Traders' Roundtable

An optimization engine with a genetic algorithm that lets one enter the results they want , 60% winners 100% return 20% draw down 200 trades per year ect. and the software finds the parameters that come closest to achieving this. Genetic optimization engine is a great thing. Tradestation just added...

More than likely, no one would be looking to reoptimize if the returns were great. It's not until that big drawdown that we start to question things.

D

Let's look at it from a different angle. How does your human brain work? While I can't remember every lesson I've learned about riding a bike, I do use my entire history of riding a bike to make my decisions. Some memories stick with you... like almost getting hit by a car. I have memories of riding...

If my equity curve changed that dramatically, I would find something else. You could always play the equity curve game though. Factor in a MA of the actually equity curve and stop trading it...and then restart when it comes back from reform school.

D

Actually, I shouldn't have said anything about ATR. On a simple
system where the stops only move in the direction of the trend,
this idea could work as I was thinking...but don't let that stop you.

D

I was thinking about trend-following systems and how the number of contracts are determined by the initial risk. Seems to me that this is fine, but what if you enter a position when the ATR is at an extreme? If the trend lasts a long time, this volatility at the start of the trade affects the life o...

alp wrote:A bit off topic, but do you also know of any stand-alone software to handle and convert data files, such as convertion of format, edition of custom fields, delimiters, etc.

Wish I did. Had to make a custom PERL script to do so. That
language is great with text formatting.

D

You can set up a Tradestation account. You can specify exact times to generate the chart with them. Some symbols allow you to do this automatically. For example, you could enter @ES.D and the session from 8:30am-3:15pm would be displayed on the chart. Or you could create your own custom session time...

Yes, intraday works fine. I don't use it. Using Tradestation 8 for daytrading. Looking into Multicharts though. Too bad TB isn't
that great for intraday data.

D

Metatrader does it. It's free for Forex. I'm not sure if it does futures or equities.

D

I've looked into them a bit. I've read a few discussions about them...found that the far off contracts don't move in lock step with the cash index at all. The open interest is 48,000...not terrible, and it keep going up.

A lot of quote vendors seem to have missed this contract for some reason.

D

Well put Tim. That being said - I had a similar experience as Chris in recent weeks. I found that having a big equity run up in such a short period of time was much more stressful than I could have imagined. I think the hardest part was a few weeks back when you could just feel a top coming. I told...

Dan, get LeapFrog to review your system. He's the resident expert on short term systems, and yours seems to be a very short term system, holding trades less than two bars. He can suggest ways to test whether you've accidentally underestimated slippage or the effects of within-bar gaps. I think ther...

I've come into quite a curve fitting delema myself. I backtested an intraday Forex system for 9 years (with 5 minute bars). The CAGR was 741%, MAR 21.97 over 9700 trades. It's a very simple system that buys the dip...only 4 rules...two of which are moving averages (short MA is greater than Long MA, ...

Which ETFs are you referring to?

D

Interesting...I'm going to code some stuff time allowing. I made a beautiful stock trading system last year, and it has performed totally different from backtesting...sleeping better with automatic cut-offs is great. Also, I like this approach when letting others trade my money (I've recently become...

Sluggo, I believe I can do this in TB...haven't tried it yet though. It seems like it would help determine when to stop trading a system when the market changes...and then re-start when/if it changes back. As we know (and I've liked your input on this), markets do change and systems can stop working...

I was wondering if anyone has used a system's equity curve as a variable in trading. For example, if the equity curve goes under a moving average, stop making trades. I've had systems that stop working well in real trading. At this time, I stop trading them if a new equity high is not made in 12 mon...

First, read Larry's book. It's not bad, although it's not how I use the COT. Knowing how the dumb money is positioned can really help with timing, although Larry tends to paint a rosey picture with his indicators. Still, just a slight edge combined with trading systems helps a great deal. Kind of li...

So...who uses the commitment of traders report for timing?

I've been using it to help with my stock trades (actually it's quite fine on its own). Wondering how many use it for commodities? If not, why? Never heard of it, don't think it works? Let's discuss.

D