pneuma, I have a couple or so questions, if you wouldn't mind: 1) What software are you using for your automation? 2) I assume you trade futures as you are using leverage? Or perhaps CFD (since you're in Australia)? 3) I'm also an Aussie (living in the US); what city are you located in? Richard
The systems we stolen, begged, plagarised, borrowed, read about ... you get the picture. Look the more you research and chat and learn the more you can do. Go to a seminar, go home and code your new info, then develop the system. If it works great, if not who cares, toss it. TFL - trend following long Dip buy systems buy when the ticker drops outside it's normal trading range and sells when the ticker recovers - short term stuff (2-3 days). I don't know what QQQQ or SPY are. I use Wealth-Lab, but Amibroker is good too, with EOD data. I use stop and limit orders that sit in the market until the turn into market orders. My brokers platform allows me to do this. I mainly trade CFD's, not available in the States and ordinary shares. No options, futures or Forex. pneuma
You haven't addressed the questions asked of you, but I am going to assume that your system (1) is based on EOD data, and (2) buys pullbacks. If this is the case, then I hate to dash your hopes, but you may have a big problem with data. In my experience with EOD data, which is pretty extensive, the daily lows are sometimes NOT what was actually printed intraday. Bad prints are logged as the daily lows, when indeed they were not. So your system would show a profitable trade, when a trade would not have occured at all. This happens often enough that it can really skew your results over a periods of months/years. So going forward in trading, be careful and watch for daily misprints.
When i create a strategy i turn my mind in a 3D diagramma of opt parametrs and measure the value of robustness for me...I do this for profit and DD...and after that i start study a perfomance/
this is sometimes called survivorship bias and it is a true nightmare. if i recall correctly, including all ticker changes the SP1500 had 1100 changes in the nineties. these things are massive problems for backtesting long only single stock systems. they can easily wipe out the edge or, seeing it differently, a system can be fit to this very phenomenon that a database does not contain changes. i would consider trading a short component against the long side. even if is on its own not worth doing it could enhance the robustness big time. in fact most long short equity players are more or less breakeven on the shorts, which just balance out the overall market risk.
agree that EOD sometimes are not reliable. In the past 6 months, I encountered at least twice. But it doesn't affect my system much, at least not in that period of time.