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Hi everybody,
I am a "pasive" omega-list´s reader, I mean, I dont use to send too much
e-mails. Maybe because I am Spanish and sometimes I cant express
correctly what I want to say. But I have decided to send this mail to
the list in order to get the opinions of most of you. I have been
developing some trading systems for intraday trading, closing all
positions at end of session. To develop my systems I have used several
ideas obtained from several systems, (those systems you have to pay
+1000$ to get them and promised you a complete success in your trading).
You may wonder why I dont use the systems as coded when I bought them.
My opinion is that if someone sell his/her system it is because he/she
now has different systems/ideas that improve the performance of the
system he/she is selling. So if they have improved systems, why cant I
improve it (or at least try to improve it)? And this is the reason I
like to develop my own systems from "expert´s systems". Couple of weeks
ago we could read in the list the discussion about "Aberration", a
system that cost about 1700$. I also tested Aberration in my data and it
did not get good results, and so I was impressed with Mark´s
performance. But his performance came from his betsizing estrategy, and
I think he would be able to make money from any systems (not just
Aberration). And so I think we have to combine both systems and
betsizing estrategies to get optimal results from our trading (at least
this is what I think).
And so, as I said above, I am now developing new systems and have found
a problem that most of you would have appreciate as well. I have a
trend-following system and so this system´s performance will depend on
market trend. So the system´s parameter will be different in different
trending scenarios. The question is: how can we determine when we have
scenario 1 or scenario 2. I mean, if you have backtested you system and
know that when volatility raises, the optimal parameters of the system
are (for example) 1 and 2, and in choppy markets the optimal parameters
are 2 and 1.5, how can we do to estimate the current market scenario and
so to determine which parameter to choose. I think this is something
like "adaptative or dynamic" trading, but I cant find out any good
conclusions. I am testing the system I enclosed as an ELA file. I
backtested and optimized just two parameters: K1 and K2. I have seen
that this parameters varies as volatility and market direction does. I
was thinking in some statistical studies that let me determine wether
there is any correlation between the parameters or not, and in case
there is so, how to estimate the correct parameters. I dont think "least
square adjust" would be statiscally significant, but I guess there has
to be a way to determine when and how to change the parameters. System
performance depends very much on a good use of these parameters, but I
dont know if this can be a problem or if there is a way to solve it. Any
comments are welcome.
Happy trading,
Jose
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