Organized Systems Sharing

Discussion in 'Strategy Development' started by rlb21079, Apr 2, 2003.

  1. Firstly, sorry to all those whose threads I mucked up airing out my early ideas.

    Within - Forums ›› Main ›› Trading ›› finding an edge...simple? - I posted the following thoughts (this is a simplified version):
    <#'s provided for reference to the default thread pages>

    What if "sharing edges" (something most traders don't want to do) itself became the edge? As a group we yield tremendous power.
    As a cohesive group of individual traders we could:
    (1) Attain the resources available, until now, to only a select few
    (2) Move in and out of markets with relative ease

    'Hi a ooiioo a,' responded with the following challenge:
    I like your idea. As with many innovative /groundbreaking ideas, you as the originator of the idea will have to be the one to get it started, before anyone else will join in with you.
    'Hi a ooiioo a' later elaborated on my original idea in a very encouraging way.

    After posting some other thoughts <11>, I've come up with what I think to be a workable framework. The basic idea is to share trading systems and ideas in an organized fashion so as to eventually arive at a collectively produced trading system. Anyone who chooses to participate will need to submit a complete trading system and review atleast one other participant's system. The following guidelines shall apply:

    (1) Clarity: In order for this to work submissions must be absolutely clear to even the most novice of trader. This is not to say that one must provide a history of EMAs, but should provide the full version of abbreviations atleast once, eg exponential moving average.
    (2) There is no need to reveal any secrets: The goal is to create a new system, not steal the work of others. It is an opportunity to test out some new ideas which you may not have had time to develop.
    (3) Completed Systems: A full working system needs to be submitted. If you have an idea for a good entry, but have not come up with an exit select something arbitrary like a 5% trailing stop and note that you have done this. This is necessary for two reasons. One, it helps to have a starting point for critique and backtesting. Two, as I will be compiling the submissions, I would like to standardize my procedure as much as possible.
    (4) Include Backtesting: If backtesting is possible, please provide it in atleast a rudimentary form. The same reasons apply as in 3.
    (5) Include a general overview your system: Its general premise, expected time frame of operation, origins, etc.
    (6) When in doubt, provide details: During both the submission and review process, the more details that can be provided the quicker a system can be developed.

    I will be compiling the submissions but will release the raw data to any participant upon request. The data will not be released at any point to a non-participant. After the submission date (yet to be determined) there will be at most a one week period, while I compile the data, before the peer reviews can begin. There will then be a one week period for review submission. At the end of this time I will begin a new thread to evaluate our progress. If all goes well, I'll have worked out the logistical problems bound to arise and things will then continue more rapidly.

    To participate please post a reply to this effect within this thread, questions and comments will also be entertained. The submission of systems, however, will be done via email - so please do not post them here.
  2. This is a great idea and I want to participate .
  3. Walther,

    Great! I didn't set a date b/c I wasn't sure how long it would take for a response. Two questions: (1) Can you have something ready by Sunday? (2) Do you think we should wait for a few more participants? ie: 3 more for a total of 5?

    I am going to start a database which will include the participants names and email addresses. Your name will go in and for security purposes I'll post a dumby email address of mine here: - and ask that you send me an email so that I may have yours. No need to post everyone's email on this thread.
  4. man


    I would like to participate.
  5. eyecheck



    Great Idea. I develop tradestation strategies but I am always looking for other ideas to help diversify my techniques. Depending on the rules, I'm in.

    If I understand correctly, this group would share strategies with which I am ok with in small #'s; I think this is the point of doing this. On the other hand, I don't want approaches going to lots of different places.

    Maybe you already have planned this but maybe I could suggest a way to help facilitate this.

    My thought is we would post system results up for systems that we are willing to swap with others. If the concept is automated and backtestested, then could post equity curve/stats. If discretionary, the person could post paper or real trade results/stats.

    In addition, I think the person should indicate if this is setup for one equity or futures contract, etc. Also just a brief description about general idea behind it.

    The purpose of the above would then to be to allow others to contact that person, via PM, to see if they would like to swap that system concept for another. That way, we can somewhat control where our ideas go and also look for concepts that match our own styles of trading.

    Just a thought.

  6. Man,

    Send me an email to the address I placed above ( with your email address.
    I am setting a tentative deadline now of 12am Sunday, April 6. If this is a problem for either of you (or any future posters) please let me know.

  7. eyecheck


    So here is an example of how this would work if you like my idea. Somebody would post something like the following:

    The attached (hopefully since I have not done this before) is a countertrend technique applied on daily bars. Entries are at market open and exits at market close and the technique holds for several days so has overnight risk. Backtests well on Techie type stocks such as MXIM or KLAC. Performs poorly on slow moving NYSE type stocks.

    Only one parameter is used so probably not overly optimized.

    Test results are for 100 shares only, no MM applied.

    Sorry, I have not figure out how to get the equity plot out of TS yet so that is not attached. As you can probably see from the #'s, very smooth.

    Willing to trade for intraday or daily based system applied to equities with strong performance.

  8. Eyecheck,

    Thankyou for the input. You bring up some interesting points. One, that the ideas may go in very different directions. I am not too concerned about this, I would like to keep things very open. As moderator I will be doing my best to bring things together at the end of the first round. But, I would like to see how the first round goes all on its own. Above you will see that this is not so much a swap right now as a think tank via an idea-peer review cycle. What you are suggesting may prove useful down the road however, so thanks!

  9. Eyecheck,
    Just got your second post.
    Looks like you've got most of it in place already, would you care to submit the system?

  10. eyecheck


    As I indicated, rather than submitting systems to a black hole (sorry absolutely no offense meant), I would much rather work on a swap basis where somebody contacts me based on they think they like my system. Then they offer me some tests results that gets my attention on a system they are willing to give me. If we agree to swap, then we do it on a private transaction.

    Again, may not be what you have in mind.

    #10     Apr 3, 2003