Taking a Trading System Live - futures io
futures io futures trading



Taking a Trading System Live


Discussion in Trading Journals

Updated by tturner86
      Top Posters
    1. looks_one kevinkdog with 260 posts (714 thanks)
    2. looks_two Big Mike with 61 posts (97 thanks)
    3. looks_3 deaddog with 25 posts (24 thanks)
    4. looks_4 swz168 with 20 posts (40 thanks)
      Best Posters
    1. looks_one kevinkdog with 2.7 thanks per post
    2. looks_two swz168 with 2.0 thanks per post
    3. looks_3 rk142 with 2.0 thanks per post
    4. looks_4 Big Mike with 1.6 thanks per post
    1. trending_up 64,591 views
    2. thumb_up 1,128 thanks given
    3. group 97 followers
    1. forum 529 replies
    2. attach_file 189 attachments




Welcome to futures io: the largest futures trading community on the planet, with well over 100,000 members
  • Genuine reviews from real traders, not fake reviews from stealth vendors
  • Quality education from leading professional traders
  • We are a friendly, helpful, and positive community
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts
  • We are here to help, just let us know what you need
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

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

 
Search this Thread
 

Taking a Trading System Live

(login for full post details)
  #451 (permalink)
Denver, CO
 
Experience: Beginner
Platform: IB, ToS
Trading: CL, ES, Currency
 
Posts: 8 since Jun 2012
Thanks: 6 given, 16 received

Kevin,

I am very appreciative of you keeping all of us abreast of the progress for this system. As you are likely aware, from a readers perspective, this thread has slowed down a bit from its inception. Part of that is due to the nature of the life cycle of where this system currently resides (you spent quite a bit of time explaining the system testing and modeling early in the thread, and now we are in the system maintenance/management mode). And part of it is that the system is not very active.

I am wondering if you might consider interjecting some of the activities you perform from some of your other systems on a regular (or at least somewhat regular) basis or consider the topic of looking at a portfolio of systems. I appreciate your ability to not focus on the entry triggers, as I believe that allows this forum thread to focus on the system itself. However, if you are so inclined, I would like to touch upon the idea of considering furthering the topic by discussing some other aspects as well (maybe in a new thread?) like system portfolio management, or the like. Or, possibly creating a thread discussing your thoughts on topics like system exits, which I think many folks (including myself) could benefit from.

For example - how does one determine when and where to exit to get a profitable system. I know you can run hundreds of thousands of tests using software to do this on historical data, but there is a lot more to this aspect that meets the eye. We always hear the axiom - 'Cut your losers short and let your winners run', and 'don't change your stops once set'. So far in your system, your average losing trade is quite a bit larger than your average winning trade - which many would consider non-conformist and would allow many to comment - 'that will be a losing system because it breaks a 'rule' of trading'. And, even though I am suspecting you do not change your stops after entry, I am curious as to if you have analyzed (on this or other systems) if a system is more profitable/ less profitable when doing so.

As an example, I was incubating a system for a time where I was changing my stop on a regular basis (always in my favor - never against), and I had a few folks state that this was a sure way to lose money. But what I did not see was them providing analysis of the details as to why this was true (other than this price was the stop you analyzed to be a level you knew you were wrong when you entered, then why would this change after you got into the trade). For example on my system my trades always started with a -1R stop - after entering, if the trade went in my direction +.25R, I would move the stop from -1R to -.75R, a +.5R move had me moving my stop to -.5R, a +.75R move had me moving my stop to -.25R, and a +1R gain had me moving my stop to BE - .01. When I conducted my analysis (in real time, not historical), it showed that moving my stops in this manner were more profitable than not moving them, even though this flies in the face of what many/most people call for (and many people state here and other forums).

This got me wondering, am I wrong?, do these other folks run a thorough analysis of their trading to determine if they are more profitable? does this only apply to certain trading styles? etc. etc. It also got me thinking trading is like a religion (defined as: a specific fundamental set of beliefs and practices generally agreed upon by a number of persons or the body of persons adhering to a particular set of beliefs and practices), once someone gets their mind set in a particular direction, they are extremely reticent to change it and consider other ideas. I would be curious from a systems development perspective, what you and other people (who lend an analytical eye to systems) are thinking. Again, this topic may likely get this thread off track, or it may stimulate more conversation, I will let you be the judge.

Just a thought, and thank you again for your continued support in educating us on this topic.

Reply With Quote
The following 4 users say Thank You to kayaktri for this post:

Can you help answer these questions
from other members on futures io?
Can Tradingviews Drawing tool create limit order
Platforms and Indicators
Historical option expirations
Brokers
Thanksgiving 2020 Fundraiser - lets be grateful!
Feedback and Announcements
Convert H Data TS to NT
NinjaTrader
converting useful Pine Script into Multicharts code
EasyLanguage Programming
 
 
(login for full post details)
  #452 (permalink)
Legendary Market Wizard
Cleveland Ohio/United States
 
Experience: Advanced
Platform: Tradestation
Broker: Tradestation, DeCarley, others
Trading: futures
 
Posts: 2,847 since Jul 2012
Thanks: 1,490 given, 5,554 received


kayaktri View Post
Kevin,

I am very appreciative of you keeping all of us abreast of the progress for this system. As you are likely aware, from a readers perspective, this thread has slowed down a bit from its inception. Part of that is due to the nature of the life cycle of where this system currently resides (you spent quite a bit of time explaining the system testing and modeling early in the thread, and now we are in the system maintenance/management mode). And part of it is that the system is not very active.

I am wondering if you might consider interjecting some of the activities you perform from some of your other systems on a regular (or at least somewhat regular) basis or consider the topic of looking at a portfolio of systems. I appreciate your ability to not focus on the entry triggers, as I believe that allows this forum thread to focus on the system itself. However, if you are so inclined, I would like to touch upon the idea of considering furthering the topic by discussing some other aspects as well (maybe in a new thread?) like system portfolio management, or the like. Or, possibly creating a thread discussing your thoughts on topics like system exits, which I think many folks (including myself) could benefit from.

For example - how does one determine when and where to exit to get a profitable system. I know you can run hundreds of thousands of tests using software to do this on historical data, but there is a lot more to this aspect that meets the eye. We always hear the axiom - 'Cut your losers short and let your winners run', and 'don't change your stops once set'. So far in your system, your average losing trade is quite a bit larger than your average winning trade - which many would consider non-conformist and would allow many to comment - 'that will be a losing system because it breaks a 'rule' of trading'. And, even though I am suspecting you do not change your stops after entry, I am curious as to if you have analyzed (on this or other systems) if a system is more profitable/ less profitable when doing so.

As an example, I was incubating a system for a time where I was changing my stop on a regular basis (always in my favor - never against), and I had a few folks state that this was a sure way to lose money. But what I did not see was them providing analysis of the details as to why this was true (other than this price was the stop you analyzed to be a level you knew you were wrong when you entered, then why would this change after you got into the trade). For example on my system my trades always started with a -1R stop - after entering, if the trade went in my direction +.25R, I would move the stop from -1R to -.75R, a +.5R move had me moving my stop to -.5R, a +.75R move had me moving my stop to -.25R, and a +1R gain had me moving my stop to BE - .01. When I conducted my analysis (in real time, not historical), it showed that moving my stops in this manner were more profitable than not moving them, even though this flies in the face of what many/most people call for (and many people state here and other forums).

This got me wondering, am I wrong?, do these other folks run a thorough analysis of their trading to determine if they are more profitable? does this only apply to certain trading styles? etc. etc. It also got me thinking trading is like a religion (defined as: a specific fundamental set of beliefs and practices generally agreed upon by a number of persons or the body of persons adhering to a particular set of beliefs and practices), once someone gets their mind set in a particular direction, they are extremely reticent to change it and consider other ideas. I would be curious from a systems development perspective, what you and other people (who lend an analytical eye to systems) are thinking. Again, this topic may likely get this thread off track, or it may stimulate more conversation, I will let you be the judge.

Just a thought, and thank you again for your continued support in educating us on this topic.


Thanks for the kind words. You've brought up a lot of interesting points and observations. I'll try to address them at a high level here:

THIS THREAD HAS BECOME BORING: Yes, that is what happens when going into live trading. Everything has been done, now the system just has to run. A lot of people I talk to get frustrated by the boredom, and end up in a never ending cycle of "improvements." My experience is that it is better to stick with boring.

MAKE A THREAD ON OTHER ACTIVITIES, OR MAKE A THREAD ON EXITS: I'll look into this. Problem is I only want to do it if enough people benefit, and most people really like "entry" type discussions. But we'll see.

MOVING STOPS, OR NOT? Don't let anyone tell you their way is the only way. The right way is the way you choose, based on hard data and facts. I've seen systems fall apart when employing moving stops. I also won a contest using a system that had a moving stop. Both ways can work.

DOING THOROUGH ANALYSIS In my experience, most people do not do enough analysis. But who am I to say? I have a trader friend in New Zealand, and he read some of my material for my book, and he said "I do about 25% of the analysis you do, Kevin." And guess what, he is much more successful than I am. Maybe I do too much.


Thanks for the comments. I hope I've addressed your big issues. If not, please let me know.

Kevin

Follow me on Twitter Reply With Quote
The following 3 users say Thank You to kevinkdog for this post:
 
(login for full post details)
  #453 (permalink)
London
 
 
Posts: 1 since Nov 2013
Thanks: 0 given, 1 received



kevinkdog View Post
Yes, volatility plays a big role, and that is probably true for any system. Somewhere in this thread I looked at volatility, and it was down since I went live. That could explain some of the underperformance.

Hi Kevin,

You're not alone - google "bloomberg fx volatility trend" and see the first link on Bloomberg news. (I can't post a link yet...)

I'm running a system on the EUR and its also suffered poor performance since the end of last year.

Cheers, Tim

Reply With Quote
The following user says Thank You to RMDS for this post:
 
(login for full post details)
  #454 (permalink)
Site Moderator
Portland, Oregon
 
Experience: Intermediate
Platform: F-16CM-50
Trading: GBU-39
 
tturner86's Avatar
 
Posts: 6,162 since Sep 2013
Thanks: 10,446 given, 12,567 received


kevinkdog View Post
Thanks for the kind words. You've brought up a lot of interesting points and observations. I'll try to address them at a high level here:

THIS THREAD HAS BECOME BORING: Yes, that is what happens when going into live trading. Everything has been done, now the system just has to run. A lot of people I talk to get frustrated by the boredom, and end up in a never ending cycle of "improvements." My experience is that it is better to stick with boring.

MAKE A THREAD ON OTHER ACTIVITIES, OR MAKE A THREAD ON EXITS: I'll look into this. Problem is I only want to do it if enough people benefit, and most people really like "entry" type discussions. But we'll see.

MOVING STOPS, OR NOT? Don't let anyone tell you their way is the only way. The right way is the way you choose, based on hard data and facts. I've seen systems fall apart when employing moving stops. I also won a contest using a system that had a moving stop. Both ways can work.

DOING THOROUGH ANALYSIS In my experience, most people do not do enough analysis. But who am I to say? I have a trader friend in New Zealand, and he read some of my material for my book, and he said "I do about 25% of the analysis you do, Kevin." And guess what, he is much more successful than I am. Maybe I do too much.


Thanks for the comments. I hope I've addressed your big issues. If not, please let me know.

Kevin

I am learning that exits are more important then entries...

Reply With Quote
The following 2 users say Thank You to tturner86 for this post:
 
(login for full post details)
  #455 (permalink)
Legendary Market Wizard
Prince George BC Canada
 
Experience: Advanced
Platform: IBs TWS
Broker: IB
Trading: Stocks
 
deaddog's Avatar
 
Posts: 828 since May 2013
Thanks: 125 given, 2,120 received


kevinkdog View Post
Some great comments and questions so far...

Put yourself in my shoes: continue trading this system, quit trading it, or "it depends?"

I think it is a good exercise, because this situation is sort of a gray area...

I vote "It depends"

On how much of your capital you have risk. I'm assuming the risk capital you have is a small percentage of your portfolio.

"The days when I keep my gratitude higher than my expectations, I have really good days" RW Hubbard
Reply With Quote
 
(login for full post details)
  #456 (permalink)
Birmingham UK
 
Experience: Intermediate
Platform: NinjaTrader
Broker: TST/Rithmic
Trading: YM/Gold
 
ratfink's Avatar
 
Posts: 3,651 since Dec 2012
Thanks: 17,422 given, 8,401 received


tturner86 View Post
I am learning that exits are more important then entries...

Agreed. So long as you've got a good entry to start with...

Travel Well
Visit my futures io Trade Journal Reply With Quote
The following 2 users say Thank You to ratfink for this post:
 
(login for full post details)
  #457 (permalink)
West Java
 
 
Posts: 145 since Apr 2014
Thanks: 143 given, 123 received


tturner86 View Post
I am learning that exits are more important then entries...

For some people Exit => New Entry.


Reply With Quote
 
(login for full post details)
  #458 (permalink)
Legendary Market Wizard
Cleveland Ohio/United States
 
Experience: Advanced
Platform: Tradestation
Broker: Tradestation, DeCarley, others
Trading: futures
 
Posts: 2,847 since Jul 2012
Thanks: 1,490 given, 5,554 received


Thxo View Post
For some people Exit => New Entry.


Not sure I understand. Can you explain a bit?

Thanks

Follow me on Twitter Reply With Quote
 
(login for full post details)
  #459 (permalink)
Legendary Market Wizard
Cleveland Ohio/United States
 
Experience: Advanced
Platform: Tradestation
Broker: Tradestation, DeCarley, others
Trading: futures
 
Posts: 2,847 since Jul 2012
Thanks: 1,490 given, 5,554 received

Slightly up this week, nothing exciting...




Follow me on Twitter Reply With Quote
 
(login for full post details)
  #460 (permalink)
Legendary Market Wizard
Switzerland
 
Experience: Intermediate
Platform: Investor/RT
Broker: IB / DTN
Trading: Futures
 
Posts: 5,250 since Feb 2012
Thanks: 5,225 given, 10,942 received



kevinkdog View Post
Some great comments and questions so far...

Put yourself in my shoes: continue trading this system, quit trading it, or "it depends?"

I think it is a good exercise, because this situation is sort of a gray area...

I suggest to carefully consider volume - look at the moments when the system makes
positive gains and watch especially when the minus had occurred.
Every system has times that has phases of continued gains and others with many losers
in a row. Optimizing these days of taking the trade or to wait for a better setup may
give significantly better results.

If so - the system NEEDS to be continued

GFIs1

Follow me on Twitter Visit my futures io Trade Journal Reply With Quote


futures io Trading Community Trading Journals > Taking a Trading System Live


January 6, 2016


Upcoming Webinars and Events
 

Bookmap

Nov TBD
     



Copyright © 2020 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