Off topic?? No... I think it's maybe the punchline of the whole topic. Thank you. And you can't overemphasize the importance of getting into an office and getting in touch with other traders. If you're trying this at home and it's not working, and you're serious about it... you owe it to yourself to try this before giving up. It may make a tremendous difference. Thanks again.
Depends on your timeframe (and that's not a cop-out)... give me more information on whether we're talking about daytrading, swing trading, position trading, etc. Also, your risk tolerance is a factor. In general, listed stocks behave well. Except when they don't. (And there's the problem because any seemingly docile market can turn on you without warning and become a monster.) Currency futures are nice... grains are nice (except when a single contract can bankrupt you)... I always had an affinity for the softs.... meats tend to be hard... metals are hard... stock indexes and bond futs trade well swing trading but are hard intraday... actually, grains are VERY hard intraday. get the idea? tell me what you want to accomplish and we'll go fromthere.
Any thoughts on why such a well documented system (Sp add/del) continue to be profitable for years? Wouldn't such a system be arbed away? This system reminds me to go back and reread Altucher's "Trade Like a Hedge Fund" which discuss his version of SP add/del.
James best system was the gap trade by far, though. To this day works, and with the mods I made to it, holds a 4th spot for highest wl score: http://wl4.wealth-lab.com/cgi-bin/WealthLab.DLL/getpage?page=Top25.htm And the 9th spot for most profitable market order script ever published: http://wl4.wealth-lab.com/cgi-bin/WealthLab.DLL/getpage?page=Top25APR.htm I fully expect that system to converge on both highest WL score and most profitable. It has reached #1 in both categories for months at a time before, and it will do so again. Great ideas, but needed some fine tuning. I would say James has some very good ideas to use as shell programs, and is a friend of mine on facebook. Just as in those systems and many systems I've done before, there is always a tweak that can add substantial long term value to a system. If it adds 10% annually to a 15 year backtest, why the hell wouldn't you make the tweak? The same case with the system in this thread. The one autostop that requires optimization is the days to exit. I'm sure the 25 days can be optimized, and I would also bet that 25 days is <b>not the optimal time based exit, no matter if you want to go by trading bars or calendar days.</b>
Well I don't know exactly, but my guess is that the amount of money that has to be moved in the time available is just so large that there's no way to hide it. It goes back to what I said earlier... one of the reasons we make money trading is that we're playing a different game. Do you think these big funds care that we make a few sheckels when they buy and sell? Not at all. The amount of money required to arb this away would be staggering... I guess maybe that's the reason, but like I said this is pure speculation.
No doubt... I'm sure you can optimize it too, but our goals are different. You can optimize and tweak all you want if you want to create the "most profitable script" on some website, but that's not how you build a robust system for actual money trading. By the way, the best way to look at something like this is not by optimizing a system, but by looking at the aligned day by day returns of the signals and the histogram slices through those days. That's a much more accurate way of understanding the tendency.
That means one could potentially start a 25M-50M hedge fund just on this strategy. I think the academia people are just nuts not at least trying to turn their research into real money. Anyway, I really like these strategies with these intermediate timeframes and actually see that someone do trade them profitably. I personally don't have the patience to wait 25 days, and I believe the OP is right in that few retail traders will have the patience and discipline to follow this thru for a year. Most stock traders I know like the instant gratification (or grief) of trading intraday to within a few days and they all lose in a bear market.
no, your answer is not a cop-out. i should have been more specific. i have been focusing on intraday trading because of the assumed lower risk (and my small account size). what markets would you suggest are best suited for this?
talon, Hopefully these questions arent too off base in the discussion. I know your time is limited so I will try to keep it short. I have a system that I believe makes sense and is logical which is your number 1 in the 3 steps. When looking to test it and backtest it without using too many parameters, what are the keys to focus on for a simple TA system like the following. I am looking for what parts of the system I should be testing to make it effective. Some description of the current study. 1. A trend following system that play pullbacks and correlates to the trend of a major index. (What measurements should I use to gauge the trend being in effect? Up weeks? Pivot breaks?) 2.Draw down - A blowout stop and a soft stop. (A measurement of stop sizes based on range or s/r or something else?) 3. Targets - How to determine the most effective targets? Predetermine amount, average range, standard deviations? I know this is basic stuff compared to what was discussed earlier, but as of the last 6 months this strategy I have been using has been working and is slightly discretionary. This is based on a system that scans for stocks with no concern for sector.