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Herman, Bill, Marshall,
Excellent feedback, perhaps we should continue discussion on the -ts
board. As Herman stated, longer term systems would suffer less from
overcrowding, although the number of people on this board really is a
drop in the ocean to the liquid US markets (unless everyone is running
large hedge funds ;-) ).
As you say, finding a tradeable mechanical system is quite tough due
to drawdown and runs of losers. To overcome this problem, I have
developed a list of objectives required to minimise these problems.
For example (objectives and reasoning):
1) US index system (liquidity, available leverage, availability of
backtesting data, NO SURVIVORSHIP BIAS, internals - more detail below)
2) Timeframe - daily (day job, less time in front of the pc)
3) Max. drawdown 2-3% (index percentage). For example, on a dow
system trading one YM contract per $5K account value, 600 points or
5%DD would lead to a margin call. Objectives 4 and 5 are also critical.
4) Winning percentage > 70% (Small runs of losers and strong
bounce-back after drawdown).
5) Small amount of capital allocated initially, say $10K or 2
contracts. For emotional wellbeing, but also ties into point 6.
6) Profit target 30%. In the dow example this allows capital to
double several times per year using fixed fractional money management.
While indicators do work for some, they are only derivatives of price.
I believe that using the power of amibroker to study the index
internal components, one can arrive at a robust, high win% system
fitting the above. If this type of system interests collaborators, I
have some starting points which work quite well.
Kevin
--- In amibroker@xxxxxxxxxxxxxxx, "steesehwy" <steesehwy@xxx> wrote:
>
> Marshall,
>
> I'm in group 1, I suppose. I have a good grasp of programming and
> trading rule development, and recently came to AmiBroker (and the
> Yahoo groups) to learn how to use this product to validate methods
> (back-test, optimize, etc). I'm considering automated trading, to
> remove the occasional discipline problems I have with taking all my
> setups, and exiting according to all my exit rules. I'd be glad to
> join a group 4 (non-freeloading research), though each of us may have
> very specific issues. Note that the AmiBroker-ts group discusses
> trading system development, but is a much less active group than this
> one. If some folks would like to continue this discussion there, or
> in a new group, I'd be glad to discuss AmiBroker trading issues and
> research areas of mutual interest.
>
> BTW, my current trading consists of intraday Russell 2000 emini
> (Globex, ER2).
>
> - Bill
>
> --- In amibroker@xxxxxxxxxxxxxxx, "M. Smith" <ink@> wrote:
> >
> > Herman, I have been trading for over 35 years. I have met many a
> trader who says indicators are the only way and I have met as many who
> say you are nuts to waste your time on them because of the randomness
> of the markets. Now, Those who use indicators and do relatively well
> are statistically in the minority. That is usually because even with
> a good system, they can not consistently use it. They alter their
> trading rules during the day. Personally, I have been with the
> Amibroker group for a long time. They have all been as helpful as
> possible. What I have noted about the group over the years is that it
> can be divided into groups. Group 1 has the programming language
> capability and good sense about trading rules. They put together their
> systems and really do not share their work. Personal choice. The 2nd
> group is a group who has a great mind for sequential formula
> development which assimilates the rules on paper,but does not have the
> programming skills. They seek advice from simple to complex issues of
> language. #rd, is the group who want everyone else to work out the
> bugs and then write out the formula and tell them when it is ready to
> use. That is strictly the way I read the group. I would love to see
> the great minds of the group work as a team and see what is there to
> assemble into a winning formula for the group to try and produce data
> for testing. It is called research. Then everyone has a stake in the
> development process and is not freeloading on the ph.d's and other
> brains. I would love to see it run as a separate group and have a
> large number of participants. That is only my feelings and would like
> as much feed back as humanly possible. Limited feedback means no
> takers and an interest level in work is nil. "Sey la vie". Marshall
> > ----- Original Message -----
> > From: Herman
> > To: amibroker@xxxxxxxxxxxxxxx
> > Sent: Monday, January 01, 2007 11:40 AM
> > Subject: RE: [amibroker] Very profitable DOW system
> >
> >
> >
> > Group efforts have failed consistently. People are ready and
> willing to help with programming and technical issues but when it
> comes to sharing serious ideas on trading systems it simply doesn't
> happen. Dimitri might have been an exception by sharing many excellent
> ideas however his systems were always long term, such systems are not
> easily jeopardized by over-trading. Many of his systems can be found
> in the library, I haven't tried any lately so it is hard to say
> whether any would still be working... most systems have a definitive
> lifetime. There are many private groups that share internally and
> appear (not sure) to do reasonably well.
> >
> > Perhaps there simply aren't many good mechanical systems around.
> Personally I believe that the most successful traders are successful
> because they use good judgement and money management, not because they
> have a good mechanical system. I also think that a trending market and
> lots of good luck are critical ingredients for many traders. Also,
> adequate money for a portfolio or a stomach for 13% DDs may be
> required to succeed - I wonder how many are in such a position?
> >
> > best regards,
> >
> > herman
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "kevinoversby" <kevinoversby@>
> wrote:
> > >
> > > Thanks Randy!
> > >
> > > Your post just set off the lightbulb - that timing issue
completely
> > > explains the outperformance.
> > >
> > > Herman - your question is academic now unfortunately but I
think the
> > > answer would be that the results do not change much.
> > >
> > > There is some work I have been doing on tradeable instruments
> such as
> > > DIA using the individual components (based on Dimitri's work).
This
> > > in turn was inspired by the results obtained by www.dowtrader.net
> > > using a similar approach. Do you think there would be any
> interest in
> > > collaborating on such an EOD system on this board?
> > >
> > > Kevin
> >
>
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