Trading Book

Discussion in 'Strategy Building' started by EliteThink, Mar 6, 2003.

  1. Hi Tony, for the past year if the time filter is moved back an hour it performs better. For the above report I simply left it as is trading at 1300 est or later. Are you monitoring it?
     
    #21     May 14, 2003
  2. Tony, nice to hear from you a while back.

    The L/S hasn't hit a new high in 7 months which is the longest period in the past 4 years. This could mean there has been a character change in the market but it is tough to say. Since the equity high it has given back some 400 points of the 2150 points collected but still up nicely during the duration. Good trading.
     
    #22     Jun 1, 2003
  3. JT47319

    JT47319

    Since I am a purely discretionary trader, I never automated or programmed a trading system even though I think I may eventually to compensate for my trading weakness, namely long-term trend following (I work better in a ranging price environment).

    I am curious though, a common blindness I see in other traders is that they use the wrong tools at the wrong time in the wrong environment. When it is obviously a trend day, I can sometimes catch a small wave, but usually I'm smart enough not to stand in the way.

    Yet you will still see traders trying to use oscillators, like RSI, to trade on a trend day.

    So it occurs to me that the best system(s) would combine methods that would "scalp" profits in a ranging environment (of which the market spends the majority of its time), while catching the large trend waves where real wealth can be obtained when price action is unidirectional.

    It also occurs to me that the nature of a bear market and a bull market are significantly different, as would be subtle differences of a cyclical bull in a secular bear (or vice versa). Why is testing and optimisation not done for these different types of markets?

    Why assume and design a trading system that works/backtested for the entirety of the life of the market which displays different behavior at different times? It would seem to me that one should have a system that was designed for bear markets and one for bull markets, in addition to operating in ranging environments as well as trending ones.
     
    #23     Jun 2, 2003
  4. JT, you are right in your assessment of the goal. In order to reach that goal, though, the market environment has to be quantified somehow and therein lies the difficulty. In my observations once an environment is identified most of the 'environment' is over.

    So to address your enlightened comment instead of trying to identify environments and often being wrong much of the time we build a system to be tested at all times.

    There may be a way to match market tendencies and systems but I haven't found it yet. Good trading.
     
    #24     Jun 2, 2003
  5. FinStat

    FinStat

    so......$46, 750 account for an expected potential daily drawdown of same?? great return if you don't go broke first. 1.53 profit factor?? it's a bold stance you've taken
     
    #25     Jun 2, 2003
  6. Account size required is simply a statistic by TS stating the amount necessary to trade the system. As you inferred it would not be wise to be undercapitalized and most big sp systems require more startup capital than this. Although this system is merely used as an example its net profit to maxdd is decent in 4 years.
     
    #26     Jun 2, 2003
  7. JT47319

    JT47319

    Here's another question, do you use just regular trading hours for the S&P e-minis? or do you include overnight sessions when backtesting as well as actual trading?
     
    #27     Jun 2, 2003
  8. This test was produced with both session data.
     
    #28     Jun 2, 2003
  9. JT47319

    JT47319

    Right, but do you find that using out of session data is useful? or harmful? or negligible to your trading? and design?

    Is it noise or do you find it actually useful?
     
    #29     Jun 2, 2003
  10. Good question. Although I find that overnight atr levels are increasing, as well as volume, I still think building systems over the day session only is still viable. What have you found?
     
    #30     Jun 2, 2003