The usual question: how is it possible?

Wow, I didn't think you'd actually reply with useful info. Thanks!

I've been using time of day since the beginning. I test my strategies against 1 minute data using custom programs; the reports I generate also break out profitability by time of day.

I haven't really had any luck finding strategies that work consistently. Basically I've tested everything I could think of or have read about, and nothing seems to work. I have some ideas about why that may be though; so I'm not giving up yet.

My next line of inquiry will probably be trying to to do automated recognition of support and resistance, so that I can backtest strategies using those concepts.

I too tired to go through your post in detail right now, but I have saved it and will be giving it the scrutiny it deserves.

One thing that I disagree with you on is the concept of reversing a losing strategy. I've tried that, and it's never worked for me. It's not because of commissions; it's due to volatility being too high and stops being hit, or due to the setup being tested not having enough predictive power in either direction.

 

I'm with asiaprop on this. The whole thread is starting to smell more like BS.

To the OP: how much do you make a month? 10% is great but how long has your system been profitable and what are your net #'s? You mentioned you feel guilty that doctors/lawyers have to work and you don't. Do you make more than them with your system?

I could go further but I'll stop there and let you contemplate that if this thread isn't a gigantic troll bait.

BTW, if you ever have a problem with too much money, I have a Paypal acct you can transfer into.

 

You're right - reversing doesn't always work. But if your original strategy lost a lot of money and lost it consistently (month after month), it will probably work.

Finding support and resistance in an automated way... the closest thing I could come up with is using today's high and today's low - after at least half a day has passed. (Too unreliable to use yesterday's as well).

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I have a question for everyone. I need help with downloading, from IB, via an excel historical query, the CL contract for April 2009. It gave me all other contracts (before and after), but April 2009 doesn't seem to exist. Can you tell me way? There should be a CL contract for every month of the year. Can you tell me what I am doing wrong? I am attaching the TwsDde.xls sample sheet with the Historical query all set up. Also, if you just find easier to post that one month of CL data, please do so. I just need the daily closes.

 

Around the discussion of reversing strategies. I'm not a proponent of that but it did bring up the topic of problems with stops getting hit.

Here's a point you must learn and understand through experimentation.

Never use stops in historical testing. Unless you use the TickZoom platform.

Nearly all the successful traders who use historical testing dump the trades into Excel and apply money management there--outside of the historical testing platform.

TickZOOM simply handles them properly during testing and thereby eliminates the need to do it separately in Excel. That both saves time in strategy development and makes it easy to "flip the switch" to trade live.

Let's leave it for homework to figure out why the common platforms handle money management stops so horribly.

The best homework is to create a strategy (any strategy) and apply the stops in the platform and then remove them, dump the trades and do the same thing in Excel. Notice the difference.

Then switch to TickZoom to save time if you can afford it.

Hopefully this helps those who wish to get to the point of feeling guilty about how much money they make without working for it. *wink*

Sincerely,
Wayne

 

Thanks for the advice. Luckily I hadn't done that either. I avoided using stops because I felt I might risk overoptimization, but even before that because they weren't improving my strategies (which had time based exits).

 

Ahh. You figured this out for different reasons. But it's a key to success.

The most important key to success in general is how to properly handle losing trades.

Properly handling stops is only one of the many lessons.

I'm still learning in this area also. Portfolio risk and position sizing are my newest area of growth.

By the way, Travis, if you use money management properly, either in Excel or by using a better platform like TickZOOM, then they really do improve your results significantly.

The best traders use time based, max and min profit per trade, per day, per week, per month, portfolio position sizing, and many more all on the same strategy.

Note, even time based stops are usually handled poorly on most common platforms. In other words, you get far superior results when you use stops outside of the common platforms. Time based would be trickier to do in Excel but still possible.

Time based stops work "correctly" in TickZoom.

Sincerely,
Wayne

 

Money management - new discovery to me. Until 6 months ago I reinvested all profits in all systems regardless of their past (back-tested and live) performance. Now I am using a formula that allocates capital according to performance both in back-tests and in real money trading.

"The best traders use time based, max and min profit per trade, per day, per week, per month, portfolio position sizing, and many more all on the same strategy."

Regarding this last sentence, thanks for the advice. The problem is that I have to keep things as simple as possible. I can't handle so much sophistication right now. I would lose track of what I am doing.

Also, regarding tickzoom, it sounds great, but as I said in another thread to Edbar who was telling me about the advantages of his software, there's only so many things I can try before being too tired and therefore becoming inefficient. After 12 years of working on this, I am so tired that I don't feel I will ever change broker or platforms (TWS, Excel and TradeStation is all I am using). As I said earlier, to succeed you have to assess correctly how much energy and skills you have and if they will be sufficient to achieve a given goal, and then limit or discard the goal depending on that assessment.

Like here at work for example. They gave me one task and I did it well, even perfectly. Then they added another task, and then another one. Then I had to tell them: "I am warning you - there's only so many things I can do before starting to not do them well anymore. If you keep on adding things, I will start doing everything in a worthless way". But they kept on adding tasks - 'cause the other colleagues, being slackers, didn't want to do anything, and the boss could only count on me (and I also told him "go pressure them instead of me - they are having endless coffee breaks and phone calls"). So, instead of doing 10 things badly, which my body refuses to do, I decided I will just do the usual 5 things well, and when they'll find out that I didn't do everything I was assigned, I will tell them "go ahead and fire me, I warned you many times". Before firing me, they would have to fire 90% of the bank employees. There's people here listening to the radio all day long.

So it's the same for trading - I can handle TWS, Excel and Tradestation. I know I am unable to handle more programs and try new software, because otherwise I am going to lose control of what I am doing and be less efficient. I strongly believe in doing one thing at a time, doing it perfectly, before moving on to anything else. Like for example I do not use RSI because that formula seems too complicated to me. It has too many implications. I can understand High, Low, Close, and what time it is. With those I built something that works - it doesn't work very well, but it works. Simple, reliable. Doesn't promise very much, but it delivers what it promises. If I have a 5 components in my system that I fully understand, the system is under control. If I introduce in it something that I don't understand, the whole system gets out of control just because of that little ingredient. Maybe it has something to do with what you were saying about not using stoplosses in backtesting.

 

great advice? Dude, you are as snake oil as it gets. Letting others create parts of your "open source project", then locking it up to entirly credit yourself and still calling it open source and now bashing other platforms for being unable to manage what you claim your product does. Bring forward the hard facts instead of BSing around how its some "homework" to figure out what your ware does vs. others.

 

so do stops of ANY kind in pretty much every other testing platform worth looking into (Smartquant, Right Edge....) Your way of advertising your products is so creepy, unbelievable you have any customers at all, your comments raise pretty much every red flag there is.

 

Nobody, whatsoever contributed to any of the open source prior to going private. It was originally built entirely by myself. Later, it was opened to the public for a few months and the only contribution were users who tried it out and reported installation issues (fixed) or other suggestions for enhancements (some added others still on the list) or defects (fixed).

Interestingly, at least a dozen people contacted me all excited about the quality of the code and wanting to contribute, but they never did. Not a single one. Most of them signed and faxed an agreement guaranteeing it would always be open source to them if they did contribute something. But nobody did. That's why I dropped the whole open source silliness for the public. It took up too much of my time without any contribution.

Now, in contrast, the paying members have contributed significant code.

Go figure. It's kind of funny how several people bash TickZoom for "imaginary" contributors who got stiffed. Hilarious!

Let them complain for themselves. Why spend your time complain for non-existent people?

I mean this with all respect. You must just be misinformed.

Wayne