ssrrkk
Registered: Jun 2005
Posts: 433 |
01-21-12 01:29 PM
I have spent a year building strategies, and I have come a long way since the beginning. I have built a complete ATS from scratch for TWS, and a complete independent back testing and plotting framework; I built an SQL database and data cleaning routines to automatically download and store all my minute data; I have found a few algorithms that make money consistently with full accounting of slippage and commission; I have forward tested those and confirmed they do agree with my back test on a trade by trade basis at least for the last 4-5 months. But so far, the best ones show a PF of about 1.6. I have many ideas that I would like to implement that I am certain should improve my PF. However, in the last month, I have hit a brick wall and my progress have become slowed to almost a halt. I can't describe it well but it feels like a version of writer's block for programming. Everyday, I sit down, and I spec out my new signal and I start writing subroutines that implement it in my back tester, and then I get stuck. I am unable to make the decisions that I used to make quickly and test the idea. I try to force a decision and start writing code, and then I later scrap all of it and start over because of some problem -- e.g., the routine gets too long and messy, or the logic would require too much rewriting of old stuff, or I start to doubt the design of some of the lower level classes and start thinking about re-implementing some of those, or I even start doubting the signal and I start searching for a better definition of my signal, etc. etc. So for the past month, I have been spinning in circles, not able to make progress and code in the new ideas that I am almost certain will improve my PF. It's gotten to the point where every time I sit down, I get a sense of dread that I will end up not being able to implement anything again that day. I guess I am kind of burnt out but I am not sure why. I am almost certain I can make significant improvements, but somehow deep inside, I am tired of it or I have huge doubts or something. Anyone else ever experienced something like this?
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