Developing a mechanical system from scratch

[lesm]

Can,

Happy to help out.

It sounds like you may be using IG Markets for CFDs, with the previous reference to 600 stocks

For anyone that doesn't have them available, I have attached the IG Markets shares lists. One list contains all 600 symbols, the other contains the list of the shortable symbols. These can be imported into AB watchlists or Tradesim.

Cheers.

 

[R0n1n]

ROn1n I've got to wonder why this guy would throw you a system off the top of his head that he doesn't actually trade?

Canaussieuck May I ask whether this thread this is a serious attempt to develop a profitable short term leveraged system?

I don't mind if it is not, as it is all entertainment value, however, I would adjust my input accordingly.

Cheers
Happytrader

I had asked him for a simple system that we could look at and study. I'll get more details off him tomorrow.

Another point is that if someone has a very successful system, they may be hesitant to share it, specially if they know it gonna go public.

Like you said I am serious about this thread, and the only reason I posted that system is to get some ideas and brainstorm them.

 

[CanOz]

Can,

Happy to help out.

It sounds like you may be using IG Markets for CFDs, with the previous reference to 600 stocks

For anyone that doesn't have them available, I have attached the IG Markets shares lists. One list contains all 600 symbols, the other contains the list of the shortable symbols. These can be imported into AB watchlists or Tradesim.

Cheers.

Great thanks Lesm! hmmm, how did you get that?

HT - yeah we're serious, i think there are those that are filled with doubt, but i'm going to do this, one way or another and i thought it would be as beneficial to others as it would be for me if we did this on ASF as opposed to ReefCap....i think those guys could spit one of these out every couple of days if they realy tried.

I think its just facinating that this can actually be done....but we need to work together on this, i need some help here...scour the internet for AmiBroker code when you have time...

The good thing is we can all learn at this as we go.

I'll stick with this as much as i can as long as we all work toward this and not just interject to cause chaos.

Cheers,

 

[CanOz]

The more i look at the Tech Trader code the more i see so many brilliant nuances in it...

I really think it would be good to post the code again, so all can have a look and see why there is so much more to a good system than just entries....

Tech, what do you think?

Cheers,

 

[wayneL]

Great thanks Lesm! hmmm, how did you get that?

HT - yeah we're serious, i think there are those that are filled with doubt, but i'm going to do this, one way or another and i thought it would be as beneficial to others as it would be for me if we did this on ASF as opposed to ReefCap....i think those guys could spit one of these out every couple of days if they realy tried.

I think its just facinating that this can actually be done....but we need to work together on this, i need some help here...scour the internet for AmiBroker code when you have time...

The good thing is we can all learn at this as we go.

I'll stick with this as much as i can as long as we all work toward this and not just interject to cause chaos.

Cheers,

Worth being fair dinkum. Look what came out with techtrader. I'm sure even if folks don't use the exact sytem, they will have come away with great ideas of there own based on it.

Chuck LeBeau of system traders club (whatever happened to that?) suggested and atr*3 chandelier trailing stop. My own testing has 3.5 ATR as a good value.

This would obviously be for a more medium term system (Several weeks - months)

NB Submitted as idea for consideration only

 

[CanOz]

Worth being fair dinkum. Look what came out with techtrader. I'm sure even if folks don't use the exact sytem, they will have come away with great ideas of there own based on it.

Chuck LeBeau of system traders club (whatever happened to that?) suggested and atr*3 chandelier trailing stop. My own testing has 3.5 ATR as a good value.

This would obviously be for a more medium term system (Several weeks - months)

NB Submitted as idea for consideration only

Thanks Wayne, and thanks for the code too, saved them!

Cheers,

 

[wayneL]

Some thoughts:

The time horizon of the trade is largely a function of the trailing exit (presuming for a moment we don't use targets. The wider the trailing exit, the longer we stay in the trade... and also the more we give back at the end of the trend when it bends.

But we also need to consider the "normal" wave structure of price movement. With short term systems we need to do one of two things.

1/ ride out reasonable retracements in the medium trend by having our exit wider than these normal retracements
2/ avoid the retracements and try to exit before they happen - swing trading.

If 1/ then exits need to be wide enough to not infuriatingly take us out of trades just as they turn and resume their trend. This really takes us resolutely into medium term trend trades.

If 2/ then I'm a bit suspect that it can be done mechanically... or end of day mechanically at least. (could be very wrong however)

In any case this is going to make quite a contrast in time horizon between these two objectives. Perhaps we need to define this first.

Cheers

 

[It's Snake Pliskin]

Seriously Using a short term EMA like the above is going to get whipsawed to death.
Ive tested enough of these to know you'll go broke in super quick time.
Your mate worries me!!
Nicholas Radge should be along soon to help out.
I dont wish to Hijack this thread (Special cheerio to Snake).

Actually I would say your input is good t/a. It has stayed on track.

Can,
You need to tabulate the chosen parameters etc so we are all aware of them without having to read the whole thread. In your own time and there is no pressure from me.

Cheers

 

[Nick Radge]

It seems everyone is creeping back toward a trend following system. That's fine, but its been done with Tech Trader. Maybe Tech can post his code somewhere as a seperate reference and we continue on the short-term CFD thing here?

I'll put forward an idea and one that can be "eyeballed" and then "calculated". This will enable those without software to follow along.

A major belief of mine is that one needs to understand WHY a system will make money. With short term trading we need to get as much "bang for buck" as we can in a small amount of time. We don't want to hand around waiting for a sustained trend to get going. We want a result and we want it quickly. A quick result comes from an increase in volatility and an increase in volatility comes from a contraction in volatility. One follows the other - just look at any bollinger band and you see the action.

Therefore, if one is wants a quick move that comes from an increase in volatility then one should look for a the contraction of volatility that will be a precursor to the required move.

Now, this was done elsewhere in May 2001. I will not paste the link to those 6-pages out of respect to Joe, but anyone interested can PM me for that link.

So, we need to define a period of low volatility, but we also need to be able to "eyeball" it. How about this:

Here we have a simple pattern that has 3-days contracting. It's easy to see on a chart, it happens with enough frequency to be useful for trading and it fits with our theory of volatility.

Should we build on this?

 

[tech/a]

Nick.

Like all good "teams" there needs to be a leader.

I'm suggesting to the participants of this thread to allow you to "Head up" the discussion.

With everyone discussing whats offered up by Nick and others in discussion.

Rather than bumbling along with no cohesion.

The thread will just become disjointed with no format.



Needless discussion on a system which cant be dissected (I have one which returns 100% success rate but when the experienced see the code they know why---novices get all stary eyed and cheque crazy). just take up space.

I'm sure you'll all find that in the end its the Journey through building a system that will be far more rewarding and educational than the actual resultant system.


I say lead on Nick.

 

[nizar]

Worth being fair dinkum. Look what came out with techtrader. I'm sure even if folks don't use the exact sytem, they will have come away with great ideas of there own based on it.

Chuck LeBeau of system traders club (whatever happened to that?) suggested and atr*3 chandelier trailing stop. My own testing has 3.5 ATR as a good value.

This would obviously be for a more medium term system (Several weeks - months)

NB Submitted as idea for consideration only

Chuck LeBeau is a legend. Lots of mention of him in trading books.
I heard from an experienced trader that 3.5*ATR was a good stop as well.

 

[nizar]

Some thoughts:

The time horizon of the trade is largely a function of the trailing exit (presuming for a moment we don't use targets. The wider the trailing exit, the longer we stay in the trade... and also the more we give back at the end of the trend when it bends.

But we also need to consider the "normal" wave structure of price movement. With short term systems we need to do one of two things.

1/ ride out reasonable retracements in the medium trend by having our exit wider than these normal retracements
2/ avoid the retracements and try to exit before they happen - swing trading.

If 1/ then exits need to be wide enough to not infuriatingly take us out of trades just as they turn and resume their trend. This really takes us resolutely into medium term trend trades.

If 2/ then I'm a bit suspect that it can be done mechanically... or end of day mechanically at least. (could be very wrong however)

In any case this is going to make quite a contrast in time horizon between these two objectives. Perhaps we need to define this first.

Cheers

Tend to agree wholly with these.

Longterm trading is where the money is. Maybe thats why we are focussing on that.

 

[nizar]

A major belief of mine is that one needs to understand WHY a system will make money. With short term trading we need to get as much "bang for buck" as we can

But do we really?
(No disrespect, obviously you really know your stuff).

I remember reading in a book about how Ed Seykota started out, looking at Richard Donchians work about mechanical systems. Ed was saying he couldnt understand why mechanical systems outperform human discretion, but then he said, he doesnt think he needs to. The point is, it does.

 

[CanOz]

But do we really?
(No disrespect, obviously you really know your stuff).

I remember reading in a book about how Ed Seykota started out, looking at Richard Donchians work about mechanical systems. Ed was saying he couldnt understand why mechanical systems outperform human discretion, but then he said, he doesnt think he needs to. The point is, it does.

I see what your trying to say Nizar but i think they're different points.

Cheers,

 

[nizar]

I see what your trying to say Nizar but i think they're different points.

Cheers,

Can,

Why do you want to focus on short-term?
And others as well, why?

I seriously want to know, because i thought the way to clean up the markets was from riding long term trends...

Any evidence out there that short-term methods may/can perform better?

 

[CanOz]

Can,

Why do you want to focus on short-term?
And others as well, why?

I seriously want to know, because i thought the way to clean up the markets was from riding long term trends...

Any evidence out there that short-term methods may/can perform better?

I think your missing the point again, we wanted to design a system, a system that was different to Tech Trader in the fundemental way, ie. short term instead of long term...

The testing will prove whether it has an equal performance factor or not.

Cheers,

Also, I'm all for Nick leading the team here...no ego problem here, thats for sure! lol!

 

[tech/a]

Can,

Why do you want to focus on short-term?
And others as well, why?

I seriously want to know, because i thought the way to clean up the markets was from riding long term trends...

Any evidence out there that short-term methods may/can perform better?

Because its OLD GROUND.
If you want to study a proven longterm fully disclosed method then go here.

http://lightning.he.net/cgi-bin/suid/~reefcap/ultimatebb.cgi?ubb=forum;f=74

And you can have a higher annual return on capital trading shorter term---much much higher. Takes more time and effort to trade,stronger psychology,and better UNDERSTANDING of APPLICATION,but I've proven it myself.(to myself)

 

[happytrader]

Good morning Canaussieuck/Nick

Moving along, can we have some feedback on specifics like which stocks and the optimal number of them we will be focusing on as well as starting capital and stop losses?

Submitted for consideration: Personally I prefer bluechips as there is enough movement within a weekly range to make excellent money.

Cheers
Happytrader

 

[nizar]

Because its OLD GROUND.
If you want to study a proven longterm fully disclosed method then go here.

http://lightning.he.net/cgi-bin/suid/~reefcap/ultimatebb.cgi?ubb=forum;f=74

And you can have a higher annual return on capital trading shorter term---much much higher. Takes more time and effort to trade,stronger psychology,and better UNDERSTANDING of APPLICATION,but I've proven it myself.(to myself)

OLd ground for you, my friend

But fair enough, point taken, we can move on now.

Tech, just one point, have you proven it to yourself by trading short-term mechanically? I suspect you are talking about discretionary trading, well thats a different ball game

 

[CanOz]

Good morning Canaussieuck/Nick

Moving along, can we have some feedback on specifics like which stocks and the optimal number of them we will be focusing on as well as starting capital and stop losses?

Submitted for consideration: Personally I prefer bluechips as there is enough movement within a weekly range to make excellent money.

Cheers
Happytrader

Ok, just give me a bit of time here to get settled into my day job....how about i recap where we are....it might be a while...looking like a busy day here....Happy, you got some time to recap for us?

Cheers,