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Taking a Trading System Live
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Created: by kevinkdog Attachments:189

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Taking a Trading System Live

  #71 (permalink)
Elite Member
Manchester, NH
 
Futures Experience: Beginner
Platform: thinkorswim
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I certainly agree. It's ultimately true, because regardless your toolset, there's eventually going to be a human interface somewhere in the stack.


Last edited by artemiso; August 29th, 2013 at 10:55 PM.
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  #72 (permalink)
Market Wizard
Cleveland Ohio/United States
 
Futures Experience: Advanced
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swz168 View Post
I think what makes the trader successful is not the tool, but the skills of the trader. The tool is just a "helper". He can be also very succesful with tools that cost nothing.

I agree, but better tools can make for better trading.

I can hammer a nail in with my fist (theoretically), but it is much easier and effective if I buy and use a hammer. And, depending how much I need and use that hammer, maybe it is better for me to invest in a pneumatic hammer.

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  #73 (permalink)
Elite Member
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Posts: 902 since Jul 2012
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Edit: Typo.

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  #74 (permalink)
Elite Member
Nuremberg, Germany
 
Futures Experience: None
Platform: MultiCharts
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Posts: 49 since Jun 2010
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Thanks for naming those tools. (I know you deleted the name after edit, so I let them here out too)


kevinkdog View Post
I agree, but better tools can make for better trading.
I can hammer a nail in with my fist (theoretically), but it is much easier and effective if I buy and use a hammer. And, depending how much I need and use that hammer, maybe it is better for me to invest in a pneumatic hammer.

Drastic example. 100% agree.

But we were comparing a 1000 $ tool to maybe 10000-100000 tool.
The tools mentioned by artemiso were all institutional tool. Nearly all retail wouldn't be able to apply those tool accordingly (e.g. under capitalization or lack of knowledge). And most of those functions, retail trader wouldn't even need them or wouldn't even know what to do with them.

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  #75 (permalink)
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Many traders say: Keep it simple. Often simple strategies tend to be stable and profitable in the long run.

Similar to trading software: Sometimes less is more. Why buy those expensive instutional software if you don't need most of those functions, I at least know for myself, that they won't add value to me, at least not now and not in the near future.

Edit:

Sorry for going off topic.

Discovered this thread today. Excellent, Kevin! Keep on the good work.

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  #76 (permalink)
Market Wizard
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swz168 View Post
Many traders say: Keep it simple. Often simple strategies tend to be stable and profitable in the long run.

Similar to trading software: Sometimes less is more. Why buy those expensive instutional software if you don't need most of those functions, I at least know for myself, that they won't add value to me, at least not now and not in the near future.

Edit:

Sorry for going off topic.

Discovered this thread today. Excellent, Kevin! Keep on the good work.

Thank you for bringing the topic up. It is a good thing to discuss!

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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  #77 (permalink)
Market Wizard
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Monitoring a Strategy

At this point, I have everything in place to begin the trading the system. If you think I've missed anything up to this point, please bring it up here.

Assuming things are in place, I'd like to share what I do once I go "live" with a strategy.

I use a variety of calculations, graphs, metrics, etc to help me monitor the strategy. I do not necessarily use them all on every strategy, but for this strategy, I will show all of them.

The first chart I use is what I call a "birdseye view" chart. It tells me, at a glance, how my strategy has performed historically, and in real time. To keep consistency, I use the same data source for all the data. In my case, it is the Trade List provided by Tradestation. You can get similar data from just about every trading platform out there. This is NOT actual real money results data, which will be covered in later charts and metrics.

The point of this chart will be to gauge the general overall effectiveness of real time performance (the green part of the curve on the right). Is the real time data consistent with the historical test and the incubation period data? If not, there may be something amiss. Maybe the strategy has stopped working correctly, due to market conditions for example. Or, maybe the assumptions made in the strategy about limit order fills are not realistic. This could especially be true in scalping type strategies, although really you may need actual real money results to check that. Bad assumptions or strategy development technique up front may not show up in historical or incubation tests, but they certainly will be revealed when real money is on the line.

So, I update this chart, and quickly review it. This gives me a general feeling whether or not my strategy is performing as expected. If it is, I can quickly move on to the next chart, which I'll discuss in a future post.

Also, if you don't know how to create an equity chart like I show below - don;t worry. I'll explain that, too - next post.

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  #78 (permalink)
 Vendor: tradingcode.net 
The Netherlands
 
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swz168 View Post
Thanks for your post. (...)


kevinkdog View Post
Great post! There is a lot to think about in it. (...)


swz168 View Post
Thanks for naming those tools. (I know you deleted the name after edit, so I let them here out too)
(...)

While I do understand why Artemiso edits his posts, I do find it somewhat annoying that in this case I missed the last page due to being in a different time zone. Normally, I wouldn't mind, but since this is an interesting discussion so I wonder what 'gold nuggets' I missed.

Did someone made a copy of the last page of the discussion (then send me a copy, if you wish), or am I now implicitly asking for copyright infringement?

Edit: PM received. Thanks.


Last edited by Jura; August 30th, 2013 at 01:43 AM.
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  #79 (permalink)
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kevinkdog View Post
At this point, I have everything in place to begin the trading the system. If you think I've missed anything up to this point, please bring it up here.

What timeframe are you trading?

Yes I think you have missed something:

I saw in previous posts that you are using Monte Carlo Simulation. The way you applied it, it is the most simple version. Because you "just" accept that normal distributions applies to your strategy, so the risk you calculated is not "true". I think you know this already.

Part of my full time is also risk management (not related to trading). There I also model risk and use Monte Carlo Simulation. Since normal distribution often doesn't apply for business related situations, I apply real distribution (and not normal) derived from the history. That will give you a more exact picture of your risk.

A powerful tool to do that is Palisade @risk. (Palisade Corporation: Maker of Risk & Decision Analysis Software using Monte Carlo Simulation). It is an MS Excel Addon. The Industrial Version costs GBP £1,550.00. No free lifetime upgrades like NT or MultiCharts! But still affordable for retail traders.

What I like about @risk is the easiness of fitting distributions. Alone that is worth the money if you really want to apply "correctly" monte carlo simulation.

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  #80 (permalink)
 Vendor: diversifyportfolio.com 
PTA, Gauteng
 
Futures Experience: Advanced
Platform: Self built + Sierra + TWS
Favorite Futures: Stocks and Options
 
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Just to add my 2c to the discussion on tools and software. I think what Kevin shows is that often (usually?) process is more important than tools.

Kevin has proved himself to be a world class trader, yet for the most part his tools are limited to Excel and Tradestation (correct me if im wrong?). However in most of Kevin's threads what is glaringly obvious is that he has a process that he has developed himself and follows with complete discipline.

Focus on the process of trading well and the rest will fall into place. All the fancy tools and software in the world wont make a bad trader profitable. But,...on the other hand good software and tools can aid an already process oriented and successful trader.

Diversification is the only free lunch
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