Dilemma in creating a system ...

Discussion in 'Strategy Building' started by BrooksRimes, Oct 3, 2005.

  1. After many years of hard work, I have been unable to find/create a system to trade.

    In some ways, deep down, I feel that trading may be too complex to systematize, so I look at discretionary trading methods. But even discretionary trading has rules. In order to "prove" that a discretionary trading method "works", you either have to do one of 3 things: trade it in real time, trade it in a simulated mode or back test it. #1 and #2 take a lot of time and then you only know how it works over a relatively short period of time.

    #3 allows a test spanning years but can be difficult and in some cases near impossible to code. This also gets into all the complex and time consuming issues of optimization, avoiding curve fitting, walk-forward testing, etc. I often find that a system will work well for a given period of time but becomes unprofitable or has unacceptable low profits over a larger test. Occasionally, I have also come across systems that generate decent profits but have unacceptably large drawdowns.

    I feel like I'm stuck in a rut and don't know how to get out. I have reached a certain level of competancy in coding and testing systems, but don't know how to get to the next level.

    I certainly don't expect anyone to give me the results of your hard work, but assuming you are a successful system trader : ), I would appreciate any nudges into the right direction.

  2. mmillar


    Because there isn't a system out there that will provide what you want. You need to run multiple, less than perfect systems, with good money management.

    Either that or your expectations are just too high.
  3. AaronCapps

    AaronCapps Global Futures

    what type of strategies have you been trying to program?
    swing, position, futures, stocks, forex, day-trading.
  4. rwk


    There are profitable systems out there, but they are not easy to find. I have found that, when I am in a rut, what works best is to take a break (usually in months or years), plus do a lot of reading. My best ideas come from my subconscious, and it doesn't like being rushed.
  5. AaronCapps

    AaronCapps Global Futures

    that's a great quote
  6. Some of the strategies I've been trying to program lately are:

    1. An opening range breakout based on an article by Kevin Ho.

    2. An ES scalping method using Parabolic SAR based partially on work by:

    3. Candlestick reversals using Evening Star, Morning Doji Star and similar patterns.

    Have been working almost entirely with ES and daytrading.


    "what type of strategies have you been trying to program?
    swing, position, futures, stocks, forex, day-trading."
  7. AaronCapps

    AaronCapps Global Futures

    a lot of people have been having more luck with the ER and some with swing trading, position trading with Forex. I think you may have some luck with ORB on the ER
  8. Hi Brooks,

    There is a general misconception that it's possible to design highly profitable, highly accurate day trading or swing trading systems. While I'm sure they exit, for most of us, we have to settle for something a little less flashy.

    I suspect that the best you can do over an extended period of time is about 15% to 25% return on account, with 2x margin. Drawdown will be in the 10% to 15% range for good systems (imo).

    For most, this is not "exciting" enough ... I'm happy to trade for numbers like that.

    Finallyl, I suggest that you really take a look at all the references I sent you a few months ago. There are more than enough solid concepts in there for make a fortune over a life time (but not by tomorrow).
  9. rickty


    #10     Oct 3, 2005