on. How can I add a true/false thingy so I can switch it off. This is the bit I want to be able to switch off:

extern string p71=" --- MA periods --- ";
extern int MA_Period = 20 ;
extern string p72=" --- MA shift --- ";
extern int MA_Shift = 0 ;
extern string p73=" --- MA_Method --- ";
extern string p74="SMA=0, EMA=1, SMMA=2, LWMA=3";
extern int MA_Method = MODE_EMA ;
extern string p75=" --- MA_Price --- ";
extern string p76="Close=0, Open=1, High=2, Low=3";
extern string p77="Median=4, Typical=5, Weighted=6";
extern int MA_Price = PRICE_CLOSE ;

 

[megamuel]

I'm thinking I need something like this at the start:

extern bool Allow=true;

 

[Adamus]

Is that MetaTrader script? Sorry, can't help there, but in most languages if you want to switch a piece of functionality on or off, you bracket it within an if-clause.