System Longevity

Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.
td80
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Post by td80 » Wed Aug 11, 2010 4:05 pm

My perspective is absolutely not, that is a 3 (trading logic) parameter system. You must have a down day (#1, an entry filter), and then you have an offset (#2 buy stop at the high), and then you are closing the position under different circumstances than you opened it (#3).

A single (trading logic) parameter system must have the same entry and exit (reverse) trading logic (including input parameter) to meet my personal qualifications. That said I don't necessarily believe that best way to go is always use a single parameter. I happen to like some approaches with 2-3.

Taking inspiration from your pseudo-code, I would consider this to be a single parameter system (reverse logic for short/exit):

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If (todays close < todays open) then buy on market open
Can you have a single parameter and be flat (excluding portfolio, risk, and money management systems that might come in to play and override a signal)?

I would say it becomes a philosophical issue of whether you consider a single trading logic parameter long only system to be a single trading logic system. :shock:

In other words is choosing to be long only a trading logic parameter in your system?
sluggo wrote:In your opinion, does the following pseudocode define a zero-parameter system which goes flat?

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If (todays close < todays open) then blackcandle = true ; else blackcandle = false

If (blackcandle = true) then buy tomorrow at (todays high) on a Stop and exit at market on close

altomas

Post by altomas » Thu Aug 12, 2010 3:08 am

Yes, on a first inspection that looks like a 3-parameter system to me.

I can also see that had you phrased it a little differently I would have probably called it a 2-parameter system!

Furthermore, I can also see how some may regard this as a zero-parameter system - I think :roll:

td80 - yes I see what you mean regarding the choice to go short or not... similar to what Chris67 mentioned above in relation to the original choice to trend-follow or not.

Now I'm starting to see parameters everywhere :shock:
I guess more research will help me to isolate those who might be relevant.

sluggo
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Post by sluggo » Thu Aug 12, 2010 7:28 am

Add two more mirror-image lines of code and it will take short trades, too. Without introducing any extra parameters. The 4-line system will still go flat as well.

Some black candles are followed by upside breakouts (hence long trades), others not. Some white candles are followed by downside breakouts (short trades), others not. Therefore the system sometimes has a position and other times has no position (is flat).

If today's candlestick was black, buy a breakout tomorrow above today's most bullish price; if filled, hold till the close.
If today's candlestick was white, sell a breakout tomorrow below today's most bearish price; if filled, hold till the close.

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