how do you say oversold/overbought in easy language?

Discussion in 'Strategy Building' started by travis, Jun 14, 2003.

  1. travis


    I have been working on a very simple signal consisting of:

    - moving averages for entries and exits
    - time restrictions
    - trailing stops triggered beyond a profit target
    - stoplosses

    I have been testing it on several time frames. The shorter the better for both profit and drawdown, but beyond 5 minutes the testing becomes endless, so I will stick to 5 minute bars.

    Now I have one last input to add, but no idea how to begin doing that - my comment on the code reads {*** ADD THIS: If there was a big enough fall in the opposite direction then enter on signal ***}

    What I am trying to make my system do is - after telling him with profit target and stoploss to stick to its trades - trying to make him take better decisions, by only taking trades in a direction opposite a "big enough" fall (in the opposite direction). "Big enough" will be an input to be optimized, but the problem is - how do I tell it to only take signals (ma crossovers) that come after a fall in the opposite direction? It should be something like "if currentbar has a given RSI (or stochastic?) then accept the following signal in the opposite direction"...
  2. I'm not sure what you're trying to do but maybe something like;

    If RSI(length) = (Input your own value) then begin;

    Then start adding your entry MA crossovers. For Example:

    If average(fastlength) crosses below average(slowlength) then
    Sell at market;


    It's just an example. You have to be clear on what you're trying to program. I wish this helps a bit.

    Good Luck!


    :D :D
  3. I think I'm missing something. You can check some pre-programmed system and add things so that it works. Just wanted to give you an idea.

  4. travis


    Wow, thanks, I didn't think it could be so easy as to just write "if rsi(length)=x..."

    Thanks, that is what I needed.
  5. travis


    I think I understood how to do it. It doesn't mean much but I got a 30% improvement on net profit.

    This is what I wrote:

    If CurrentBar > 1 AND RSIClassic(Close, RsiLengthOverSold) < RsiOverSold AND Fast Crosses Above Slow Then Buy This Bar...

    And so on for the rest of the signal. Thank you all.
  6. Be careful trading the system you're designing.

    I hope you'll forgive me if I have leapt to the wrong conclusions about you personally, but you appear to have more faith than is justifiable in basic backtesting results, optimization, and the ability to re-produce test results in real trading.

    Anyone who's learned how to use EasyLanguage and TS optimization should be able to develop a system that appears to generate profits and profit factors to drool over and an equity curve that marches unstoppably into the clouds. There is a whole cottage publishing industry devoted to the theoretical and practical reasons why such results are virtually always illusory.

    "Simple" for a real system trader means as few elements to optimize as possible: Some demand no optimization. By many standards, what you describe is far from "simple." It appears to include upwards of five or more variables for optimization (i.e., "curve-fitting). You should also be extremely careful about results that may actually be artifacts of the software and its built-in assumptions and structures, especially when applied to small time frames.

    I could go on and on on this subject, but let me put it to you this way: If all it took to make substantial profits trading was a home PC and a few widely known indicators and trading methods (profit targets, trailing stops, stop losses), why would anyone use any other method to trade? Why would anyone work a real job? Why don't system-traders rule the world? Why aren't you constantly hearing about people who've MA-crossed their way to riches and comfort?
  7. travis


    Yes, thanks for the advice. What you say is reasonable, and you may even be right that I am going the wrong way about building a system, but you are not showing me the way to do it, at least not clearly enough.

    You're telling me "watch out, what you are doing may be wrong, you may be over-optimizing your system", but you are not telling me "look, this is the way to do it".

    Give me your system, or show me a system that makes sense to you, and show me the report (or does it have to lose money in the past to make money in the future?), and the settings, and give me the .ela file, and then I will really be grateful.

    Otherwise you're just discouraging me. You're doing it very politely ok, but it's still not helping me at all. Show me the way to do it, instead, and then you really help me.
  8. Hey, he's just helping you out. Fye's comments are helpful.

    I wish you good luck and welcome to the world of system trading.

  9. Bob111


    GO for 1 min! make money quick and easy! short when RSI overbought! Booop Boop Boop A! yeah! now you go lady!)))
    what you working on - is machine to poor house.
    100% agree with Kymar.

    -----Give me your system, or show me a system that makes sense to you, and show me the report (or does it have to lose money in the past to make money in the future?), and the settings, and give me the .ela file, and then I will really be grateful----

    give me a system? for free? no problem!
    here is tons of them- far more complicated than yours-

    there is enough to spend entire life digging this gold mine))))

    here is one-just for you-
    in tradestation or whatever you have-
    add channel breakout for both long and short, use ATR trailing for both. apply on 1 min nasdaq chart and that about it. then enjoy beautiful equity curve view))))

    heh.. i wish it was that easy...sell when rsi overbought..

    start from longer frame and very small money, then move to shorter frames.

    Good Luck!
  10. maxpi


    System development is interesting. Been doing it off and on for a few years. What it seems to come down to is that you discover a few truths, that improve your system, that set you off on a new round of system development.....

    I'm pretty convinced that I will have some good ones eventually. I had some in the past but they worked in the up-trending markets of 1999, very efficient at buying the dips and getting 5% nearly every time. What issues you run your systems on is a very important parameter, what works on an uptrending growth stock won't work on a different stock. I tailor strategies to the issues and I did a lot of work on learning just how to categorize the issues. I often do some research and do not come up with the same answers that people seem to hold to. All of this "general knowledge" that you pick up from traders has to be tested, by you, so that the results will fit what you are specifically trying to do. Active Trader magazine has articles that challenge generally accepted things.

    Many people fail in that they can't follow their systems once they get them developed, and many of the systems fail going forward when they worked on historical data. People back test and optimize on one set of data and then re-test on some other data that they did not use in the optimization. I don't know if they then go ahead and fail in real trading or what!! RINA systems sells random data that people test systems on, I really, really don't know what that is about.

    Since most people fail to follow their systems when they trade, I recommend autotrading systems, no excuses that way. One thing about autotrading, it forces you to define exactly what you are doing. I often wonder just how "systematic" some of these systems are that fail.

    There was a journal on ET a while back wherein the guy, had he followed his system, would have lost a little, but he kept screwing up and using discretion or panicking or whatever so he lost more than if he was disciplined!! And that was with a system that looked good in backtesting, so there ya go. I'm hoping that persistence will pay off, I'm sure not a genius. I can tell you one thing, if you disprove all these naysayers and academics you will be one happy sucka because the potential for growing an account with some good systems is truly astronomical.

    The truly skeptical people are like a weight tied to your leg. They slow you down. If you do succeed in developing a fantastic system and cash in big-time they are going to say you were lucky. Might as well get used to ignoring them now rather than later!! I know a guy that worked for a trading firm as a mathematician doing regression analysis. The firm went belly up and he flat told me that regression analysis "does not work" for trading. Within a couple of weeks I had a discovery using regression analysis that refined a signal for me, made it more reliable. I had been working with the reliability of that signal for 3 years, improving it slightly here and there and then even more using something that had been "proven" to not work, and by a really bright guy too. Everybody's opinion is worth about what you pay for it, basically.

    #10     Jun 15, 2003