Anybody would like to collaborate on building trading strategies?

Discussion in 'Strategy Development' started by mizhael, Jun 18, 2010.

  1. I have been crazily testing out trading strategies, ...

    and soon I realize that there are so many concepts and ideas out there, ...

    and I probably won't be able to exhaust all of them myself,

    if I could find a collaborator that would be great,

    we could divide and conquer, ...

    for example, I really wanted to finish studying all those trading systems based on TradeStation, etc.

    Anybody interested?
  2. bespoke



    I've seen a lot of your posts and let me tell you what your problem is. You have no real trading experience. You're trying to fit a strategy onto data. You will probably never get real forward results this way.

    I started out just like you. I tested every indicator known to man on years of data for hundreds of stocks. Moving averages, CCI, stochastics, renko, kenko, kirilenko charts and the hundreds of other BS crap they use to try to sell you books and backtesting software. So many times I thought I had something but it actually got me nowhere. I tested shit from the moment I woke til I closed my eyes for months.

    I did so much testing that my harddrive eventually died from the constant reading and writing of files (I had no backup I was poor). It ended up being a blessing in disguise because I was only able to recover some of the data and it was so disheartening to lose all that work that I said fuck it.

    I sat in front of the screen pissed off and just watched the market and traded. You eventually see patterns that reoccur every day and you say to yourself "after this happens, this usually happens". You take that idea and you test it. Do this over and over until you find something that puts money in your pocket. And as you gain experience this process becomes easier and easier from the initial spotting phase to the testing phase.

    I haven't been trading long, just 3 years. Spent the first few months doing what you did. Then my eyes opened and I haven't had a losing month since Feb or March 2008. I've probably had about a dozen edges over that time, of which only 5 or 6 still work (I'm sure the others could still work given the right market conditions). NONE of which use any indicators, well, besides an ATR based exit/stop system for one strategy. All of these ideas could be traded by hand without the use of any math or calculations that couldn't be done in your head, but the point of automation is to improve execution, discipline and monitor thousands of stocks for more opportunities. I'm sad to say that I'm actually negative for all the trades I've entered in manually over the entire period since I've been profitable, ha.

    I guess the whole point of what I'm saying is you need screen time. Ya. More watching the market, less backtesting.

    Another thing. You speak of HFT but I really don't think you know what that is. 50% of my orders probably last less than 5 seconds, 10% less than 1 second, and 5% are at 150 ms (that seems to be the fastest I can get a signal, send an order, receive confirmation, send out another order to exit, get filled for profit). And even though that may seem fast for you, I don't consider that HFT at all. You have a thread about moving averages... that's not HFT...

    I don't know why I wrote so much. It will never happen again.

    BTW I'm not saying that strategies that use complex math don't work. It's just that I probably can't compete with them so I'll just stick to my niche. All my strategies could each be explained in one sentence.
  3. LeeD


    Hi Mizhael, I agree with Bespoke here. It is unlikely you will devise a self-contained highly-profitable strategy from replicating text-book examples. I am not saying simple ideas don't work but you should ask yourself... if a consistently profitable idea has been implemented in EasyLanguage and published in a book so that everyone can use it with no effort at all, why doesn't everyone make money?

    There is one thing that puzzles me about your situation. From reading other threads I understand you are working for a firm with serious financial commitment to systematic trading (KDB license alone is by no means cheap).... yet it seems you are left alone and don't receive any support from more experienced colleagues. It's either the colleagues think you are significantly more experienced in the area than you actually are or you are working for an IT executive who thinks investment in hardware buys talent.
  4. Regzyz


    Mizcheal, what you are trading, Stocks, options, futures and commodities? What kind of styles interests you, trend following, swing trading, scalping, or long term? Why you think ready made systems can make money for you? Why they sell it? Do you think those big financial institutions buy/sell because price breaks certain moving average, MA crossing each other, or some tech indicators form certain patterns? The key to successful trading is to find a niche, something unique. If everyone knows it, there would be no money left on the table and there would be no market. Is it possible for you to create your own signal system or find a special usage of existing indicators based on your understanding of the market? i.e. can you find a way to distinguish the rules and laws of market from seemingly random and chaotic price movements? Trading is unlikely most professions which you can learn by imitation. It is very personalized, it is a feel about the market, and it is to look for certainty in uncertainty. Hope this will give you some tips/direction.
  5. You won't find it spelled out for you but there are some books out there that have good ideas that almost give a good strategy. Determine what information to believe and what information to ignore.

    I for one wouldn't be interesting in collaborating because two people I know who trade very well are specialized. One guy only trades 2 or 3 different symbols. One guy only trades oil. I am picking a specialization, and am not going to be interested in techniques that, while academically intriguing, don't work for my chosen equities / futures / indexes / ETFs / bonds / currencies / commodities.
  6. Hi Bespoke, thanks a lot for your screen time to share with me your experiences.

    Are you saying that you are doing a visual "pattern recognition" via "after this happens, this usually happens"? And you are saying that indicators are craps.

    If that's so, then that's interesting. Of course I understand that "Pattern recognition" is different than indicators. On the other hand, it's really interesting to learn from you that "pattern search" does work... Good to know ...I should try some.

    And it's interesting that you don't use stops...but why are you using ATR based stops rather than trailing stops?

    How about both? :=)

    Yeah I do stare at my Bloomberg every day but I see nothing like "after this happens, this usually happens"... maybe I am missing something in staring at my BB?
  7. Hi LeeD,

    Thanks for your good points. I understand we cannot take the book strategies for granted, but on the other hand everybody starts from (1) reading about how other people trade; (2) do real trading every day...

    You are right w.r.t to my case... -:=) I am a newbie/junior from quantitative science background supporting global macro/discretionary hedgefund traders. They kindly gave me a small book that I can play with... It's fun! :=)

    And thanks for your good replies to my other posts. :=)
  8. Everything.

    How about starting from "imitation"? Thank you!
  9. Yes, I like your points. There are noisy signals out there. It's up to us to sift out the noise and find the useful stuff.

    What strategy does that oil-guy use?
  10. As if he would tell me. And if he did tell me why would I tell you and all of ET? I will say, a while ago someone posted a question about correlations between oil and other commodities, you might try and find that post. As an exercise, it is interesting to note these correlations.
    #10     Jun 23, 2010