Developing a mechanical system from scratch

[wayneL]

Ok sounds good to me, i'd like to see a system that goes short too, so that might suit this approach?

Thats 2 for a shorter time frame.

Cheers,


off to bed...

ditto

3

 

[lesm]

ditto

3

+1 = 4

 

[Captain_Chaza]

I guess when we talk about hold times, we're really asking do we want a more nimble system that takes a little more time to manage, or a longer term, set & forget.

Of course, we'd love something that will hold forever and make us all rich, but we're not trying to design the perfect system here, merely a system that offers a good return per unit of risk (ie. Sharpe ratio) and has characteristics that make it trade-able, such as reasonable max drawdown, win% etc.

Once we decide what we're trying to achieve (in this case, hold time) we can start testing entries/exits that we think will achieve that goal.

Given TT is well documented here and elsewhere already, my vote is to design a system that is shorter term in nature so we don't cover old ground...

Good Idea !!
Getting off to a Good Start is Paramount
Holding technieques can vary according to each ones personal criteria and stamina

 

[wayneL]

For those with amibroker, here is some handy codes for potential exits :

The first is a simple EMA flipper. It plots the x ema of the lows when the price action is above it, and plots the ema of the highs when the price closes below. As such it can be a short or long exit and is completely adjustable

x = Param("EMA Hi-Lo Flipper",20,1,200,1);
hi = EMA(H,x);
lo = EMA(L,x);
x1 = IIf(C>Ref(hi,-1),1,IIf(C<Ref(lo,-1),-1,0));
x2 = ValueWhen(x1!=0,x1,1);
st = IIf(x2==-1,Hi,Lo);
paintbars = IIf(C < st, IIf(Cross(st,C),colorBlack,colorWhite), IIf(Cross(C,st) ,colorBlack,colorRed));
paintbars1 = IIf(C < st, colorWhite,colorRed);
Plot(st,"",paintbars1,styleDots|styleNoLine);
Plot(st,"",paintbars,styleStaircase|styleNoLabel);

The next one is the standard Chandelier exit (Hat Tip Stevo)

// ATR Trailing stop - stevo 2006

multiplier = Param("ATR Multiplier", 3, 0, 10, 0.1);
myATR= multiplier*ATR(21); // calculate ATR
initial=H-myATR; // raw stop - not racheted

stop[ 0 ] = Close[ 0 ];
for( i = 1 ; i < BarCount; i++)
{
 if( Close[ i ] > stop[ i - 1])
{
 temp = Close[ i ] - myATR[ i ];
 if( temp > stop[ i - 1 ] ) stop[ i ] = temp;
 else stop[ i ] = stop[ i - 1 ];
}
 else
 stop[ i ] = initial[ i ];
}

Plot( Max(stop,Ref(stop,-1)), "ATR Stop", colorCustom12, styleDashed);

Next one is a Chandelier for shorts (A table lamp? )

// Converted from ATR Trailing stop - stevo 2006
 
multiplier = Param("ATR Multiplier", 3, 0, 10, 0.1);
myATR= multiplier*ATR(21); // calculate ATR
initial=L+myATR; // raw stop - not racheted

stop[ 0 ] = Close[ 0 ];
for( i = 1 ; i < BarCount; i++)
{
 if( Close[ i ] < stop[ i - 1])
{
 temp = Close[ i ] + myATR[ i ];
 if( temp < stop[ i - 1 ] ) stop[ i ] = temp;
 else stop[ i ] = stop[ i - 1 ];
}
 else
 stop[ i ] = initial[ i ];
}

Plot( Min(stop,Ref(stop,-1)), "ATR Short Stop", colorSkyblue, styleDashed);

Have fun

 

[It's Snake Pliskin]

Sorry I can't see how Nick has put the Intra_day V EOD to rest
If Anything he has thrown it into complete Chaos suggesting that ONE can or should trade 3 -4 markets at any one time 24 hours a day
This is Madness and Lunacy if you ask me?

I find that my EDGE is that I put the hard yards well before the ASX opens
I wake up the birds and prepare for each day
I set my "open " orders and a few continency orders

"The Wind Calls the Tune " and I go off and play some golf and freshen up for another day at sea on the ASX in the morrow

Only this form of sailing gives you the stamina and technique to last out any year and then year on and year out

The downfall of course is you must love waking up the birds
I enjoy it and it is truly wonderful to stidy the Global Exchange when she stands still for only a few moments

That is my edge!

How anyone could do the necessary preparations for 3 time zones is beyond me and I congratulate anyone who says they can

Salute and Gods speed
PS I do some Intra-day trading when the weather outside is miserable but play the market more like a the pokies /Casino with small funds

I never invest real funds on an Intra-day whim!

With all due respect Captain Chaza,

You have missed the point.

I would love to learn how to wake up the birds because I am the opposite.

 

[It's Snake Pliskin]

The issue we're going to face is that everyone has a different personal makeup so everyone will automatically put forward a difference of opinion of what will constitute a better method.

Which I believe will render the exercise useless.
I hope I am wrong but most don't care what I think. I refuse to be bent and prodded with the business sdick; and normality doesn't like that.

How is everyone going to come to agreement on the parameters? Who is in charge of it?

 

[CanOz]

Which I believe will render the exercise useless.
I hope I am wrong but most don't care what I think. I refuse to be bent and prodded with the business sdick; and normality doesn't like that.

How is everyone going to come to agreement on the parameters? Who is in charge of it?

Lets just work our way through it and see how we go. Those that get too discouraged can just drop out. Those of us that persevere with it will need to try and be patient...very patient obviously.

We could have done this on ReefCap, but i think there are quite a few that are interested here, and the traffic's higher...So while we'll have a harder job keeping things focused, we might get a few more ideas...who knows.

We've got a few high caliber coaches about, thats for sure.

Thanks for codes Wayne!!!

So we've got 4 that want a short term system, do we want to just focus long or both at the moment? There's no reason why we can't just focus long for now is there?

Cheers,

 

[tech/a]

Come on people get on with it.!!

Shorter term.

Both Long and Short --- This will help satisfy those who are looking for some Swing Component in the system. Also there is an arguement that this Bull Market wont go on for ever.So Both long and Short will give some insurance to some--perhaps.

Portfolio of Stocks traded maximum 10-18 open positions at a time (Known optimum)
Hmm on reflection perhaps 6-10 positions as there are many with only smaller capital bases.
Under 20K,I think however it would be better to use a realistic Capital base,starting undrcapitalised isnt
an ideal beginning for any trader!

Suggest a CFD universe of stocks as thats the most efficient way to go short.

BUY: If a stock goes down 3 days in a row, BUY at the open the next day
SELL: If a stock that the system is long closes up 2 days in a row, sell entire long position in that stock at the next day’s open.

Absolutely DOOMED.Must be designed by Homer Simpson.
Unlimited downside potential and limited upside.

On Waynes adjustable exits.
Cant use them in a system as the variables have to be fixed.
Fine for discretionary,but how would you pick which variable to use?

 

[nizar]

What does everyone mean by short-term??

Shouldnt the term be determined by the stocks behaviour??

You dont wanna be holding dogs for too long, and if winners keep going up, then stay in it, ride the trend.

Just my opinion.

 

[tech/a]

You dont wanna be holding dogs for too long, and if winners keep going up, then stay in it, ride the trend.

Can all be addressed within the system design.

There is also a system under developement over here.Could be of interest to some.
Using Amibroker complete with code.
http://lightning.he.net/cgi-bin/suid/~reefcap/ultimatebb.cgi?ubb=get_topic;f=49;t=000200;p=2#000024

 

[CanOz]

Come on people get on with it.!!

Shorter term.

Both Long and Short --- This will help satisfy those who are looking for some Swing Component in the system. Also there is an arguement that this Bull Market wont go on for ever.So Both long and Short will give some insurance to some--perhaps.

Portfolio of Stocks traded maximum 10-18 open positions at a time (Known optimum)
Hmm on reflection perhaps 6-10 positions as there are many with only smaller capital bases.
Under 20K,I think however it would be better to use a realistic Capital base,starting undrcapitalised isnt
an ideal beginning for any trader!

Suggest a CFD universe of stocks as thats the most efficient way to go short.




Absolutely DOOMED.Must be designed by Homer Simpson.
Unlimited downside potential and limited upside.

On Waynes adjustable exits.
Cant use them in a system as the variables have to be fixed.
Fine for discretionary,but how would you pick which variable to use?

We've got some issues with a CFD universe to discuss. Do we want a limited risk account? That is do we need GSL's on every trade or not. If not then i think that gives us more stocks.

We're probably looking at only 600 with GSL facility.

Cheers,

 

[tech/a]

We've got some issues with a CFD universe to discuss. Do we want a limited risk account?

Risk need not be more than un leveraged.

That is do we need GSL's on every trade or not. If not then I think that gives us more stocks.

My veiw is that yes to be able to go Long and Short particularly in a swing like stratagy you'll need all stocks capable of swinging. Also for testing purposes I dont know of any software that can split universes.Unless of course you have a long stratagy and a seperate short stratagy with their own universes.The can be run in tandem and I can also test them with tradesim in tandem.

We're probably looking at only 600 with GSL facility.

600 is more than enough in my view but see above.

 

[happytrader]

Hello all

How about a little battlers short term trading system (1 hour to 2 weeks) for those with only $2000, limited time, free charting software and trading only 1 leveraged bluechip stock at one time?

Cheers
Happytrader

 

[R0n1n]

+ 1 for short term.

 

[CanOz]

Hello all

How about a little battlers short term trading system (1 hour to 2 weeks) for those with only $2000, limited time, free charting software and trading only 1 leveraged bluechip stock at one time?

Cheers
Happytrader

Lets see how that would test out once we get to a testing stage ok?

Generally i think that will limit your parcel sizes if you use the 2% risk rule.

Cheers,

 

[nizar]

I used to use 2% risk but its way too much (Snake told me this a long time ago but i didnt listen

Now i use 0.5-1%.

 

[CanOz]

Heres where we're at:

A short term system

Trades CFD's

Long and Short

Can we agree on this and move along to entries?

Cheers,

 

[R0n1n]

looks good...

 

[doctorj]

You're the boss. I think it's only fair that you make these types of decisions based on the input of others given you started this thread.

 

[happytrader]

Heres where we're at:

A short term system

Trades CFD's

Long and Short

Can we agree on this and move along to entries?

Cheers,

Hi Canaussieuck

Will each trader take responsibility for the entries, exits and stops on a particular stock or stocks or does it have to be a joint agreement thing?

Cheers
Happytrader