# Position Score/Trade Ranking Ideas



## MikeRR (19 June 2014)

Hi Everyone,

I'm currently designing a medium term momentum strategy and was hoping to get some advice on areas to investigate around trade ranking/ position score. Ie, my system returns multiple signals on the same day and I have a limited amount of capital to trade. If anyone could provide some advice on ways to rank these it would be much appreciated.

Mike


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## peter2 (20 June 2014)

Mike: 
If your system has a reliable edge then you should try to start as many trades as possible even if it means smaller position sizes as you never know which trade will be the big one. 

1. My first suggestion is to consider "Bang for Buck" and term popularised by Nick Radge. Evaluate which trade will return the most if price goes the way you anticipate. 
2. Buy when the market is going up and short when it's going down. (Market filter)
3. Diversification. Try to diversify your trades across market sectors rather than many in the same sector. This is quite difficult in the Aussie market as everything is correlated to the market index. 
4. Select trades in the strongest sector over those in a weak sector.
5. Select trades in companies where the price of their main product is rising. Trade gold stocks when gold is rising, etc.

These suggestions require a top down approach and should be tested to see if they really do add to your edge.

Also keep an eye on your total open risk and make sure its at a comfortable level for you.


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## Wysiwyg (20 June 2014)

Howard Bandy is also knowledgeable with using position score in portfolio testing. Google his name and position score or he may even drop a thought in here. 

Howard if you read this I think it would be a great idea to make e-books available as well as your paper editions. People like e-books because they can get them within minutes of purchase.


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## howardbandy (21 June 2014)

Hi Wysiwyg --

Thanks for the suggestion on book format.  We have considered e-book format, recreated some chapters, run some tests.  

In order to publish in e-book format, each book needs to be prepared for the specific end device.  While epub is a quasi-standard, it is not universal.  Kindle does not use epub at all, Apple does not use standard epub, Nook is different than pdf, etc.  None of the conversion programs we tried did a satisfactory job of translation.  
http://en.wikipedia.org/wiki/Comparison_of_e-book_formats

All the figures that show screen capture images, reports, charts, or graphs must be regenerated, meaning the programs that were used to generate them must be located or reprogrammed and rerun -- each image recaptured, reedited, re-annotated.  The layout of the book -- pagination, placement of images, etc -- redone.  

Republishing in e-book format is essentially writing a complete new edition of each book, but with much more complex output than required for printing. 

After the files have been created, each version (Kindle, Apple, etc) has its own digital rights management, distribution procedure, unique contracts, etc -- not pleasant to work with, adds to the cost, reduces the revenue. 

Marketing anything requires estimation of sales.  Comments we have received suggest limited interest in e-book format.  Our testers felt that the books did not work particularly well in e-book format -- not unique to our books, but common to technical and programming books in general.  Limited demand and unenthusiastic interest in the product suggest low sales.

Many of the people who asked for an e-book did so expecting the e-book format copies would be substantially less expensive than the printed copies.  We would disappoint them -- we think our value is in content rather than in poundage of paper.  (If we wanted to sell paper, we could easily pad our pages with low content fluff making the books hundreds of pages longer.  One of the compliments we regularly receive is for the clarity, conciseness, and high content per page.)   

Given the effort and cost of publishing in e-book format, the lack of enthusiasm from people who read the test chapters, the limited market, and the limited revenue per book, republishing in e-book format is not an attractive project.  Given that there are so many projects that are attractive, e-book format will probably not happen.

Best regards,
Howard


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## MikeRR (21 June 2014)

Thanks for the ideas guys. I own Howard's books (e-books would be great  ) so was looking for some other input particularly in trend following / momentum style systems which is not Howard's focus. Mission accomplished though, thanks for the ideas and help. It's very much appreciated.


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## howardbandy (22 June 2014)

MikeRR said:


> Thanks for the ideas guys. I ... was looking for some other input particularly in trend following / momentum style systems which is not Howard's focus.




Hi Mike, and all --

Every successful trade is trend following trade.  The sell price must be higher than the buy price.  The difference is what gives the signal for entry into the trade -- buying strength, buying weakness, buying a pattern, a seasonality, etc.  (Or shorting.)  Run the tests, do the math, and pick whatever meets your criteria for profit and risk.

My emphasis on trades that hold a short period of time is based on what I have found to be a characteristic of most data series -- that holding longer than a few days (the sweet spot is one day) increases the risk to the point where the maximum safe position size is so low that the resulting low profit potential makes the system not worth while trading.  This is independent of the model.  

As I suggest -- do the math -- longer holding periods increase risk beyond my risk tolerance independent of and without regard for the rules that govern the signals.  

My point is that there is a level of risk inherent in the data series that limits the holding period.  My forthcoming book describes the conditions in detail and gives a program that can be used to test any data series.

Given that, my search becomes one of testing single day price change (close at the signal day to close tomorrow) for a variety of entry signals.  I have found that buying weakness produces better results.  Your mileage may differ.

Best regards,
Howard


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## tech/a (22 June 2014)

howardbandy said:


> Hi Mike, and all --
> 
> *Every successful trade is trend following trade.  The sell price must be higher than the buy price. * The difference is what gives the signal for entry into the trade -- buying strength, buying weakness, buying a pattern, a seasonality, etc.  (Or shorting.)  Run the tests, do the math, and pick whatever meets your criteria for profit and risk.
> 
> ...





*Every now and then something that could well change your life comes across these boards.
Here in my opinion is one example.*


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## ThingyMajiggy (22 June 2014)

Mind suggesting where the other life changing ones are? 

So one day is the optimum holding period? How does the risk increase if we have stops to manage such a thing?


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## tech/a (22 June 2014)

ThingyMajiggy said:


> Mind suggesting where the other life changing ones are?
> 
> So one day is the optimum holding period? How does the risk increase if we have stops to manage such a thing?




Sam 

Two important things I can think of.

(1) High % win ratio.
(2) Frequency of trading


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## ThingyMajiggy (22 June 2014)

tech/a said:


> Sam
> 
> Two important things I can think of.
> 
> ...




Yeah knowing what they are is the easy part, it's the HOW I'm interested in


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## tech/a (22 June 2014)

ThingyMajiggy said:


> Yeah knowing what they are is the easy part, it's the HOW I'm interested in




SERIOUSLY?

If you can get a 80% win rate against the common 40% for longer timeframe
Less losses less risk
So then if your holding for shorter periods your going to take a lot of those trades.
So far more trades than the 40% trade winning option which have a far lomger holding period.
Less risk again.


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## ThingyMajiggy (22 June 2014)

tech/a said:


> SERIOUSLY?
> 
> If you can get a 80% win rate against the common 40% for longer timeframe
> Less losses less risk
> ...




I agree with you 100% but you've just done the same answer as you did before, but in a longer form. I'm more saying its the HOW to get 80% that I want to know, we all know that's the goal, its the how to get to 80% that is the hard part. The methods, the management etc. Not the percentages.

Someone can't just CHOOSE to have a high % win ratio suddenly in their trading, they have to know how to improve it and what to change, the details, not the cover selling idea.


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## rb250660 (22 June 2014)

You could start with ranking by volatility. Try something related to ATR or standard deviation.

In my testing the longer you hold the higher your exposure to volatility and hence drawdown. The lower volatility trades yield (obviously) lower volatility return, this is purely theoretical in my testing.

I don't usually hold for much longer than a day or two and rank by highest volatility. If I were designing a longer hold system I'd look at ranking by lowest volatility. I'm a wuss when it comes to drawdown.

I guess it is closely related to your risk tolerance and objectives.


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## rb250660 (22 June 2014)

tech/a said:


> Sam
> 
> Two important things I can think of.
> 
> ...




Aren't you a hardcore trend follower who only cares about expectancy? Why the new found support for these objectives?


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## Wysiwyg (22 June 2014)

rb250660 said:


> You could start with ranking by volatility. Try something related to ATR or standard deviation.
> 
> In my testing the longer you hold the higher your exposure to volatility and hence drawdown. The lower volatility trades yield (obviously) lower volatility return, this is purely theoretical in my testing.
> 
> ...




So do you consider a rate of change greater than for example 5% over 5 bars or maybe an ATR multiple great than say 1.5?


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## MikeRR (23 June 2014)

Thanks again everyone for your comments and input. I'm developing multiple models at once, one of which is a medium term trend following / momentum model which is specifically why I asked the question. 

Howard I take your point about trend following and in this case I'm referring to the term in a more traditional sense. I lack the experience and capability to debate the points made about which model is better (less risk etc) but it's great to have the perspective so I can put it to the test.


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## tech/a (23 June 2014)

rb250660 said:


> Aren't you a hardcore trend follower who only cares about expectancy? Why the new found support for these objectives?




Both are found in shorter timeframes.
I can get a brilliant trend on a 3 min chart.

I'm puzzled----doesn't everyone care about expectancy.
Is there something else I should care MORE about?


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## howardbandy (23 June 2014)

tech/a said:


> Both are found in shorter timeframes.
> I can get a brilliant trend on a 3 min chart.
> 
> I'm puzzled----doesn't everyone care about expectancy.
> Is there something else I should care MORE about?




Hi Tech/a, and all --

Expectancy -- geometric return per unit of holding period -- absolutely must be positive.

---------------  

But there is more.  The limitation to profit depends heavily on the number and magnitude of losing trades.  I have an example in the new book that goes as follows:

A system has 300 trades in four years.  Call this the base set.  Compute risk of drawdown over the next two years as a forecast, choose the maximum position size so that the risk meets the trader's risk tolerance.  Call this process "normalizing for risk."  Any higher position size will cause drawdowns that are excessive, any smaller position size will reduce final profit.  Given this positions size (I call it "safe-f"), compute the profit at the end of the two year period.  It will be a distribution, just as the drawdown was.  The median is the 50th percentile.  A 50% credible interval ranges from the 25th percentile to the 75th percentile.  The profit is equally likely to be within this interval as outside it.  Take the terminal wealth relative to the initial wealth at the 25th percentile and convert that to a compounded annual rate of return (CAR) value.  Call it CAR25.  This is the minimum CAR that can be expected 3/4 of the time.  It is the value of profit potential associated with the base set of trades and the trader's risk tolerance.

Sort the set of trades by percentage won for each trade.  Identify the 5% best trades and the 5% worst trades.  There are 15 of each.  Do four more simulations, each of which first computes safe-f that normalizes for risk, then computes CAR25.  The data sets used are:

A.  The base set alone, analyzed above.
B.  The base set plus an addition of the 5% best trades.
C.  The base set plus an addition of the 5% worst trades.
D.  The base set with the 5% best trades removed.
E.  The base set with the 5% worst trades removed.

The results are normalized for risk -- so the drawdowns experienced over the next two years will be, on average, the same for all five projections.

Each of the five has its own safe-f.  Each of the five has its own CAR25.

The result is always the same for every set of trades I have tested, and it is important -----------

The highest profit is achieved by removing the worst 5% of trades.

The best thing you can do to improve a trading system is avoid large numbers of large losing trades.

In a phrase -- avoid toxic trades.

--------------

About stops.  

There are five ways to exit a trade.  I have written and posted about this before, so I'll be brief.  They are:
1.  Logic or rules.  An indicator cross, or whatever.
2.  A profit target.
3.  A trailing exit.  SAR or chandelier.
4.  A holding period or timed exit, including inactivity.
5.  A maximum loss exit.  A dollar or point stop.

Code all the exits you might use, objective and subjective, and test them.  Include all exits in the model code.  Since all of the ways to exit the trade are in the code, you can always just wait for the exit.   

If including a maximum loss exit improves the performance, use it.  If it does not improve performance, do not use it.  If you use it, it must be in the code so the trade results reported by the platform reflect it.  The measure of whether performance is improved or not is the value of CAR 25 at the value of safe-f that normalizes for risk. 

-----------

Best regards,
Howard


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## beachlife (23 June 2014)

ThingyMajiggy said:


> Yeah knowing what they are is the easy part, it's the HOW I'm interested in




I found that adding filters to keep me out of trades worked.  Instead of looking for more ways to find winners, look for filters that would keep you out of losing trades.  Review your losers and see what you can find.

Then that leads to a change of mind set.  Its always easy to find a reason to take a trade.  Now I look for reasons to not take it and use a check list to keep me honest about it.  Rather than finding 5 reasons to trade, I only need 1 reason not to and that is enough to let it go.  If in doubt stay out.  I now trade less, have a higher win/loss, which then allows for larger position sizes.

The other important aspect is how big are the winners and losers in terms of account percentage.  A high win/loss ratio wont get you far if your wins are insignificant. 

And just  forget aiming for 80%, 70% is more realistic.


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## ThingyMajiggy (23 June 2014)

Yeah good points. 

I'm just trying to make up some systems in Ninjatrader, but not sure where to start for a strategy, coding it up myself, have tried volume based stuff like if volume is more than the previous 3 bars and range is smaller and close is > open after a downtrend then go long, stop @ 10 ticks, profit @ 20, stop to B/E after 5 ticks in profit.....plus about a million different variations on that, but the equity curves didn't look too good on any of them.

Testing it on Crude Oil by the way. Doesn't seem to be any more of an edge in volume than there does in an MA crossover strategy 

Probably not the right thread for this, but oh well, there's no "Coding your own strategies for fun and curiosity" thread


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## beachlife (23 June 2014)

ThingyMajiggy said:


> Yeah good points.
> 
> I'm just trying to make up some systems in Ninjatrader, but not sure where to start for a strategy, coding it up myself, have tried volume based stuff like if volume is more than the previous 3 bars and range is smaller and close is > open after a downtrend then go long, stop @ 10 ticks, profit @ 20, stop to B/E after 5 ticks in profit.....plus about a million different variations on that, but the equity curves didn't look too good on any of them.
> 
> ...




Here's a suggestion.

Open the CL daily chart, put a 20 period sma on it and zoom out to see about 3 years of data.  For each decent move zoom in and have a look at what can be coded as an entry trigger, and have a look at ATR for initial stop and target placement.  Then code it up, optimise and see what the best settings are.  You want your system to catch the big moves and leave the smaller ones.  For filters you can look at longer term averages, weekly data, oscillators whatever you think might work.  Then run it on smaller time frames and see what happens.  I find in general the smaller the time frame the worse the result.  Also try it on something less choppy like an index or bank.


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## rb250660 (23 June 2014)

Wysiwyg said:


> So do you consider a rate of change greater than for example 5% over 5 bars or maybe an ATR multiple great than say 1.5?




That could work, however I use something more refined than that though.


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## ThingyMajiggy (23 June 2014)

beachlife said:


> Here's a suggestion.
> 
> Open the CL daily chart, put a 20 period sma on it and zoom out to see about 3 years of data.  For each decent move zoom in and have a look at what can be coded as an entry trigger, and have a look at ATR for initial stop and target placement.  Then code it up, optimise and see what the best settings are.  You want your system to catch the big moves and leave the smaller ones.  For filters you can look at longer term averages, weekly data, oscillators whatever you think might work.  Then run it on smaller time frames and see what happens.  I find in general the smaller the time frame the worse the result.  Also try it on something less choppy like an index or bank.




What do you mean by ATR for stop and targets? Because if I'm looking at a SPI chart for example, and bring up an ATR set to 14(default), then it's currently at 52 on a daily chart, I'm not exactly going to set my stop 52 points away for a $25/tick instrument???


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## beachlife (23 June 2014)

ThingyMajiggy said:


> What do you mean by ATR for stop and targets? Because if I'm looking at a SPI chart for example, and bring up an ATR set to 14(default), then it's currently at 52 on a daily chart, I'm not exactly going to set my stop 52 points away for a $25/tick instrument???




Yes thats what I mean.  I use a stop of 1.5xATR(10) and a target of 2x stop.  So you could test a range of say  0.5-2.5xATR with a target of 1 - 3x Stop for a target and see what it says is optimum.

THEN you decide if you can trade it or not.  If a stop of around 52 points is too high then IMHO trying to use a tighter stop will see you stopped often and die a death of a thousand cuts, but test it and see.

If a wide stop is needed then you have 3 choices.
1. Use a CFD to position size.
2. Try a lower time frame where the ranges are smaller and see if the script works.
3. Trade something with less leverage. 

Many years ago I tried to trade the spi with a $20k account and tight stops and blew it up real quick.  IMHO $50k minimum to play with the spi futs, cfd's no problem at $1 per point, but that's a whole other thread.


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## beachlife (24 June 2014)

I just want to clarify so you dont charge off searching for the holy grail of code.  I am not advocating a 100% coded system.  The filters to stay out of trades can include things like trend lines, ranges, supp/resist that cant be coded.  So start with the code to get the best settings that catch the good moves, but then manually review the chart to see what you could consider to keep you out of the losers.  So the final step of your system testing has to be manual.

Then you end up with a hybrid system that can be used to create market scans.  My scan today returned 6 possible trades, but my manual filters eliminated 5 of them.  Some days my scans return nothing, some days my filters eliminate all results.  

Of course you could look at a chart and decide to trade purley based on trend lines, in which case your testing must be 100% manual.  The reason I use a SMA is because it approximates a trend line but can be coded and used in scans to flag possible trades.

Hope that helps.


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## tech/a (24 June 2014)

beachlife said:


> Many years ago I tried to trade the spi with a $20k account and*tight stops* and blew it up real quick.  IMHO $50k minimum to play with the spi futs, cfd's no problem at $1 per point, but that's a whole other thread.




I'd say it was not the tight stops that blew you up.
Oscillator and Indicator trading are "p" plate technical methods*in my opinion.*
If you want to be a competent technical trader these are tools which have little place in turning a profit.

Perhaps you'd like to open that whole other thread?


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## ThingyMajiggy (24 June 2014)

tech/a said:


> I'd say it was not the tight stops that blew you up.
> Oscillator and Indicator trading are "p" plate technical methods*in my opinion.*
> If you want to be a competent technical trader these are tools which have little place in turning a profit.
> 
> Perhaps you'd like to open that whole other thread?




Do you believe nothing works except for VSA? 

Cheers for the tips beachlife, certainly not going to look for the holy grail, just after some ideas to test to see what happens  Will do some coding/testing!


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## tech/a (24 June 2014)

ThingyMajiggy said:


> Do you believe nothing works except for VSA?
> 
> Cheers for the tips beachlife, certainly not going to look for the holy grail, just after some ideas to test to see what happens  Will do some coding/testing!




*Sam*

I certainly believe that if you want to trade Futs Short term (in this case the SPI) you had better be able to read a chart. If your dying a death of 1000 cuts then your doing something seriously wrong. (Oscillators and Indicators are part of the seriously wrong scenario).

Lets take *B/L's* $20K lets say he blows up at $6000 left (Just as an example).
A loss of $14000 or 560 ticks Lets say a loss of 5 ticks a time because his stop was "TOO" Tight.(The reason he thinks he blew up!)---I think hes wrong

Thats 130 losses!!! 

*Do you reckon you'd be thinking that what your doing isn't working well before that??*

Howard and others from time to time put up some Holy Grails---trouble is most cant believe its possible.
*Of course it is! Go find your holy grail!!*

Better------copy someone elses!

If your bleeding 
(1) Find another way
(2) Learn about B/E stops

VSA is an important part of Chart reading. *It falls far far short as a stand alone method *in its very basic form (The form Tradeguider flog endlessly ).
If its not in your discretionary toolbox in MY opinion you are just one of the crowd---fodder.


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## ThingyMajiggy (24 June 2014)

tech/a said:


> *Sam*
> 
> I certainly believe that if you want to trade Futs Short term (in this case the SPI) you had better be able to read a chart. If your dying a death of 1000 cuts then your doing something seriously wrong. (Oscillators and Indicators are part of the seriously wrong scenario).
> 
> ...




Do you believe the edge is in VSA or in your management? I would like to see your management(of which I think is your strongest point, moving stops to B/E etc.) with another "method" or using indicators and oscillators, would be very interesting where in fact your edge lays. 

I coded up a system yesterday that moved my stop to B/E after 5 ticks in profit on crude, but I just ended up having like 3x the amount of losses than winners, BUT my winners were bigger than my losses, not sure where to go next, I guess that boils down to method(VSA, indicators etc.). 

Just a side note, I'm not having a go at you tech, I like VSA a lot myself, my questions are trying to point holes, so I hope you don't take offense, I value your input a lot.


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## beachlife (24 June 2014)

tech/a said:


> I'd say it was not the tight stops that blew you up.
> Oscillator and Indicator trading are "p" plate technical methods*in my opinion.*
> If you want to be a competent technical trader these are tools which have little place in turning a profit.
> 
> Perhaps you'd like to open that whole other thread?




It wasnt being stopped out 130 times, it was using tight stops to just justify taking positions that were too large for my account and having those stops gapped past in the night market, and then running out of margin.  No where near 130 trades required, your assumptions about how I was trading are incorrect.


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## beachlife (24 June 2014)

Sam I guess I should have asked this first, do you want to make money trading end of day data or do you want to intra day trade and for which ever you want why?


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## tech/a (24 June 2014)

ThingyMajiggy said:


> Do you believe the edge is in VSA or in your management? I would like to see your management(of which I think is your strongest point, moving stops to B/E etc.) with another "method" or using indicators and oscillators, would be very interesting where in fact your edge lays.
> 
> I coded up a system yesterday that moved my stop to B/E after 5 ticks in profit on crude, but I just ended up having like 3x the amount of losses than winners, BUT my winners were bigger than my losses, not sure where to go next, I guess that boils down to method(VSA, indicators etc.).
> 
> Just a side note, I'm not having a go at you tech, I like VSA a lot myself, my questions are trying to point holes, so I hope you don't take offense, I value your input a lot.




Id say the ability to chart read in my discretionary trading--of which VSA is a part---but I do add---not the simplistic VSA touted by Tradeguider---I've been using it for more than 10 yrs!
So it encompasses Chart patterns/Elliott/VSA/and a large dose of experience.

*Yes *My management of a trade/s is a definite edge and coupled with the above --powerful.

To try and code up a discretionary trading method like mine would be impossible.

If you want results like a discretionary method you'll need to be a good discretionary trader.

Systems trading and their design are very different. I just don't think you can loop/reason in code as our brain can.
I can recognise something happening in seconds to code it would take months---then it changes in the next 3 min bar---
But PAV uses it and is making a second wage so 2 of us like the way it works (Pav has a very simplified version--I've only known him 18 mths.

In your case simply coding in a stop at B/E is always going to fail.
My B/E is moved for a particular reason and it could be one of many reasons---so unless I see it happening I wont move it.

That could be 1 to 20 bars!!!---Its just not that simple.

No offense Id be offended if there weren't discussion---if it gets personal then that's different.


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## tech/a (24 June 2014)

beachlife said:


> It wasnt being stopped out 130 times, it was using tight stops to just justify taking positions that were too large for my account and having those stops gapped past in the night market, and then running out of margin.  No where near 130 trades required, your assumptions about how I was trading are incorrect.




So it wasn't tight stops it was position sizing
relative to trading capital + Poor trade planning---holding O/N
A tight stop to a 1 min trader and an EOD trader are 2 very different things.
Under capitalization appears to be a very common cause of failure in many traders. (You wouldn't need to have such a tight stop to trade size---money makes money)


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## rb250660 (24 June 2014)

Great work destroying the thread topic guys. tech/a, you gotta stop arguing every point to death. Go outside and go for a bike ride or wet a line, leave the keyboard alone. Sadly, I expect you to retort however, don't expect me to bite.


Mike - do you enter using buy stops or limit orders? If this is the case and you get say 50 signals a day but only a few of them would typically fill you could place all 50 orders using conditional orders that trigger at a predetermined price. This way your capital is deployed progressively as price rises/falls on candidate trades.  I use this technique with good success.

I've had a bit more of a think about the ranking and I reckon I would start by sorting the trades according to recent volatility. To me it would seem logical to set your volatility calculation look back period to the average hold period. For example, if you hold for 20 trading days, work out some volatility metric (maybe try using a smoothed 20 period ROC or 20 period standard deviation) and rank according to that.

rb


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## ThingyMajiggy (24 June 2014)

beachlife said:


> Sam I guess I should have asked this first, do you want to make money trading end of day data or do you want to intra day trade and for which ever you want why?




I'd love to do both really, I would like a system going long term, maybe some investments in shares for say a 5-10 year period, and I would like to trade intra-day on futures like I have before. 




tech/a said:


> Id say the ability to chart read in my discretionary trading--of which VSA is a part---but I do add---not the simplistic VSA touted by Tradeguider---I've been using it for more than 10 yrs!
> So it encompasses Chart patterns/Elliott/VSA/and a large dose of experience.
> 
> *Yes *My management of a trade/s is a definite edge and coupled with the above --powerful.
> ...




So how can one master VSA, or your version of VSA is what the Tradeguider guys say is bollocks, or at least over the top, they almost make me ill with how heavy they are on the sales and pitches, I want to learn your management ways before anything else, that's where I'm lacking most I think, but where to find good management skills is beyond me, can't exactly Google "trade management techniques" without getting the usually huffin puff of cut losers, hold winners blah blah.

Sounds like we should go to( or start ) another thread.


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## tech/a (24 June 2014)

> Great work destroying the thread topic guys. tech/a, you gotta stop arguing every point to death




Thanks

You've reminded me why I left.
What a waste of time and effort it is 
on forums.


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## pavilion103 (24 June 2014)

tech/a said:


> Thanks
> 
> You've reminded me why I left.
> What a waste of time and effort it is
> on forums.




For every one of his 13 posts, you have constributed 1,000 valuable ones. 

Then he takes a personal pot shot. Weird.


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## beachlife (24 June 2014)

appologies to the OP

Just quickly



ThingyMajiggy said:


> I'd love to do both really, I would like a system going long term, maybe some investments in shares for say a 5-10 year period, and I would like to trade intra-day on futures like I have before.




My trades usually last around 2 weeks so I cant offer much with either of those, except to say that I am playing with 1min EA's on indexes that show promise in back testing but havent been proven live yet.  But they dont get anywhere near the 80% win rate that you would like, and have really wide stops.  Try your oil script with wider stops and see what happens.


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## MikeRR (25 June 2014)

Good discussion guys. It's no problem for me if the thread morphs and changes as we go. All of the topics being discussed are of interest to me. 

The system that I have coded up is the weekend trend trader by Nick Radge. I've decided to take this system which essentially is a medium term trend following / momentum system that buys breakouts confirmed by an ROC indicator and the sets percentage stops that are tightened up when the index turns down. 

The system tests out very well and I'm getting just about the same results as published in the book so I think it's tradeable as it is. However, to some degree I think there would be the opportunity to improve on it and since I managed to get AmiBroker to do what I wanted it to I thought I would go about implementing some of the changes to see how it performs. 

After reading some of the suggestions here and some other materials I'm going to attempt to normalise various system elements based on volatility - for example, a 10% stop in a $20 stock is vastly different to a 10% stop in a $5 and this type of approach doesn't take into account the individual nature of how each stock behaves. I'm not saying this approach doesn't work, it clearly does but for my own purposes I need to investigate if there is a better way.

My first point of call (when time permits) is to look at implementing ATR based position sizing, stops and position score/ trade rank (lower volatility will be rewarded). 

In addition to that I need to give some thought and research to the ROC filter that is used in the system. This filter is also percentage based which does the job of limiting signals that are presented but again this (to me in my small inexperienced world) doesn't give equal weighting to each stock that meets the breakout requirement because a 20% ROC(20) on one stock may be common whereas another it isn't.

Just a few thoughts that I have been working through along side a short term system.

Thanks again for everyone's input and conversation.


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