Danno's trading strategy development

[Superboot]

Hi Danno,

A couple of questions if you have the time -

1. What type of system have/are you developing? From your comments I am thinking a trend system?
2. If you do have a trend system, do you have a filter or similar that assesses the market as a whole and keeps you in or out depending on the conditions? (I had a system a while back when volatility was very high and kept getting stopped out - I am thinking of developing 2 systems, one for trending markets and the other for a swinging market and use them accordingly)
3. You mentioned you had a money management system - is this a spreadsheet or a software package?

Thanks in advance!
Super

 

[danno75]

Hi Superboot,

1. The system I am developing is a trending system at the moment. I have got the basics down but it will be a matter of getting some more trades away so I can analyse what has happened further. As I said the entry signals are based on Techtrader which is a complete system that Tech A developed years ago. I found the Amibroker coding for it on a thread somewhere in ASF and used it as a learning resouce to see how the AFL coding works in Amibroker. I have run backtests and I haven't been able to get a positive result from it recently as a complete system but the code describes how the entry signals work and I could get my head around the basic principal. I used these for my own entry points using the scan function in Amibroker and manually do the money management and charting of stops, breakeven etc.

2. As I said above the system has trend based entries and it only scans stocks under $10 which I find better as I am only working of $10,000 starting capital . This can be adjusted in the Amibroker coding. I am at work at the moment so I can't tell you the exact indicators it uses to define the trend but I will later if you are interested.

In regards to market conditions I am trying to figure that one out myself. I have read a some good books in the last few months that have described some of the indicators that define if the market is trending or ranging, but I need to go back to them and start experimenting to see which if any give the result that I need. I have put a bit of discretionary decision making in to my system lately because I don't have an indicator but just from looking at the long term chart of the ASX all ords and ASX200 you can see that things have peaked and are a bit flat. I also saw this in my trades as the majority went well and then flattened or dropped. Now that could just be natural movement but the market index charts sort of confirm. To stop myself losing money when the price has reversed I have tightened my stops right up and have moved my stop loss a couple of points above the break even point once the price goes through it. This has meant that a couple of trades went down through the stop loss and then came back up and I missed some positive movement but overall on the system as a whole has benefited and I have kept my capital positive. I will change this way of thinking once I can confirm the market is going to rise consistantly (this could be some way off from recent global index results).

I also want to develop a system for ranging markets but I don't know if the amount of capital I am working with will allow for enough profits off such small moves. I am thinking that futures like Eminis or forex could be better as they rely on smaller movements and margin to give the return.

3. The money management system is excel spread sheet based. I got it of the net. It was part of a package from a spruiker that I found while looking for information. I am not going to list the product or the dudes name but it was about $70 so I didn't really think it was too much to blow if there was something positive from it. As it was the explanations were very basic which was what I needed at the time and it made a whole lot of what I had been reading fall in to place. It was based on the Turtle Traders theories and since I had previously read the Turtles book I understood it. The major component I got out of it was the two money mangement spread sheets, one of them is the Trade Log that I posted. The second does the actual money mangement calc and gives you your initial stop loss value and risk reward based on what ever profit target you decide to use.

If you want the spread sheets PM me as I'm not sure if linking them to this post would be a copyright issue.

I hope this answers your questions, if you want to know anything else let me know. I don't really care if anyone else attempts to use the system that I have developed because I know it probably isn't very good but it is just one of the resources I am using to learn the dark arts of trading before selling my soul to the market.

 

[Superboot]

Thanks Dano - I appreciate your comments

Sounds like you are dealing with some of the same challenges!

I will no doubt have some more questions for you soon - I will also add some of my current thoughts on system strategy as well.

Cheers
S