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Looking for EasyLanguage Programmer (TS)


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Looking for EasyLanguage Programmer (TS)

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  #21 (permalink)
 syswizard 
Philadelphia PA
 
Experience: Advanced
Platform: Multicharts
Broker: Ironbeam, Rithmic
Trading: Emini ES / NQ / CL / RTY / YM / BTC
 
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Posts: 344 since Jan 2019
Thanks: 20 given, 138 received


OccamsRazorTrader View Post
My system is an absolute return system.

Please define, please explain.

OccamsRazorTrader View Post
I've tried equity curve trading for each market and also for the combined portfolio, I've attempted to filter trades based on 10 or so different factors, I've tried standing on the sidelines during the beginning of a draw down .......... each time it results in less gross, yes less cost, but in the end ..... less net.
It feels like throwing the baby out with the bath water.

10 different factors ? Way too much. Totally breaks the "simpler is better" rule.
I've torn my hair out trying to add filters....a true exercise in frustration.

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  #22 (permalink)
 kevinkdog   is a Vendor
 
 
Posts: 3,465 since Jul 2012
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syswizard View Post
Please define, please explain.

10 different factors ? Way too much. Totally breaks the "simpler is better" rule.
I've torn my hair out trying to add filters....a true exercise in frustration.

I believe he is saying he tried different filters to improve performance while reducing # of trades. Not that he had 10 inputs optimized in a startegy.

At least that is how I read it.

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  #23 (permalink)
OccamsRazorTrader
Fort Myers Florida/USA
 
 
Posts: 70 since May 2020
Thanks: 43 given, 63 received



syswizard View Post
Please define, please explain.

10 different factors ? Way too much. Totally breaks the "simpler is better" rule.
I've torn my hair out trying to add filters....a true exercise in frustration.

Absolute return- means just letting the system run as is, no adjustments are made to the system for leverage (increased or decreased), volatility or position sizing purposes. Some funds attempt to moderate volatility, my system makes or loses what it does.

Kevin is correct, I attempted 10 different factors, one at a time, to try and filter trades, in an effort to bring down the number of trades and hence trade costs .......

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  #24 (permalink)
OccamsRazorTrader
Fort Myers Florida/USA
 
 
Posts: 70 since May 2020
Thanks: 43 given, 63 received


kevinkdog View Post
I believe he is saying he tried different filters to improve performance while reducing # of trades. Not that he had 10 inputs optimized in a startegy.

At least that is how I read it.


I didn't actually try to improve performance, I was actually wiling to give up some performance in an effort to moderate trading and reduce trade costs. Attempting to reduce daily volatility. If I reduced performance by 25% and trades by 30%, that would be a dramatic improvement psychologically and confidence wise.

That was in 2021, around mid year I stopped fiddling around with new iterations, and just traded the system, using steadfast discipline, and just accepting returns, good or bad (so far good).

4 down months out of the last 17 (good) with 4 greater then 20% drawdowns with 30.33% being the largest (bad), oddly 2 of the > 20% drawdown months ended with positive returns .........

But this trading life isn't easy, every 25% drawdown starts as a 10% drawdown, and every story of a blown up account starts with a 10 and eventually 25% drawdown!

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  #25 (permalink)
tpham1002002
San Jose
 
 
Posts: 1 since Jun 2019
Thanks: 0 given, 0 received

your request is simple but you should not trust backtest for renko chart on Tradestation

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  #26 (permalink)
 Billiwon 
Los Angeles, California
 
Experience: Intermediate
Platform: TradeStation
Trading: Index futures, etc.
 
Posts: 43 since Aug 2014
Thanks: 73 given, 19 received


tpham1002002 View Post
your request is simple but you should not trust backtest for renko chart on Tradestation

Please explain with more detail and examples. Thanks.
Happy New Year.

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