The next level...

Discussion in 'Strategy Building' started by funky, Jan 30, 2004.

  1. funky


    DAY 63:

    lol, what a joke, i had no idea the journey ahead of would take me on about a 6 month journey of finding myself. finally, after about 12 months and ton of trading days, i have realized the power of my math and logic background, not to mention my programming skills.

    i have a m.s. and b.s. in both electrical and computer engineering from carnegie mellon university, and i can tell you that yes, taking some serious programming and logic classes can really help, but what helped the most was my experience on a software team, knowing how to work through a problem, after i got out of college.

    just recently i started approaching the market differently. for about 8 months, i had been watching markets and did what i like to think was real-time backtesting. lol. after 8 months i started to really dig deep into systems trading. i utilized my knowledge of over 10 languages to start coding up strategies. the thing is, all of the ideas i had from the last 8 months, wouldn't work in backtesting. everything i tested actually, did not work. what i had thought were good approaches to the market, were, in fact, not so good.

    this was a wake-up call big time. i started really reaching out and investigating different approaches and strategies for all kinds of markets, focusing on efficiency this time instead of individual results. i begin learning how to characterize a system, designing entries and exits separately, and what things to look for a tradable system.

    i moved on to really nice backtesting platforms, with a customized harness for my system. i quickly identified a major pattern within the markets, you know one of those 10 or so patterns to look for (some dude from market wizards said that, not me), and began to characterize it.

    anywhoo, without getting into specifics now, i just want to say, i had noooo idea what the hell i was talking about on 'DAY 63' ;)

    for all of you wannabe traders, DO NOT UNDERESTIMATE the necessity of having the skills to define and characterize a strategy before making any $$. i've been watching alot of people since i started, and the ones who are trading with a clearly defined, optimized strategy are the ones who are making the dough. this means seeing 3-d graphs of all kinds of shit ;) testing for system stability and linearity. that kind of stuff. the battle is won in trading before it ever begins.

    that brings us to the present. i feel great recently, as i am just finishing up a auto-executed system that will run over a ton of markets. it doesn't seem right, but i am actually going to be making shitloads of money by just waking up and turning my computer on....and clicking start. who would have thought? the money isn't made trading, its made designing and planning optimal entry points in the market.

    of course, these are my observations, and not to be intended as THE ONLY APPROACH to trading, so please no flames of the sort. i am a new trader, only a year old now, and i am merely bored b/c the mars exploration rovers briefing hasn't started yet, and i thought i would give out a shout to all the people who are following all this nonsense on this board.....

    peace out
    -funky :cool:
  2. Funky,

    I have begun to come to this same conclusion. Kudoos on figuring this out much faster than myself. For a long time, I resisted the notion of anything resembling an automated strategy. Just wouldn't believe that sort of thing would work. I believe otherwise now.

    I do have a major problem, and I'd sincerely appreciate your input. I'm no programmer. Every time I start trying to learn more, I go into brain lock. I like math and statistics. But the programming part is such a hurdle. I've played with Tradestation Easy Language and can do some simple stuff. Beyond that, I don't really know where to start with searching for a useful pattern or how to implement.

    My question to you boils down to this I think: do you have any suggestions on how to stimulate creativity in this area, and do you think a non-programmer can just slog his way through, learning as he goes.

  3. I think this is so important. I'm not a systems trader, but I did a lot of backtesting several years ago, and it was very valuable for me. It's at least as important knowing what doesn't work as what does. Suffice to say that most of what passes for trading methodology will not test profitably over time. That is not to say that a gifted discretionary trader can't make money trading a poor approach, for example intraday breakouts. He may have the skills or instincts to know when to use that approach, and it can be next to impossible to program that intuitive or cognitive filter.
  4. pspr


    Funky, some deep stuff. Did you manage to work your pivots into your final (maybe I should say, most recent) method?
  5. Funky,

    Which backtesting platform are you using?

  6. Soesman


    Carnegie-Mellon, wow Funky, I am impressed! How did you survive Pittsburg!

    I have been a trader for the past 10 years, managing many larger firms along the way and testing many methods and even more execution systems, from Black Boxes, grey Boxes, darts etc., and to tell ya the truth, the best method I have found is understanding people. its people we trade against. The money you want to make in the market is right now in someone elses pocket and he has no intention of giving it up easily. Trading methods all have their merits, but understanding people is very much a key part of the game.
  7. Good post... even discretionary need to backtest their discretionary systems, in some form or another...

  8. Best single paragraph in the last 12 months.
  9. cool post. Thanks
  10. maxpi


    I'm right there with you, getting ready to cut loose with some automated strategies from TS7.2 to IB via Dyanorder. Going to test things with 100 share orders, not play much of the account at first.

    The latest thing I learned aboiut strategy design: try to have all of your trades give about the same percentage gain. This could be deduced from "The Art of War" wherein the author advises that each person on a crew should not be required to do too much. That idea helped me to cut through some brain fog, couldn't decide when to exit trades, finally I realized that some could be exited at a certain point, the money applied to another area and then the same trade could be reentered when it took off again.


    #10     Feb 2, 2004