A question to this community: Are the trading houses normally use a model for their trading activity? Do they do backtesting and then follow the model for trading? Or do they use a model just for assistance?
Before you trade with your system, I just want to let you know that anything can happen in the market. It is Murphy's law that govern the market.
Yeah, there is always some unexpected risk, no matter how good your model is. But this is the life in this kind of business, right? Otherwise, I'd put my money in savings account.
Trade it. Or you can print the code, frame it and hang it on the wall, but that would be a pointless waste of time.
What should I do with my model? This question should be asked at the beginning of the design, not at this stage. Why you spent so much time for developing something that you didn't have a clear picture of what you are going to do with it. IMO, it's very easy to develop something that work base on past data. We just look to the known data and try to find the formula of it, bingo. But what will be the formula of something that going to happen? To correct this problem, why not make some changes, if any, to the system to use current data (now + tomorrow) and if it works well then you know exactly what to do next.
a couple of comments. first your approach has been the correct one imo. specifically the decision of signaling just long entries. most probably, the edge you've locked in is due primarily to the positive drift that stocks and indexes have. i would say that a equivalent system to signal short entries would be far more difficult to accomplish and i doubt you can devise it as an extension on the existing code. secondly, there are hundred of trading systems available out there which buy and hold for a couple of days and have a robust historical track record. most of them are widely available to any informed retail trader. obviously, these systems dont have any locked edge even though it is quite possible they'll continue to perform well in the near future, they are essentially a time-bomb ready to go off. hence this means that, most probably, and i am sorry to say this, your system doesnt have any value as "marketable" product or service. to illustrate this just check how the "sell in may and go away" has performed in the last 10 years using the nasdaq components and you'll see what i am talking about. lastly, i would add a recommendation. why not spending some time translating your work to the emini futures? if the logic doesnt work with futures, then it is obvious it wont work with stocks either imo. benefits are two-fold, first you check the system robustness and on the other hand you'd be able to put it into action with just a fraction of the capital. good luck
My idea was primarily inspired by the text book "Mechanical Trading Systems - Pairing Trader Psychology with technical analysis" Wiley 2005, by Richard Weissman. Do traders really use some models that are backtested or they just use their sense to trade?