Taking a Trading System Live - Trading Journals | futures io social day trading
futures io futures trading


Taking a Trading System Live
Updated: Views / Replies:47,609 / 529
Created: by kevinkdog Attachments:189

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 189  
 
Thread Tools Search this Thread
 

Taking a Trading System Live

  #251 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,653 since Mar 2010
Thanks: 4,226 given, 25,602 received
Forum Reputation: Legendary


Luger View Post
As to the reasons, I believe that @Fat Tails could give us a math lesson that would prove that longer time frames should be more profitable. He posted it in another thread or threads because the timeframe topic is usually addressed as a sub-topic to something else. Though I believe it gets down to the points you made about noise and costs.


Technically, there is a sweet spot between smaller timeframe trading (scalping) and larger timeframe trading (investing). The exact location of that sweet spot depends on variable costs such as slippage and commissions. We have already discussed this subject in the thread on "Risk of Ruin".

The question was asked by @Big Mike in this post:

https://futures.io/psychology-money-management/15602-risk-ruin-8.html#post210805

and I had tried to give a simplified answer here:

https://futures.io/psychology-money-management/15602-risk-ruin-8.html#post210847


The main idea was to compare risk-adjusted returns. Usually the shorter timeframe system (intraday trading) comes out winner compared to the longer timeframe system (swing trading), so I am not entirely with you.
The reason is that if you trade a longer timeframe the variance of returns is much larger compared to the variance of returns of the system that trades faster. In the example discussed in the thread on "Risk of Ruin", the higher timeframe system has a risk of ruin about 1,350 times higher than the smaller timeframe system.

As the fast trading system has a lower variance of returns and thus a lower risk of ruin, you may increase leverage and trade a larger number of contracts.

However, intraday trading also has its downsides. Commissions and slippage are much higher in relation to the average return per trade. Also intraday trading takes a higher toll on the health of the trader, unless the trades are fully automated.

Reply With Quote
The following 2 users say Thank You to Fat Tails for this post:
 
  #252 (permalink)
Elite Member
prague, czech republic
 
Futures Experience: Intermediate
Platform: NT7, MT4
Broker/Data: LMAX
Favorite Futures: DAX, Gold, Euro
 
xelaar's Avatar
 
Posts: 1,517 since Feb 2013
Thanks: 1,739 given, 2,592 received

Excellent conversation, guys!

Trade to live. Not live to trade.
Reply With Quote
 
  #253 (permalink)
Market Wizard
Cleveland Ohio/United States
 
Futures Experience: Advanced
Platform: Tradestation
Broker/Data: various
Favorite Futures: futures
 
Posts: 2,388 since Jul 2012
Thanks: 1,139 given, 4,387 received
Forum Reputation: Legendary



Big Mike View Post
Years ago I did exclusively intraday type strategies. I also believe automation should leverage its strengths of speed (more trades, faster reaction times).

However, over the years I've drifted to portfolio strategies that trade a basket of stocks or futures. This gives me the increased frequency I demand and creates some intraday trades as a group.

I find this to literally be the holy grail and cannot encourage it enough over the traditional one strategy one instrument system.

Portfolio trading is the best way to manage risk IMO. After you do that, profits are the easy part.

Sent from my LG Optimus G Pro

Mike -

When you develop a portfolio strategy for a basket of futures, are you using the exact same strategy for each futures instrument? If so, are you using the same parameters for each instrument, or do you "tune" for each?

What do you think makes it the Holy Grail? The diversification aspect?

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
Reply With Quote
The following user says Thank You to kevinkdog for this post:
 
  #254 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,240 since Jun 2009
Thanks: 29,354 given, 83,237 received


kevinkdog View Post
Mike -

When you develop a portfolio strategy for a basket of futures, are you using the exact same strategy for each futures instrument? If so, are you using the same parameters for each instrument, or do you "tune" for each?

What do you think makes it the Holy Grail? The diversification aspect?

I have tried all kinds of options.

Presently spending my time on a single strategy with two parameters, a moving average length and an oscillator length. These same parameters have been tested against dozens and dozens of uncorrelated instruments and have produced good results in the portfolio so far.

In this case, I do use NT to optimize the entire basket/group at one time, for the best parameter across say 20 stocks over say 10 years of data.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
The following 4 users say Thank You to Big Mike for this post:
 
  #255 (permalink)
Market Wizard
Cleveland Ohio/United States
 
Futures Experience: Advanced
Platform: Tradestation
Broker/Data: various
Favorite Futures: futures
 
Posts: 2,388 since Jul 2012
Thanks: 1,139 given, 4,387 received
Forum Reputation: Legendary


Big Mike View Post
I have tried all kinds of options.

Presently spending my time on a single strategy with two parameters, a moving average length and an oscillator length. These same parameters have been tested against dozens and dozens of uncorrelated instruments and have produced good results in the portfolio so far.

In this case, I do use NT to optimize the entire basket/group at one time, for the best parameter across say 20 stocks over say 10 years of data.

Mike

Thanks for sharing. I wonder how much of your performance is attributable to entries and exits being of high quality, as opposed to so-so entries and exits, but with superior diversification. I personally have found that diversification plays a major role in overall success.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
Reply With Quote
The following user says Thank You to kevinkdog for this post:
 
  #256 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,240 since Jun 2009
Thanks: 29,354 given, 83,237 received


kevinkdog View Post
Thanks for sharing. I wonder how much of your performance is attributable to entries and exits being of high quality, as opposed to so-so entries and exits, but with superior diversification. I personally have found that diversification plays a major role in overall success.

It's all about diversification. Any one strategy on one instrument is nothing special, but put a dozen of them in a basket and the equity curve and drawdowns can become magical.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
The following 3 users say Thank You to Big Mike for this post:
 
  #257 (permalink)
Membership Temporarily Revoked
Birmingham, AL
 
Futures Experience: Advanced
Platform: Sierra
Broker/Data: several
Favorite Futures: several
 
Posts: 1,065 since Apr 2012
Thanks: 713 given, 2,758 received


kevinkdog View Post

So, usually when I start development, I select short timeframe bars (1 minute to 5 minute), throw in the "set exit on close" statement to exit at the end of the day, and jump into development.

Nine times out of ten, though, the strategy fails.

I've heard FT71, on multiple occasion, talk about how it's almost totally about the exit, and that one can make money with a random entry method; and that he can prove it.

What would you say about that statement?

I think THAT would be an excellent webinar..... and thusly, shatter the academic world, and have Eugene Fama running for the hills.

Reply With Quote
 
  #258 (permalink)
Market Wizard
Cleveland Ohio/United States
 
Futures Experience: Advanced
Platform: Tradestation
Broker/Data: various
Favorite Futures: futures
 
Posts: 2,388 since Jul 2012
Thanks: 1,139 given, 4,387 received
Forum Reputation: Legendary


indextrader7 View Post
I've heard FT71, on multiple occasion, talk about how it's almost totally about the exit, and that one can make money with a random entry method; and that he can prove it.

What would you say about that statement?

I think THAT would be an excellent webinar..... and thusly, shatter the academic world, and have Eugene Fama running for the hills.

I would agree in principle with that assertion. Van Tharp and hedge fund manager Tom Basso did the same thing a bunch of years ago. I wrote a few articles for Active Trader Magazine a few years back looking into that - random entries, and random exits.

I think it is timeframe dependent though. A scalping strategy will probably never work with random entries. A long term swing strategy very well might.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
Reply With Quote
The following user says Thank You to kevinkdog for this post:
 
  #259 (permalink)
Membership Temporarily Revoked
Birmingham, AL
 
Futures Experience: Advanced
Platform: Sierra
Broker/Data: several
Favorite Futures: several
 
Posts: 1,065 since Apr 2012
Thanks: 713 given, 2,758 received

I read an academic study once in college that showed how there was more skew and kurtosis in longer timeframes than shorter ones (in forex). This could also be another reason to add to the thorough ones you listed previously.

Reply With Quote
The following user says Thank You to indextrader7 for this post:
 
  #260 (permalink)
Elite Member
Netherlands
 
Futures Experience: Advanced
Platform: Ensign, Multicharts
Favorite Futures: SP500
 
Posts: 95 since Nov 2009
Thanks: 66 given, 56 received



kevinkdog View Post
.... looking into that - random entries, and random exits....

Isn't it about that you can have a winning system with random entries but with non random exits.
The exit counts so it shouldn't be random.

Reply With Quote

Reply



futures io > > > Taking a Trading System Live

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Jigsaw Trading: TBA

Elite only

FuturesTrader71: TBA

Elite only

NinjaTrader: TBA

Jan 18

RandBots: TBA

Jan 23

GFF Brokers & CME Group: Futures & Bitcoin

Elite only

Adam Grimes: TBA

Elite only

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Comparing accuracy of sim trading on different platforms vs live trading Titian Traders Hideout 4 February 11th, 2017 02:50 PM
Taking the leap towards self-employment (Trading CL) Indians00c Elite Trading Journals 462 February 6th, 2015 11:08 AM
Questions concerning risk taking and speculative trading for a Bsc dissertation Shichao Psychology and Money Management 24 March 14th, 2012 07:33 PM
Webinar Trading Video: Live Trading and Technical Analysis of EuroStoxx 50 max-td Trading Reviews and Vendors 1 March 13th, 2010 07:35 AM


All times are GMT -4. The time now is 12:09 PM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-17 in 0.15 seconds with 20 queries on phoenix via your IP 54.90.92.204