Developing a Trading System Step by Step

When building systems I really like to limit filtering. Every trading methodology needs filter to make it tradable, the problem is if you overfilter the system might lose money when the core system without filters actually made money.

Filter are just that , filters. If I have two core trading methods a gauge hem on there core , or code + 1 fundementally sound filter , like a volatility filter.

In terms of divergence here an example using a moving average difference. This can get replaced by MACD. This is an example which ships with the product.

'Simple system To test divergence , prints results Of Function To Print Log.
'TradersStudio(r) (c) 2006-2007 All Rights Resevered.
Sub TestDivergence()
Print FormatDateTime(Date)," ","Bear"," ",BearishDivergence(Close,Average(Close,5,0)-Average(Close,35,0),5,125)
Print FormatDateTime(Date)," ","Bull"," ",BullishDivergence(Close,Average(Close,5,0)-Average(Close,35,0),5,125)
End Sub

adaptive equity curve giveback uses statisical analysis to decide on exit signals. For example , in a give market what percentage retracement can you have without violating an uptrend. What is the average RSI value at a 20 bar swing high ?. What is the standard deviation of those values ?. When we reach these points we use classic protective exit methods.

I gave you enough to get the idea as you can tell this is valuable research.

 

I wonder if it is necessary to have three moving averages. These rules might model the same trading concept with two moving averages:

1) Buy when closing price is less than fast moving average value AND

2) fast moving average value > slow moving average value.

 

Yes that another variation and could also work but we would need to test it compared to 3 moving averages.

 

To learn more of MA crossovers, please see following:

http://www.elitetrader.com/vb/showthread.php?s=&postid=1985129#post1985129
http://www.elitetrader.com/vb/showthread.php?s=&postid=2130065#post2130065

 

Are they any systems using adaptive moving averages?

 

i registered in order to be able to see the second video but i can't see it without buying it.
did you ment it is abailable to see for free or we have to buy it?

 

We just tested it and it worked. Did you log in and use verification code you received the first time to finish your site registration?.

It does work and it's available for free if you are registered on the site without any additional cost.

 

OK, i got it.
thank you.

 

I am going to start posting again soon and am going though all threads to see what topics have interest for me to address when I start up again.

 

Are they any systems using adaptive moving averages? Thanks