System development software

[Temjin]

Hi Nick, in your opinion then, would you encourage beginners to participate in a couple of different systems? ie. A long term trend following, and a shorter term?

I agree that everyone should design a couple of different systems that is valid to the current "big picture" of the market in which they are trading in.

If the market is in a trend, then trade it with a trend following system, whether it's longer or shorter term.

If the market is not trending with alot of volatility involved, trade it with a system that could capture and profit consistently from these short trending moves. (i.e short term swing trading, etc)

Both systems can be optimised and back tested in a time period that is appropriate for them. And when you can identify the market is in a mode that is more suitable for a particular system, then consider switching to adopt to it. (and more importantly, have confidence and discipline to follow it)

 

[CanOz]

The last bearish period was the 70s bear.
Design both systems and test them during this period.

Trading is all about probabilities - how likely is a bearish period to happen and last 10 years?

What i would do is simple;
Design a system based on data which is still significant to market conditions which the system in forward trading is likely to experience (post-1992 for ASX because the introduction of compulsory super gives an upwards bias to the market ever since it was introduced in July 1992, and thus data before this is no longer relevant due to the change in market dynamics) and then trade it.
You would know the max/min/average drawdown, max/min/average returns, largest string of losses, etc. When your trading results fall outside the parameters expected from the backtest results, then your system is no longer worth trading.

Then its back to tha drawing board.

Nick and others feel free to add please and correct.

I guess your right Nizar, i should just pull my finger out and develop a system and test it.

Cheers,

 

[CanOz]

Do we have a thread on the 'how to' develop a trading system, specifically how to design a system's buy and sell signals ( not looking at the money mgt. side just yet), where to start etc.? I've been playing around with EMAs, WMA, and MA's, but i feel there must be alot more to it.

Cheers,

 

[CanOz]

Do we have a thread on the 'how to' develop a trading system, specifically how to design a system's buy and sell signals ( not looking at the money mgt. side just yet), where to start etc.? I've been playing around with EMAs, WMA, and MA's, but i feel there must be alot more to it.

Cheers,

Got it.

Cheers,

 

[nizar]

My understanding is that if you over-optimised a system via historic data only, you will only get a system that will tell you how to trade to produce the most profit only during those past period. There is no guarantee that the system will exhibit the same type of performance if being traded in the future and thus, one of the best practices out there to system optimisation is to use forward testing over many different uncorrelated markets.

What I meant by forward testing is to optimise your system, for example, the period from 1995 to 2000, then test the system from 2001 to present. (again, FOR EXAMPLE ONLY!)

Though i didnt get it initially, now i understand your strategy to avoid curve-fitting.

 

[Synergy]

Has anyone developed a system without using a purpose made program and used something like Excel and started from scratch?

I'm playing around with Excel and seeing what sort of system i can come up with. Only playing at this stage though.

Cheers

 

[nizar]

Has anyone developed a system without using a purpose made program and used something like Excel and started from scratch?

I'm playing around with Excel and seeing what sort of system i can come up with. Only playing at this stage though.

Cheers

Synergy
Where are you getting your data from?

 

[ozymick]

Hi all!

Anyone using IC Investor?

If so please some feedback.

thanks

Michael

 

[Synergy]

Synergy
Where are you getting your data from?

Just playing at the moment so I'm just downloading stuff from comsec...
So I dont have very much data.

 

[tech/a]

Synergy.

Yes.
I believe Radge has.
There is no reason why not.
Only limitation is your skill.

Which when it comes to Excel---I'm hopeless.

 

[CanOz]

Ok, well i've just purchsed AmiBroker. Luckily i my GF has some programming experience. If the penny drops with the logic, we will be on our way to building a system to test within the year! lol!

Cheers and thanks for all the posts.