%% Yes, Steve+ i would try to get your wife in on it.Better yet, since i invested 20+ year$ in the home improvement business, remember to get you wife a good Moms day card, or whatever she like$, with in reason. I'm over 44 year old, since average age of expiry is 88/+; so you can see why i'm concerned about big drawdoWns , more>> than most t turtles. I've see greeting cards on IBD {Investors Business Daily Top Trenders; but like an elite trader says[even though i' single now] ''i ignore nose unless its my wife'' LOL-TRUE. I prefer home made cards; hedge fund did real well trading noise but they live near NYSE
Lots of good comments. Yes, my system still has discretionary components so I can't mechanize it yet. Most important is that it scores potential investments by various weighted measures, including trend strength and value, but it has no minimum score, no definite trigger. My policy has been to stay fully invested, buying the top-ranked assets and moving down the list until all capital is absorbed. The first half of 2016 was great because of strong trends in emerging markets and certain commodities. Not so great since then. Now I am shifting toward holding some cash when the markets don't favor my system. I need to decide these things at least tentatively before I can turn it into code and back test.
You can neither automate nor back test a "system" unless you can define it objectively. In your description, you use words like "arbitrary," "judgment," and "sizing is by feel." An algorithm doesn't have feelings; it can't make arbitrary trades; and it has no judgment. You must be able to define every action your system takes based on data.
%% Good points, Steve .Nothing like a good , smooth trend , to help win. NOT a prediction. By the way; i meant to quote that married elite trader , correctly ''i ignore noise unless its my wife'' LOL . Another strange pattern; some men + wise women can make wise decisions, ''by feel .'' But any could easily get into trouble ,''sizing by feel'' My guts tend/try to get me out of a trend waaaaay to early, so i study charts more when that happens.
This thread has helped me firm up some of my system rules. The "by feel" zone is smaller. Also, reading "The Way of The Turtle" by Curtis Faith has helped in that I am now moving toward a position sizing rule whereby each trade has an equal risk ((purchase price minus stop loss price)x number of shares) rather than an equal investment amount. Back-testing is on my back burner now.
Steve- a good backtesting platform should include position sizing parameters. They are not mutually exclusive. Here is a link to the system I use...different ways to backtest.. http://www.amibroker.com/kb/2014/10/12/position-sizing-based-on-risk/
%% DR Van Tharp has always had some wise writings; i still think he should check with his wife, even though she knows NOT much about trading.Usually a remark like Steve made, ''beginners luck'' LOL / luck, usually would be very much a danger signal, but since i use discretion in my replies also , the feel part of his position size was the main danger.