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Today was a little crazy, but probably in a good way. I was doing some analysis in Excel that was extremely time consuming, and then realized I could just write a strategy that could output the same thing I was doing. Duh. I won't go into details until I know what I have, but something is brewing.
But then there is always something brewing.
The process of our daily meetings is going very well. We find that we are a lot more productive when we are focused and keeping each other accountable.
I buried my first strategy yesterday, which actually felt good. It is great to take something through a process and have closure if it does not work. That frees up my mind and time for the other things.
I have to work on the strategies I received through the Strategy Factory. Hopefully I have at least one fully vetted by next Monday.
I ran one strategy that I have in simulation, which I am not comfortable back-testing due to how I am using data. I got squirrelly results last time I tried to backtest a similar strategy, so I am going through the process of running it in simulation and comparing results to the trades recorded in the Trade Manager. It is tedious, but necessary. If the results in the Trade Manager match my Strategy Performance Report, then I will have confidence that I can backtest it.
I keep watching and re-watching videos on ATR. It is helping cement my understanding of this indicator.
That is all for now. I have a ton of other things to do, personal and otherwise. See you all tomorrow!
As I say.... not no, but heck no. There are so many different instruments with different attributes across time. For example, Eurodollar (depending upon which contract you are trading), is difficult or impossible to trade in a short timeframe with a longer timeframe strategy. Then a system for multiple markets.... believe me a strategy for ES is completely different from a strategy for Eurodollar. And don't even get me started on softs and all the seasonal shenanigans around those.
The further you go in time (second, minute, hour, day, week, month....) the more your trading goes from short term scalping and opportunity trades, to swing, and then positional trading at the other end of the spectrum. Those are different types of systems. One one system I am developing, I look at intraday swings in price movement and attempt to capitalize on this. If I were to zoom out to a 60 min chart, everything changes and I would look at what I was trading as a ridiculous exercise.
This is my experience only, but I'm sure others would agree. There are some strategies that may work across different timeframes (I had one or two, but they failed for other reasons). I have found that strategies that are successful across multiple timeframes to be an exception and not the rule.
You definitely do not need a strategy to work on multiple timeframes to be a good strategy, either. And sometimes, timeframe is not necessarily the important thing, but rather time itself. Example, you may have a strategy that takes a position at a set time and exits at a set time, based on whatever criteria. So even the chart doesn't really matter, as long as the entry goes and the criteria has been met.
You may also trade a system that uses multiple timeframes, for example 60 minute and 240 minute. Have an entry based on the 240 (e.g. RSI crosses above 50, go long), and an exit based on the 60 (e.g. MACD cross over). So timeframe is absolutely essential.
Read recently that Renaissance Capital crossed and concluded that a system that works on all markets is better than a system that only works on an individual market....
Also there is the evidence/theory/assumption that markets are "fractal" in nature...ie they all look the same on different time scales.
Personally not really bothered at all as for the 3 systems that I use - 2 are longer term and traded on equities and the other is discretionary scalping on the hang seng...
My advice....find something that works (even if its copied from someone else) and trade it....you will save yourself a LOT of TIME.
Not happy that it is Friday. It seems like something good that I've worked up has to wait until the markets open again Sunday night. Darn.
It was a weird day, personally. I was at a Chinese New Year's performance this morning at a school, when a tornado warning was issued. Imagine, you are in a school cafeteria watching kids perform with a few hundred other people, when everyone's phones start issue weather alerts all at the same time. So we had to shelter in the halls while that weather passed (apparently right over our school).
Then a small tornado actually hit one of my other kid's schools today and damaged a classroom. So that was exciting (no one was hurt, thankfully). Then we had some snow after the temperature dropped 20 degrees F. Back to school to watch the rest of the performance in the afternoon. And some trading stuff in the mix, too.
I came up with a new idea, regarding the open of the market and index futures. I am working through the analysis prior to going into any sort of feasibility testing. I am looking at pre-market sentiment, then placing a trade at open and exiting within 30 minutes. I see a pattern, especially on down days. It is new and still under analysis.... to be continued.
I ran one of my strategies in sim overnight, as I wanted to see how closely sim entries may or may not match my strategy performance report. Basically I don't know if I am able to backtest a strategy, so I am comparing sim and my strategy performance report. I saw something peculiar: some trades in sim that showed positive slippage. It may not mean anything, but it is curious. I think our exits are happening while the prices move in a favorable direction (retracement), but it is statistically significant (+25% in my favor). It have slippage accounted for in my report. This will be interesting to see what happens.
I am very familiar with MACD, but the intraday settings were interesting to me: 3/10/16. I plugged them into one of my intraday strategies and it automatically improved the results.
We are now into our 8th day of following the Strategy Factory process (with our own flourishes) and it has changed our development process forever. We are fine-tuning (curve-fitting? ) the development process to fit into our own best practices, but just being better organized has helped us tremendously. Burying strategy is sad and liberating at the same time. Once we know that a strategy sucks, we can move our energies to the next thing with some peace of mind.
We still have a ton of work to do, but that is okay. All in good time.
Thanks for sharing. I would love to read their research on the topic.
I agree with the fractal theory. Put enough 1 minute data together against enough like daily data, and it starts to look the same. (but can you trade it? ) Seriously though, the analysis techniques do not always work in the macro and micro equally.
Great advice, btw. We have learned that simple is better and if it does work, throw it out.
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,049 since Dec 2013
Thanks Given: 4,386
Thanks Received: 10,206
I went back and forth on this a lot. Part of it was my unhappiness with how Tradestation calculates some things (ie Drawdowns) and part additional information I wanted. It's actually very easy to write some code, that you then put at the end of your strategies, that creates your own reports. Problem is writing the code to create your own report is the easy bit, you also need to write the code to create all the results you want to write to the report. Also loading and formating a csv is a lot less convenient than just clicking on the Tradestation Report button.
I think ATR is a much much better estimate of volatility than the traditional close-close volatility measure. There are also other volatility measures that taken into consideration the range rather than just the close-close volatility. Parkinson Volatility takes into consideration the high and the low but not the close. Garman-Klass Volatility goes a step further and uses all of 4 OHLC. Yang Zhang go a step further and incorporate opening gaps. Wish I could say I was an expert on all of this but I just happen to be reading Volatility Trading by Euan Sinclair.
Writing the code is not too bad, even if I have to write output to a .csv file. Mainly what I was doing was using a strategy to give me the entry and exit signals. By exporting the trade list, I can then see if an idea is worth pursuing. It is a quick and dirty strategy and not meant for trading, but it helps me accomplish the analysis a lot faster.
Once I understand ATR well enough, then I will have it in my toolbox. I'm curious about using it for position sizing. I will have to look into the book by Sinclair. Thanks for sharing!
I do not have a lot of time this week due to client commitments, but I do have trading things happening. My entries will be short and sweet.
Today:
I am running my M004 strategy (internal id to keep things straight) in simulation, which is a MACD entry with iTrend exit. It is designed for indexes, but we are running it on CL (over at our 'energies desk' ) to see what happens. This is a strange little strategy that uses range bars instead of time bars, so we cannot properly back-test it. It is something we have to tune and incubate in a sim environment, so it may not see the light of day anytime soon. It is actually able to mimic what I would do as a discretionary trader (just faster), so just watching trades occur as I would have placed them manually from my chart analysis is really nice.
There several holes in the system (see below), so following the practices learned in the Strategy Factory do not exactly work. We will be tossing it after running for this week, because we know it has flaws. Because it doesn't fit the norm, the walk-forward is a true walk-forward, on totally unseen data. I am letting run all week, even though I know it will not pass, so that I can identify any other issues before moving on to a spawned idea.
One problem with the system:
Most of my systems have been 'always in'. The strategy mentioned above is a long or short only (I set the bias as a parameter), so the problem seen below is now something I must account for:
With an always in, the next signal ends a poor entry from running away. Here, not every entry signal is good, of course. After entry, I will need a confirming signal, which fortunately I have available. If the confirming signal (iTrend) doesn't share the sentiment (you can see iTrend on the candlesticks), then we can exit before things get too bad.
I ran in ES and RTY (Russell 2000), but with short and long bias respectively. This is pitting the two against each other (they often trend together), but again I want to see what happens when running one short and one long. They often offset each other, but ES was stronger. The point is that I'm learning how the system behaves with real, unfiltered data.
I have a couple changes that will reduce the number of entries. Continual improvement is part of our business, so new ideas are already queuing at the 'factory' entrance:
Enter long when MACD < 0; short when MACD > 0 (will reduce number of trades)
Change the trend bias based on market trend (avoids placing a bunch of trades against the trend)
The processes we have implemented are working well. We are dealing with bad strategies through a normal grieving process, but I think it will get better with time. I have already buried three ideas, but from the ashes have arisen more ideas.
We have one system that we are prepping for submission to the Strategy Factory Club. It passed feasibility, walk-forward test and Monte Carlo, so we are excited to move the process forward and meet the February deadline.
I have been filling some of my downtime with podcasts, as I do a lot of walking and waiting for kids. I know Chat With Traders is popular, but I've been listening to some of the Optimus Futures podcasts this past weekend, which have been really informative (I know they are a vendor here, but I'm not affiliated and do not have any relationship with them). The one I liked is the 10,000 hours rule podcast. My wife/partner and I have discussed this rule in the past (refer to the book 'Outliers' if you want), so it was interesting to get the perspective of someone in our industry.
Things are starting to clear for us, despite rain and cold. Documenting all of these ideas can be pretty mundane, but it forces us to think about the process. We continue to meet every morning and are moving ahead in a good direction.
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,049 since Dec 2013
Thanks Given: 4,386
Thanks Received: 10,206
I was thinking about this some more this evening. The problem with all of those volatility calculations in Tradestation (except ATR) is that they are based upon returns and hence will not work on continuous adjusted futures contracts.
Better System Trader, Top Traders Unplugged are both very similair to chat with traders. Two of my favorites are Macrovoices (podcast) and Real Vision (Subscription TV currently has a $1/1 month special) but they trading/finance and not system trading specificly.
) the development process to fit into our own best practices, but just being better organized has helped us tremendously. Burying strategy is sad and liberating at the same time. Once we know that a strategy sucks, we can move our energies to the next thing with some peace of mind.