Developing a mechanical system from scratch

kennas said:

Is this the type of entry you're looking for with the system?

Looks like a pennant with three inside candles to me, or do they have to be within the full body.

Or am I in the wrong thread?

(Not holding)

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wayneL said:

For a pure mechanical system, and REALLY LARGE accounts, I think I agree.

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nizar said:

Wayne.
Why is account size important?

Is it because of the high drawdown experienced by the really clean-up longterm systems?

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wayneL said:

No

It's because most of the big outsized advances are in small cap stocks. A smaller account can move into and out of these stocks un-noticed. A large account is going to make these stock move.

For instance if you are stopped out and your million dollar position, your stop order might take out the whole depth. Big accounts just can't trade this way.

They have to trade the megolithic cap stocks.

A band of Guerillas verses the infantry.

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nizar said:

Kennas.
Theres nothing i love more than a chart posted by you with the stock code NOT erased! :

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kennas said:

Ha ha. I know where your going. Non too suttle. Not holding. I should have done that so I had any cred left with you. Sorry! :

(I tell you what though, I'll be watching it Mon am! )

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CanOz said:

This ones a bit new to me...are we not supposed to post charts with the codes on them?

Cheers,

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tech/a said:

Once you get some NUMBERS all will start to fall into its place.


Its NOT about being RIGHT its about being Profitable.

.

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/*

ASF Sample System Development

2 Inside days AND 6/100 Historical Volatility Ratio

*/

// Define system options can modify these as required

SetChartOptions( 2, chartShowDates|chartShowArrows );
SetBarsRequired(10000,10000);
SetTradeDelays( 1, 1, 1, 1);
SetOption( "initialequity", 100000 );
SetOption( "MaxOpenPositions", 10 );
SetOption( "PriceBoundChecking", 1 );
SetOption( "CommissionMode", 1 );
SetOption( "CommissionAmount", 0.1 );

BuyPrice = SellPrice = Open;
ShortPrice = CoverPrice = Open;
PositionSize = -10; // always invest 10% of the current Equity

// Setup Conditions

VolumeCond = EMA(V * C, 21) > 300000; // Ensure at least $300k of money flow for 21 periods
EMABuyCond = EMA(C, 35);
EMAShortCond = EMA(L, 35);

// BuyTrigCond = O > Ref(L,-1); not used in this version

// NR4DAY
// NR4Day = (H - L) < Ref(LLV(H-L,3),-1); // not used in this version

// 6/100 Historical Volatility
HVSixOneHundred = (StDev(log(C/Ref(C,-1)),6)*100*sqrt(256)) / (StDev(log(C/Ref(C,-1)),100)*100*sqrt(256));
HVRatioCond = HVSixOneHundred < 0.5;

// Check if 2 Inside days occur

InsideDay1 = H < Ref(High,-1) AND Low > Ref(Low,-1);
InsideDay2 = Ref(High,-1)< Ref(High,-2) AND Ref(Low,-1)> Ref(Low,-2);
InsideDayCond = InsideDay1 == 1 AND InsideDay2 == 1;

// Long side - buy and sell conditions

// Buy Condition
Buy = Sell = Short = Cover = 0;

BuySig = InsideDayCond AND HVRatioCond AND VolumeCond AND C > EMABuyCond ;

// Sell Condition

// SellSig = condition.......

Buy = BuySig;


//Buy = ExRem(BuySig, SellSig);
//Sell = ExRem(SellSig, BuySig);

// Short side - short and cover conditions

// Short Condition

ShortSig = InsideDayCond AND HVRatioCond AND VolumeCond AND Low < EMAShortCond;

// Cover Condition

// CoverSig = condition .......

Short = ShortSig;

//Short = ExRem(ShortSig, CoverSig);
//Cover = ExRem(CoverSig, ShortSig);

// Define Stoploss Conditions

ApplyStop(stopTypeLoss, stopModePercent, amount = 10 );

// Lists exploration results conforming to our buy/sell OR short/cover criteria

//Filter = Buy OR Sell OR Short OR Cover;

Filter = Buy OR Short;

AddColumn(Buy, "Buy", 1, colorDefault,IIf(Buy,colorGreen,colorDefault));
//AddColumn(Sell, "Sell", 1, colorDefault,IIf(Sell,colorRed,colorDefault));
AddColumn(Short, "Short", 1, colorDefault,IIf(Short,colorGreen,colorDefault));
//AddColumn(Cover, "Cover", 1, colorDefault,IIf(Cover,colorRed,colorDefault));
AddColumn(Open, "Open", 4.3);
AddColumn(Low, "Low", 4.3); //
AddColumn(High, "High", 4.3); //
AddColumn(Close, "Close", 4.3); //

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CanOz said:

Here a long that got stopped out...only a few trades really mucked this up. 0 shorts were profitable.

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CanOz said:

So generally it is worth looking at these trades further to find out specifically what happened?

Cheers,

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nizar said:

I dont think so.
You will always have outliers but like i said in my previous post, they shouldnt affect the result to great degree.

Longterm systems rely on a few great winners a year but for short-term systems with higher trade frequency, outliers should have a lesser impact on the end results.

But Id be keen to hear what Nick or Tech or others have to say about this.

Can, have you got monte carlo analysis?

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