How often do u change your system?

Discussion in 'Strategy Building' started by capitalMan, May 5, 2004.

  1. how long does it take for u to come up systems? either to replace existing ones, or compliment it.

    How long does the process of reseach, development takes?

    I come up with a new system about every 3 months, this timing been quite consistent, it may be related to my drawdown cycles, I only want to work when I am in a drawdown. When things are rocking, I am just kind of lazy.

    I am curious as to how everybody goes about developing their system.
  2. You sound like you've been system trading for quite a while.

    How's it working out for you? Are you consistantly profitable?
  3. I ran my money up a 100 times...It's so unbelievable that I don't expect anybody to take me seriously.

  4. Turok




  5. IMHO your mech. trading system should not be changed except minor tweeking maybe twice a year at the most. changing is a major mistake.
  6. Luto


    I use the changes as a measure of stability.

    Each time there is a change it is catagorized 1-4. 1 Being major 4 being cosmetic. If there are any 1-2 level changes, the system is still in developement. Usually they spawn additional changes.

    My current system is finally stabilizing with few level 3 changes and one level 2 change in the last month.

  7. Good for you !

    It would be nice if you can post basic description of a system you have discarded and not using anymore so we, system tweakers , can play with it.
  8. benysl


    normally it take me weeks to develop a system for a market. Occassionally it take months normally if I fail to develop a system within a months I likely give up on that market. My most recent development is in Eurex Markets. Stoxx first I develop it in 2 weeks, paper trade it for 2 weeks and found major fault discard it. Spend another week nowhere change to Dax, bunds, bobl, finally settle at DAX, then back to stoxx.

    For me drawdown is part of a system, a system must have drawdown, if you cannot accept the drawdown of the system shouldn't be trading that system in the first place. Anywhere normally I tested the system over a period of 3 years at least and expect every year to be up to my expectation. If the system work for the last 3 years, I won't expect to be changing it in 3 months time unless it has FAIL but very often hard to know when a system has fail or just suffering a drawdown.
  9. I end up replacing systems when they fall significantly outside the parameters I expect. Sometimes it's a structural change in the market that renders the model invalid, sometimes, I simply don't know.

    It generally takes me weeks to months to create a system around a concept

  10. guys are not taking me seriously..are u?

    that's sort of return is next to impossible.

    I don't know anybody who have done it

    #10     May 5, 2004