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please comment on my trading system


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please comment on my trading system

  #21 (permalink)
pepelucho
portland, OR
 
Posts: 50 since Nov 2009
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Underexposed View Post
Just an observation as a person who does not do this type of trading.

Your title asks for comment on your trading system and you produce a chart that obviously shows a positive result. However, you state nothing about your system that is really worthy of intelligent comment.

How are you going to benefit from knowledgeable criticism when you give few details to evaluate??? Makes no sense to me.

I've also posted all the statistics generated by the Tradestation report. There's a lot of information there. What other information do you feel is necessary for intelligent comment ?

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  #22 (permalink)
TraderJim618
Falls Church, VA
 
Posts: 25 since Oct 2013
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Thanks for more clarity. I understand your reluctance to give away the fundamentals of your system.

A friend of mine, Joe Rios, founder of Rios Quantitative, developed an automated trading robot he named Einstein. It's quite effective when utilized optimally. Einstein is activated by the trader making a discretionary decision, and it's premise is based on bull and bear trading zones. Once activated, it takes it from there in determining the entry and exit based on your pre-set parameters (time frame to engage a trade/profit objective/stop/quantity). One version (presently for Trade Station only) even allows a trailing stop capability.

Some general things Joe found in his development of Einstein:
1) Successful equity curves varied for different instruments depending on the time frames traded for each specific instrument (i.e. Generally you would not to trade Crude or Nat Gas during the Tokyo session, after 2:30 PM EST)
2) The best profit target odds put the profit target objective at $190-$200/contract, with a $300-$400 stop depending on the instrument traded.
3) A risk-on environment strongly favored an instrument like Crude long entries since it is a risk commodity, and conversely with a risk-off environment (BTW, NG is what I consider an independent commodity, so it is not influenced by risk on/risk-off scenarios).

Anyway good luck.
Jim

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  #23 (permalink)
 
sam028's Avatar
 sam028 
Site Moderator
 
Posts: 3,765 since Jun 2009
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For all over-fitting questions, I'll recommend this excellent paper: Pseudo-Mathematics and Financial Charlatanism: The Effects of [AUTOLINK]Backtest[/AUTOLINK] Overfitting on Out-of-Sample Performance.
A must read for all automated traders.

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  #24 (permalink)
EliteThink
seattle washington usa
 
Posts: 13 since Apr 2014
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Nice curve, what size bars is it built on?

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  #25 (permalink)
pepelucho
portland, OR
 
Posts: 50 since Nov 2009
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sam028 View Post
For all over-fitting questions, I'll recommend this excellent paper: Pseudo-Mathematics and Financial Charlatanism: The Effects of [AUTOLINK]Backtest[/AUTOLINK] Overfitting on Out-of-Sample Performance.
A must read for all automated traders.

Unfortunately this paper pretty much concludes there's no way to come up with a programmatic trading system, at least not using any historical data. And using future data is impossible. So lets all just give up ?

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  #26 (permalink)
Yigui
Singapore
 
Posts: 2 since Jun 2014
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Why don't you test your system start from 2007 instead 2009? If you can get a similar performance, you may have something reliable.

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  #27 (permalink)
Yigui
Singapore
 
Posts: 2 since Jun 2014
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Also, I notice the time between profit peak is 279 days, something not tally?

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  #28 (permalink)
 
sptrader's Avatar
 sptrader 
Colorado
 
Experience: Advanced
Platform: MultiCharts
Broker: IB & Iqfeed
Trading: ES , CL
Posts: 535 since Apr 2010
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When I think that I've found the automated "Holy Grail" , I simply run it real-time, on my simulated IB account for a few months..(using IQfeed for data), That will show very quickly, if it really works or not...

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  #29 (permalink)
adrianhagh
singapore
 
Posts: 1 since Jul 2014
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I think its been several weeks since OPs posted that delicious equity curve.

Was wondering how have the system fared since then ?

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Last Updated on August 11, 2014


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