SP trend following System

Discussion in 'Strategy Building' started by acrary, Oct 14, 2002.

  1. nitro


    To be honest, I have no idea what it means to overtrade. To me, there are as many setups as there are, no more or no less. There are days when I work for IB - not doubt, but I do not know which days those are before hand?

    A different argument is whether the particular style of trading you are doing suits your personality - if it doesn't, I can see why one would complain that it is comission intensive.

    Trading styles are like the ocean and not like a pond - in the pond there are 1 or 2 fish. In the ocean however, there are thousands of different fish thriving, and each is food in one way or the other for the one up the food chain...I think trading styles, even successful ones, live in the ocean...

    #41     Oct 19, 2002
  2. I agree ...
    #42     Oct 19, 2002
  3. nitro


    I apologize for the above - I was responding to another thread, and somehow it landed on this thread :confused: :confused:

    nitro :confused:
    #43     Oct 20, 2002


    i love you guys!!!!
    again, hunt down a copy of Williams and Noseworthy's book on trading, and try to get Williams Inner Course, and you'll sell the same patterns this trader is trying to elucidate,... articulate as being an "edge". (just get any of williams books in the last 5 years).

    An edge, is what Vegas has been built on.

    Markets change continously, and unless your system has close to a 1000 trades, with very few degrees of freedom ( variables in the system), and has a profit factor of >2.2 and a sterling ratio of greater than >8, START OVER.

    the edge enable this guy to retire .... his edge was probably in the retail end of business...comissh's baby!
    #44     Oct 20, 2002
  5. To MISSNP,
    Just because you are asuming too much( without any knowledge whatsoever about ACRARY )you and your bitchiness cost this forum experienced trader. Congratulations!!
    Where is your system description?
    #45     Oct 22, 2002
  6. Walter, I can't tell you how many times a decent thread turns into an infantfest by a few miscreants. And people wonder why 90% of all traders fail? I'm surprised it isn't higher.
    #46     Oct 22, 2002
  7. stu


    Another reason why they fail is that the thread owner hasn't the gumption to answer infantfest critisim . If these remarks are that childish, a simple explanation would do the trick.

    'Great Traders' don't start a post then run a mile 'cause it got a little choppy.
    #47     Oct 22, 2002
  8. The sar breakout system is a system that I believe has long-term viability. I've tested this idea for months on end and have applied many entries and exits. The bottom line appears to be this: it will always win about 40% of the time which means there will be a max string of losers of around 9 trades if one can handle it. There will also be a few months with huge winners to make up for the rest of the year of small wins. The profit factor will rarely be over 1.5 and usually around 1.3, this means if the entry type causes slippage severe damage can be done to the average trade but entries that discourage slippage will enhance the system.

    At the beginning of this thread it was stated that this system could break down at any time but that it has never had a losing year in the last decade. My explanation for this, for what it is worth of course, would be that if a market trends for any decent amount of time, this system has to make money. The reason is that if this system is losing regularly then the market is simply reversing at the highest highs and lowest lows and the entire breakout system can be faded for profitability. At this point in time I haven't been able to fade this idea profitably over the long term (5 years min) and if the system was faded the market would stop reversing. Therefore this is a system that will come in and out of phase of the market at times for months on end, usually hitting a historical maxdd in statistical alignment and then hit spurts of high profitability and year over year come out ahead before slip and comm.

    Good Trading!
    #48     Oct 28, 2002
  9. I was wondering if any Wealth Lab pros could shed some light on the system Acrary is proposing here. I have attempted to code the system just for kicks but have got very different results as those posted here. Below is my code:

    {Use 30 minute bars}

    {var Bar: integer;

    for Bar := 20 to BarCount - 1 do

    if LastPositionActive then begin
    if (PositionLong( LastPosition )) and (ADX( Bar, 14 ) < 25) then

    if LastPositionActive then begin
    if (PositionShort( LastPosition )) and (ADX( Bar, 14 ) < 25) then

    if not LastPositionActive then begin
    if ADX( Bar, 14 ) < 25 then begin


    It is buying at the Highest High of 15 bars, shorting at the Lowest Low of 15 bars, and exiting at the retracement to the 5 bar high or low respectively. I am using 30 minute bars. The system uses a fixed 20K position and uses $10RT in commisions. Granted this system does not incorporate the 2% account sizing but assuming we are using 1X leverage there are very few adverse moves greater than 2%. Can anyone tell me why my results are so terrible? Almost every year I test is negative.
    #49     Nov 26, 2002
  10. Opm, try PM'ing Volker Knapp. He is very good with the WL code.

    #50     Nov 26, 2002