There are day trading systems that give consistent profit over 3-4 years... but what about 5 years ago? If system lost 115% five years ago but was profitable over the last three years - is it a good or bad system? I feel comfortable with system that being fine-tuned every half year. Sometimes, after such fine-tuning, backtesting results show losses. But if I understand why cirtain pattern changed, I can accept these results and proposed change in parameters.
I think you will find that you will have to "be there" when you trade. Anything automatic will work sometimes, but not others. I keep looking for that automatic program too. I use indicators that make noise so I make sure every potential good move has my attention.....but I still need to look before I leap in. Besides the fact is I have no clue on how to program this beastie. Look at TradeStationWorld for some ideas on their chat boards. There is a lot of worthwhile stuff there. Also you can pay someone to design it for you through TS, maybe go to one of their advanced seminars in Plantation. I agree that sharing does not ruin a system.
Axe- You've stated more truth than you even realize. If there was a STAR ratings system on ET this one would be a 5 on a 5 Scale, for those wanting a bit of advice to chew on.... I guess all I have to say is..you buried the hatchet on this post...no pun intended. -momo
Great thread, indeed. Thank you momo for emphasizing axe´s reply; helped me understand a few more things previously buried in my mind. Let me explain: Why do most mechanical systems fail in the trading environment? In my opinion, this question can easily be answered from an evolutionary point of view. A few years ago, an article from Alan Farley´s site started intriguing me - but it took more than 3 years before i fully understood all it´s implications ( btw here it is http://www.hardrightedge.com/wizard/ss1.htm ) Mechanical systems would be a great solution for complex systems that are not influenced by it´s actors; the best example for this is meteorolgy. Clouds, thunderstorms and tornadoes don´t care about the outcome. Both the weather and the trading environment are so called complex systems, and although both share the fact of uncertain predictability, there is one distinction in the equation that totally separates both. It´s the strategic element. Just like in nature, the players themselves influence the macroscopic outcome on a microscopic level. Just like in nature, the trading landscape offers plenty so called eco-niches, better known to us as inefficiencies. When, for example, rabbits were introduced to Australia a few hundred years ago for hunting purposes, nobody dared to predict that they would be such a such a succesful species that they would destroy entire landscapes and therefore the dietary basis for many other species. Same goes for cobras in India; they were imported from Africa with the aim to eat up all the rats that spread all along the subcontinent, starting from the european merchant´s ships. Eating rats was basically all they did in their country of origin, so, who could have predicted that they would instead eat all the domestic species in India? Another example of an evolutionary advantage is the emergence of hedge funds in the mid- to late 90s. While the evolutionary most successful strategy was the simple buy and hold approach in most of the past 20 years, this strategy was doomed to fail in trendless or bearish market environment. Just like the dinosaurs, the population of long-only funds started to decline slowly but steadily. Strategies in trading can becom obsolete just like strategies in nature: the best example for this is the species of the turtle traders. In the beginning, buying a new break-out was the name of the game. It didn´t even take a tradestation to make a killing in the early 80s by following this. But as time passed by, more and more people discovered this niche in the market, and so they encountered the fate that every overpopulated species is confronted with sooner or later. They became the prey of a new mutated species, the turtle soup traders: those did exactly the opposite of the former, namely they sold every new break out - and many of them made a killing. There is no constant formula for success, but there are several simple strategies that can still be successful, for the same strategic reasons that secured the dinosaurs known as crocodiles survival or scorpions (scorpions survived the last 400 Million years without major changes). Learn basic strategies and, above all, reach mastery in them! Don´t become distinct in your actions, become distinct in the quality of your actions (= risk- and money management). Just like Jesse Livermore wrote, "the business of speculation is so old, that there is nothing new to be found in it". Just like in biology, we can distinct between so-called r-strategists and k-strategists. R-Strategists are species that just bear few children and take care of them so that their chances of survival and future reproduction is very higt. Humans are an example for such a species. The opposite is the K-Strategists; these are species that produce many potential children, but only a few of them succeed in reaching the age of future reproduction. Mushrooms are a great example for such a species; they spread billions of spores through the air, but only a few make it. Here´s a break-through discovery by Doyne Farmer himself, as written in Hagstroms "Investing - The Last Liberal Art": Biological Ecology Vs. Financial Ecology Species Vs. Trading strategy Individual organism Vs. Trader Genotype (genetic constitution) Vs. Functional representation of strategy Phenotype (observable appearence) Vs. Actions of the strategy (buying and selling) Population Vs. Capital External Environment Vs. Price and other informational inputs Selection Vs. Capital allocation Mutation and recombination Vs. Creation of new strategies Regards from Hamburg Denis
Before programming you must know the art of programming. Any langage doesn't matter although some will be more efficient than others. Before trading you must know the art of trading, any techniques doesn't matter although some may be more efficient than others. In software architecture you have design patterns which are the most sophisticated approach today in designing a software but considered as an art, in trading framework you have chart patterns which are considered as the most weird approach and an also an art. In building robust software you need strong methodology, if trading for a living you must also rely upon a methodology. Of course any analogy is just short thinking which cannot reflect all the subtleties that would be necessary but it gives an idea.
If you have a good mentality and practice in one field like one in software ingeniering you can swith to another field by seeing similarities: http://www.amazon.com/exec/obidos/t...v=glance&s=books&vi=reader&img=13#reader-link Although it deals here with "Pramagtic Programming" there is many common points with "Pramagtic Trading" <IMG SRC=http://www.elitetrader.com/vb/attachment.php?s=&postid=244730>
I have posted some results from this system before on this board..I run this system only to cover expenses of my trading and it does the job so far..attach is simple performance of a very simple system...it could be dramatically improved..but I think it is example that you can trade a system and you can develop one and make money I am not sure if 'system experts' would qualify this system as a 'great' system..I have no idea but it works for me it is based on only ONE (1) ES (emini) contract and the results cover period of one year as of close on Friday!! the results are not optimized...
I think it was Edison who said "Genius is 1% inspiration, and 99% perspiration." What he didn't say is that the 1% of inspiration is the most important of the two (obviously; cause a lot of people work hard). My 2 cents worth of advice: First, shape a good question (a hypothesis). Then test for answers. Never the other way around. A shotgun approach alone will probably not get you anywhere, because the variables that relate to market action are almost infinite. In other words, trading is a science as well as an art; but it's mostly an art (dependent on intuition and inspiration). Hence, the 1% success rate. sax
To Vanilla trader : creating a mechanical system denies some realities of this bussiness... the first great truth is that you have to much variables on the market, that combining them on the course of time you have probably infinite outputs. When you create a mechanical system, you are assuming that the variables that were present at the time you designed the system wil be there for ever and unchanged, unfortunately thats not truth. Time makes does variables change in a drastic matter, and when I say time, that can be from yesterday till tomorrow or next week... This bussiness cant depend on mechanical factors, It may depend more on the understanding of the "climate" of the market and the statistical output you expect on this climates... from there on you should develop different discretionary aproaches to your trading, that will fit this diferent "climates"... in the market... hope this helps.