NexusFi: Find Your Edge


Home Menu

 





A Quant's perspective on building a trading system.


Discussion in Trading Journals

Updated
      Top Posters
    1. looks_one SodyTexas with 31 posts (189 thanks)
    2. looks_two Limitless100 with 6 posts (2 thanks)
    3. looks_3 artemiso with 4 posts (3 thanks)
    4. looks_4 RickW00716 with 4 posts (1 thanks)
      Best Posters
    1. looks_one SodyTexas with 6.1 thanks per post
    2. looks_two fourtiwinks with 5 thanks per post
    3. looks_3 DarkPoolTrading with 4 thanks per post
    4. looks_4 bobwest with 1.5 thanks per post
    1. trending_up 27,926 views
    2. thumb_up 231 thanks given
    3. group 90 followers
    1. forum 74 posts
    2. attach_file 5 attachments




 
Search this Thread

A Quant's perspective on building a trading system.

  #1 (permalink)
 
SodyTexas's Avatar
 SodyTexas 
Austin TX
 
Experience: Advanced
Platform: Ninjatrader, Python, & R
Broker: RJO
Trading: Futures, Spreads
Posts: 421 since Sep 2013
Thanks Given: 117
Thanks Received: 1,085

This is my second attempt to a journal. My first one failed (because we just had a new baby that took up all my time). I hope you are understanding for the failed attempt and follow me along with this one. I have the time and motivation to see this one through.

My goal of this trading journal is to showcase how I a quantitative trader approaches the development of a trade system. I trade professionally (for a hedge fund) and am looking to possibly go out on my own or trade with another firm. That said, if you are interested in my methods feel free to contact me.

I find futures.io (formerly BMT) as a perfect place to start my journey because of the fantastic audience that only futures.io (formerly BMT) can supply. I encourage an open debate on my methods because I recognize that I do not have all the answers and can learn from other members on this forum.

I will be presenting the steps that I go through to build a system and show an example of a system going through the process. I apologize in advance because i will not be showing the signals for the system because I have tested portions of the system and believe that it could be one that I will use to manage money. My systems focus on managing risk first and reward second. I derived my system from a combination of work published by Ralph Vince, Van Tharp and Perry Kaufman. If you have not read any of these authors I strongly suggest that you do. If you are familiar with any or all these authors then I expect you to thoroughly enjoy my posts.

To get started I am attaching a flow chart that I have made to guide you through my process. I will post more about the methods I use tomorrow.

Cheers,

Sody

"The great Traders have always been humbled by the market early on in their careers creating a deep respect for the market. Until one has this respect indelibly engraved in their makeup, the concept of money management and discipline will never be treated seriously."
Attached Thumbnails
A Quant's  perspective on building a trading system.-flow-chart.pdf  
Visit my NexusFi Trade Journal Started this thread Reply With Quote

Can you help answer these questions
from other members on NexusFi?
Are there any eval firms that allow you to sink to your …
Traders Hideout
Better Renko Gaps
The Elite Circle
Deepmoney LLM
Elite Quantitative GenAI/LLM
My NT8 Volume Profile Split by Asian/Euro/Open
NinjaTrader
Futures True Range Report
The Elite Circle
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
Get funded firms 2023/2024 - Any recommendations or word …
61 thanks
Funded Trader platforms
39 thanks
NexusFi site changelog and issues/problem reporting
26 thanks
The Program
18 thanks
GFIs1 1 DAX trade per day journal
18 thanks
  #3 (permalink)
 
SodyTexas's Avatar
 SodyTexas 
Austin TX
 
Experience: Advanced
Platform: Ninjatrader, Python, & R
Broker: RJO
Trading: Futures, Spreads
Posts: 421 since Sep 2013
Thanks Given: 117
Thanks Received: 1,085


Looking at the flow chart one of the first items I note is a "Paradigm Shift". This is what I call a new way to trading; in actuality it is not new at all. It is some core beliefs that I use to design trading systems that I have collected them primarily from experience, Van Tharp, and Perry Kaufman.

To quickly summarize "The Paradigm Shift" it is a combination of using the popular R-Multiples and statistics to evaluate and use a trading system. They way I think of trading is the study of numbers to provide profit and control risk. Statistics is the study of numbers, and trading should be all about risk and reward.

A Good trading systems needs to be built on a solid foundation, this is my foundation.

See attachment

Next I will be talking about the sample data and how that should be broken up. Then we can get into the fun stuff..

Until then, Cheers,

Sody

"The great Traders have always been humbled by the market early on in their careers creating a deep respect for the market. Until one has this respect indelibly engraved in their makeup, the concept of money management and discipline will never be treated seriously."
Attached Thumbnails
A Quant's  perspective on building a trading system.-shift.pdf  
Visit my NexusFi Trade Journal Started this thread Reply With Quote
  #4 (permalink)
 
Nicolas11's Avatar
 Nicolas11 
near Paris, France
 
Experience: Beginner
Platform: -
Trading: -
Posts: 1,071 since Aug 2011
Thanks Given: 2,232
Thanks Received: 1,769

Hi,

This simply looks excellent reading. Thanks for sharing your approach.

Nicolas

Visit my NexusFi Trade Journal Reply With Quote
Thanked by:
  #5 (permalink)
 
SodyTexas's Avatar
 SodyTexas 
Austin TX
 
Experience: Advanced
Platform: Ninjatrader, Python, & R
Broker: RJO
Trading: Futures, Spreads
Posts: 421 since Sep 2013
Thanks Given: 117
Thanks Received: 1,085


Nicolas11 View Post
Hi,

This simply looks excellent reading. Thanks for sharing your approach.

Nicolas

Thanks Nicolas, I hope you stick with my posts and follow along..

Cheers,

Sody

"The great Traders have always been humbled by the market early on in their careers creating a deep respect for the market. Until one has this respect indelibly engraved in their makeup, the concept of money management and discipline will never be treated seriously."
Visit my NexusFi Trade Journal Started this thread Reply With Quote
Thanked by:
  #6 (permalink)
 
cejstrup's Avatar
 cejstrup 
Denmark
 
Experience: Intermediate
Platform: NinjaTrader
Trading: CL
Posts: 98 since Jan 2014
Thanks Given: 1,183
Thanks Received: 160


SodyTexas View Post
Looking at the flow chart one of the first items I note is a "Paradigm Shift". This is what I call a new way to trading; in actuality it is not new at all. It is some core beliefs that I use to design trading systems that I have collected them primarily from experience, Van Tharp, and Perry Kaufman.

To quickly summarize "The Paradigm Shift" it is a combination of using the popular R-Multiples and statistics to evaluate and use a trading system. They way I think of trading is the study of numbers to provide profit and control risk. Statistics is the study of numbers, and trading should be all about risk and reward.

A Good trading systems needs to be built on a solid foundation, this is my foundation.

See attachment

Next I will be talking about the sample data and how that should be broken up. Then we can get into the fun stuff..

Until then, Cheers,

Sody

Thanks for sharing. I'm currently testing my own system and I can already see a lot of benefit from this

Subscribing to this thread

Reply With Quote
Thanked by:
  #7 (permalink)
 
SodyTexas's Avatar
 SodyTexas 
Austin TX
 
Experience: Advanced
Platform: Ninjatrader, Python, & R
Broker: RJO
Trading: Futures, Spreads
Posts: 421 since Sep 2013
Thanks Given: 117
Thanks Received: 1,085


cejstrup View Post
Thanks for sharing. I'm currently testing my own system and I can already see a lot of benefit from this

Subscribing to this thread

Awesome, I have a subscriber!

"The great Traders have always been humbled by the market early on in their careers creating a deep respect for the market. Until one has this respect indelibly engraved in their makeup, the concept of money management and discipline will never be treated seriously."
Visit my NexusFi Trade Journal Started this thread Reply With Quote
  #8 (permalink)
 
Nicolas11's Avatar
 Nicolas11 
near Paris, France
 
Experience: Beginner
Platform: -
Trading: -
Posts: 1,071 since Aug 2011
Thanks Given: 2,232
Thanks Received: 1,769

Two!

Visit my NexusFi Trade Journal Reply With Quote
Thanked by:
  #9 (permalink)
 
SodyTexas's Avatar
 SodyTexas 
Austin TX
 
Experience: Advanced
Platform: Ninjatrader, Python, & R
Broker: RJO
Trading: Futures, Spreads
Posts: 421 since Sep 2013
Thanks Given: 117
Thanks Received: 1,085

After a bit of pondering, I decided to be more transparent with this journal and change and open up the system to others including the rules, code, and indicators. Maybe, just maybe, I can get some great feedback on the system to make it great. I will not be using the system that I am building for the Hedge Fund for proprietary issues, however, I will shift gears to a personal system that I am designing.

First, let me talk about the goals of this "new" system. What I need is a system that can be implemented on a small amount of capital. Why? Because as I mentioned in my first post I have a new daughter, and I would like to get a head start on her financial stability. This I believe will benefit followers here at futures.io (formerly BMT) that may want to open a small account and follow along.



What I did was open her a UGMA account with FXCM, a Forex broker. The reason I went with Forex and not futures is because of the ability to trade a very small account with micro lots (usually 1000 lot position). This will allow me to start trading on a small amount ($50.00 - $1000.00)of capital; perfect for her. I will be adding a small amount to the account monthly until she is 18.

My hope is to have the account grow to a size large enough that I can move it to futures with proper risk management. Until then micro lots in FX will allow me to still use the principals of risk management that I will be talking about here.

The system itself is a spin-off of the popular Ichimuko indicators on a PnF (Point and Figure) chart. The plan here is to create a system with a t-score of 2.80 of higher.

As true with my flow chart, my objectives are:

Return: 90%
Ruin: 30%
ideal t-score: 2.80
Time-frame: 1000 trades


The initial base system will include the ichimuko cloud adjusted with some Fibonacci numbers, a smooth moving average opposed to the ichimuko moving average, and a MaxMin breakout set at the ichimuko standard of 52 bars. I use PnF a bit different then most traders, as I do not use it to trade catapults but to filter out noise. This is great to adjust time to nothing but price action.

Here is an example of what I plan to achieve:



The code for the initial system is not written yet, so in the next week I will complete the base system and post it here.

I hope you appreciate the choice to open up the project to everyone, and I look forward to any feedback.

Cheers,

Sody

"The great Traders have always been humbled by the market early on in their careers creating a deep respect for the market. Until one has this respect indelibly engraved in their makeup, the concept of money management and discipline will never be treated seriously."
Visit my NexusFi Trade Journal Started this thread Reply With Quote
  #10 (permalink)
 
SodyTexas's Avatar
 SodyTexas 
Austin TX
 
Experience: Advanced
Platform: Ninjatrader, Python, & R
Broker: RJO
Trading: Futures, Spreads
Posts: 421 since Sep 2013
Thanks Given: 117
Thanks Received: 1,085



Nicolas11 View Post
Two!

I'm famous!!!

"The great Traders have always been humbled by the market early on in their careers creating a deep respect for the market. Until one has this respect indelibly engraved in their makeup, the concept of money management and discipline will never be treated seriously."
Visit my NexusFi Trade Journal Started this thread Reply With Quote
Thanked by:




Last Updated on September 26, 2014


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
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.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts