Healthy debate about subjects of testing and system optimati

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.
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d123
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Healthy debate about subjects of testing and system optimati

Post by d123 » Tue Mar 22, 2011 5:41 am

Hello all,

I see Trader's Roundtable as one of the best trading forums and as there is lots of knowledge and experience at this place, I think it would be useful to get to healthy debate about subjects of testing and system optimatization from closed and open equity curves.

So, I would like to start by setting up the picture and by asking several questions:

1) Index futures traders (mechanical) and
2) Trend followers and
3) Traders who use 5min, 15min, 30min, 60min and end-of-day timeframes and
4) Traders who leave their positions overnight

Same as the above (1, 3 and 4) for mean-reversion traders.

Questions:

How to properly test trading ideas?
(I mean a-b-c-d-etc. when it comes to steps in developing proper procedures with as much detail and references possible when arguing all relevant issues.)

How good is the work of Prof. Aronson? – Evidence-Based Technical Analysis

What is allowed and what is not allowed (and why) to be done on closed equity curve or open equity curve of a system in order to decide when to trade normal size; increased size; decreased size or to temporarily/permanently abandon trading system?

For the benefit of the community and learning/sharing let’s all try to post here in one tread and provide useful opinions and links/references.

I’ve started with questions and will contribute my $ 0.02 in comments section too.

Thanks.

sluggo
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Post by sluggo » Tue Mar 22, 2011 9:35 am

D123, perhaps you could begin by introducing yourself and giving a little background on your trading. Do you trade ETFs? Forex? Futures? Stocks? Options? CFDs? Spreadbets? How long have you been trading / approx how many round-trip trades have you made? What software do you use for mechanical system testing? In your opinion, what are the strengths and weaknesses of this software? Which trading books were the most useful to you?

d123
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Post by d123 » Tue Mar 22, 2011 10:08 am

Hello again sluggo,

It is really nice to hear from you again, especially as you are one of the top contributors to this forum!

I am in South Africa and busy with index futures for approx. 3 years now. Time frames are ranging from 5min to 30min, while I am trying to learn more about end-of-day trading. All in all, trend following is the name of the game here, but mean-reversion is always going to come in handy, as I believe one can look at the market from that perspective too.

Several simple systems (5min, 5min, 15min and 30min) I follow now have made approx. 2000 signals over last 3 years. Long/Short, 100% of time in the market.

MetaStock is charting and back testing software, local broker has decent (not as cool as most US platform) online trading software, while Excel is tool for calculations and research.

Tradingblox is going to be, one day, my testing platform. Not there yet, but one day, as I can see from posts on this forum, that TB is way ahead of my present approach and all the manual labor that I have to go through.

Thanks for the interest and I apologies for not re-introducing myself, as since our brief chat in 2010 I was in silent mode, busy with books and blogs, trying to learn more.

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Post by LeapFrog » Tue Mar 22, 2011 10:44 am

Looking forward to your contributions. Be sure to do thorough searches on each of the topics you mention above as most have been discussed extensively on this forum before.

Txs.

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Post by d123 » Tue Mar 22, 2011 11:36 am

Hello LeapFrog and thank you.

That is, kind of, what I had in mind - It would be great to have several senior, experienced and knowledgeable participants to contribute in this tread in form of lengthy and solid articles. That would give us centralized spot where starting point of vertical knowledge would be established.

After that, we would have other senior contributors commenting and probably some of us on beginner/intermediate/semi-advanced level would contribute with comments too.

After some debate, hopefully, we would all together reach new level for our vertical knowledge and from there on we would have new base to build on.

I honestly believe that semi-pro retail swing traders and individual professional retail swing traders on mentioned time frames are vastly on margins and I can sense from reading forums and blogs that there is huge space to be filled with several proper texts that will address topics, some of which I mentioned in original post.

Maybe some of posters on this forum can lead this into publication on e-book one day and that would be great.

This post was meant to be a call for top guys to centralize and go vertical, as that can be of benefit to all included.

rabidric
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Post by rabidric » Fri Mar 25, 2011 7:41 am

I think you have an excellent concept d123. If only more forum users had your clarity of vision and eye for the real deep questions, then maybe this cesspit of ignorance and ill-informed comment could actually be of benefit to the human knowledge base. This forum OWES us that , at least.
Last edited by rabidric on Fri Mar 25, 2011 8:07 am, edited 1 time in total.

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Post by d123 » Fri Mar 25, 2011 8:18 am

rabidric wrote:I think you have an excellent concept d123. If only more forum users had your clarity of vision and eye for the real deep questions, then maybe this cesspit of ignorance and ill-informed comment could actually be of benefit to the human knowledge base. This forum OWES us that , at least.
Hello rabidric,

Dr. Brett Steenbarger wrote one, at least for me, powerful post in 2009, highlighting issue of vertical knowledge and trading expertise. It is great article and, again, form what I see here, there is true potential to build.

Link for Dr. Brett's post: http://traderfeed.blogspot.com/2009/08/ ... e-and.html

Thanks for the comment rabidric.

rabidric
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Post by rabidric » Fri Mar 25, 2011 9:05 am

That article is very insightful. Thank you.
It seems trading mentors with "Dr." prefixes are often a good example in this industry of the potential of purely altruistic knowledge sharing.

I was thinking, if we were to distill all of the knowledge scattered on this forum, into the just the best, here in this thread, we might want to classify it into categories somehow. Perhaps one category could be "Money Management", and another "Indicators". I'm sure there are plenty of others. In addition, it would be good to have some way of differentiating between "old knowledge" and more recent hot developements. The thread would probably need a way to bring the most recent updates to the forefront.

hmm. It could get a bit long don't you think? perhaps some extra threads would be a good work-around.

thing is, it takes sooooooooo long to read all those threads. I don't know about you, but that seems like rather a lot of work to me. It probably isn't worth it.

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Post by rabidric » Fri Mar 25, 2011 9:23 am

hey , I just had a flash of real inspiration! :idea: :idea: :idea:

What if we got one of the senior forum members to just write a nice concise book themselves. They could even make a ton of money , though it would probably need a good title to catch people's attention, and stand out from the crowd . Perhaps something a bit whacky like "The Way of the Azuki Bean" or "A Practical Guide to Azuki Bean Trading Systems" (btw azuki beans are my favourite market if you can guess!). it doesn't have to be anything to do with azuki beans though. Would be good if it could though eh? haha!
sorry got bit carried away there...

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Post by d123 » Fri Mar 25, 2011 9:33 am

Thanks rabidric.

Idea was to keep one thread (I agree we might need more, if required due to space requirement, ease of use, etc.) for all questions in my original posts. At the same, my hope was to have 3-5 top contributors who feel knowledgeable, able and willing enough to post their take on these questions in form of solid articles that would be written at present time, with all their available knowledge. Such material would be then addressed in proper manner, with serious and healthy debate in which immature or rude comments would be discarded, while comments that don’t match quality of research and are of so-so quality would be referred to commentator for reconsideration, additional research and refinement. I know that this would require some fine tuning and policing, but it sucks to get something that has meat on the bone and then to see conversation disappear under attack of commentators who insult or talk apples, while few are trying to talk very specific oranges.

Again, if community can direct project and really build, then e-book, employment* and other opportunities might come to those who contribute the most. Of course, if we can build on this, forum would benefit a lot, as more and more people would come for their dose of a-ha moments and, maybe, to share some.

Thanks, once again.

* Just to make clear that I am not crazy living creature in la-la land: David Varadi is good example of smart thinking and bloging and I am more than happy for him being recruited by a fund. His blog is at: http://cssanalytics.wordpress.com/

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Post by rabidric » Fri Mar 25, 2011 9:58 am

d123 wrote:* Just to make clear that I am not crazy living creature in la-la land:
very clear. you are in south africa instead!
Last edited by rabidric on Fri Mar 25, 2011 9:59 am, edited 1 time in total.

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Post by d123 » Fri Mar 25, 2011 9:59 am

rabidric wrote:
d123 wrote:* Just to make clear that I am not crazy living creature in la-la land:
very clear. you are in south africa!
:D 10/10!

rabidric
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Post by rabidric » Fri Mar 25, 2011 10:03 am

so which top contributors did you have in mind?

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Post by d123 » Fri Mar 25, 2011 10:14 am

Let's try to make it organic...

Will mention only two contributors, but the list is longer:

sluggo
Jez Liberty (fan of his blog too)

Edited, few minutes later:

Now I feel guilty for mentioning any names. Idea was just some positive wind for those top contributors who (maybe) contemplate process to centralize knowledge and build vertically. It is not about names only, it is about the process and what it can and should yield.

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Post by rabidric » Fri Mar 25, 2011 11:05 am

d123 wrote:employment* and other opportunities might come to those who contribute the most.
This may be a discincentive to those you seek contribution from.

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Post by d123 » Fri Mar 25, 2011 11:33 am

rabidric wrote:
d123 wrote:employment* and other opportunities might come to those who contribute the most.
This may be a discincentive to those you seek contribution from.
That is what I don't know.
In order to remain fully open, I've listed all important aspects that I would consider if I was on level to write:

"Again, if community can direct project and really build, then e-book, employment* and other opportunities might come to those who contribute the most. Of course, if we can build on this, forum would benefit a lot, as more and more people would come for their dose of a-ha moments and, maybe, to share some."

rabidric
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Post by rabidric » Fri Mar 25, 2011 11:44 am

somebody else takeover here..... :oops:

nodoodahs
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Post by nodoodahs » Fri Apr 08, 2011 9:33 pm

rabidric wrote:somebody else takeover here..... :oops:
OK.

@ d123, I nominate YOU to distill the knowledge, cull through old posts, write the ebook, and get all the benefits of selling it+possible employment+etceteras.

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Post by d123 » Mon Apr 11, 2011 2:50 am

Thanks nodoodahs.

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