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Robots Unleashed - a beginners algotrading journey


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Robots Unleashed - a beginners algotrading journey

  #41 (permalink)
 kevinkdog   is a Vendor
 
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SMCJB View Post
I can see how walkforward testing is great for intraday systems, and theoretically should yield the same results no matter how you do it. The problem comes when you start using walkforward testing on swing systems. How do you treat an open trade at the end of the walkforward period? If you close it at the end of the period you might get different optimization results than if you close it when the system would close it. Another issue with walkforward is trade count. They less trades you have in each walkforward period the less significant the results are. I have a tendency to develop systems that have low trade counts - and the resulting walkforward results are extremely unstable.

Good points. Each walkforward tool makes different assumptions. You definitely will get different results if you close trades at end of each period. I keep them open in real trading, so I prefer a walkforward analysis that replicates that.

For number of trades, I look more at the overall period of time with walkforward analysis as being more important. But if you have say 5 trades a year, and choose to reoptimize every 6 months, you could run into stability problems as you suggest.

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  #42 (permalink)
 
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 FastNCurious 
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Today is kind of a blah day for my trading systems it seems. The markets have been trying to figure out a direction. I am learning that many of my strategies only do well when the market is roaring in one direction. I must have mean reverting ideas to implement so I can bang out a profit during quiet times in the market. This is my primary focus right now in terms of testing ideas.


I am also totally kicking myself for leaving money on the table by incubating a strategy that I received. It has outperformed lately and I am kind of disappointed in myself for not turning it loose. My fear of max loss kept me on the sidelines for now which I know is the right move but the gambler in me wants to risk more. Luckily I have a strict method for strategy development. I wish there was a market for fine tuning other markets such as agriculture. If there were a micro ag or soft market I would definitely be in the market right now.

As of right now my account cant take a 10K max drawdown if I'm having another big drawdown in another strategy. This is my focus also. I want to make sure that the strategies I use have a total max drawdown such that 2x max drawdown = minimum acct balance. Obviously I am working with a smaller account so risk of ruin is higher.

Today I will be testing my mean reverting idea. I may have found something that shows promise but we have much more testing to do.

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  #43 (permalink)
 
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 SMCJB 
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kevinkdog View Post
You definitely will get different results if you close trades at end of each period. I keep them open in real trading, so I prefer a walkforward analysis that replicates that.

I believe Greg has said that StratOp closes them.


jburke75 View Post
Today is kind of a blah day for my trading systems it seems. The markets have been trying to figure out a direction. I am learning that many of my strategies only do well when the market is roaring in one direction. I must have mean reverting ideas to implement so I can bang out a profit during quiet times in the market. This is my primary focus right now in terms of testing ideas.

An important trading skill is to know when not to trade. If your trading frequently you need to be taking advantage of small moves. This is very dependent upon costs and fill quality (ie slippage) and is the domain of the more sophisticated systems/traders. If your trading less frequently your taking advantage of good setups. The lower the quality of your setups, the worse your trading results. Not trading is a good thing at times.

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  #44 (permalink)
 
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 FastNCurious 
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vmodus View Post
Awesome, thank you very much! I have wanted to read his book for a while, but it is written in Italian and my Italian is pretty rough. I see that Wiley is publishing an English language translation slated for publication next year, and according to the reviews, the first part of it is geared towards system traders. I've pre-ordered, but probably won't see it until June.

I would be interested in it as well. Maybe after you read it give my journal a short review of it. I'd really appreciate it.

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  #45 (permalink)
 kevinkdog   is a Vendor
 
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FastNCurious View Post
I would be interested in it as well. Maybe after you read it give my journal a short review of it. I'd really appreciate it.

What book is this?

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  #46 (permalink)
 
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 FastNCurious 
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Andrea Unger's book that is currently only available in Italian. Not sure what book it is.
I went looking for this mysterious book and found these. A list of Andrea Unger's recommended reading:

I wanted to make a personal note because I have already read two of these book and this confirms I am on the right path.

Larry William's -
Long-term Secret to Short-term Trading

Kevin Davey's Algo Trading Books-
Introduction to Algo Trading and Winning Algorithmic Trading Systems

Perry Kaufman and Thomas Stridsman
Trading Systems That Work and Trading Systems and Money Management

Howard B. Bandy's Trading Books

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  #47 (permalink)
 
FastNCurious's Avatar
 FastNCurious 
saint louis MO
 
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I found this online searching:

Trattato di Money Management: La gestione professionale del rischio (Italian Edition)

This may be it but I don't know. @vmodus would know.

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  #48 (permalink)
 kevinkdog   is a Vendor
 
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FastNCurious View Post
I found this online searching:

Trattato di Money Management: La gestione professionale del rischio (Italian Edition)

This may be it but I don't know. @vmodus would know.

Yes, English version comes out in June. It should be worth reading. I have been asking Andrea for English version for years! Maybe I helped wear him down, because for a long time he did not want to do it!

Kevin

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  #49 (permalink)
 
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 vmodus 
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FastNCurious View Post
I would be interested in it as well. Maybe after you read it give my journal a short review of it. I'd really appreciate it.

Sure, will do.

~vmodus

Enjoy everything!
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  #50 (permalink)
 
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 FastNCurious 
saint louis MO
 
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I am not completely sure where I found this but I'm sure it was either here or the other forum I belong to but these markplex free tradestation tutorials are actually quite useful as they answer some of the common questions I have had in the recent past.
All the answers are out there waiting to be discovered by those who ask.

I also got online access to Stocks and Commodities Magazine last night as my early Christmas present. I've had some fun today with trying out a few new custom indicators from Ehlers. I have been thinking about how to apply them to a strategy. It seems the NET custom indicator has the ability to predict an imminent major market reversal. I was thinking about using it as a filter for a momentum strategy with fairly loose stop loss. I think this would take part in major moves while stopping out occasionally with small losses.

Now I am at the drawing board trying to turn a custom indicator into a function that can be used as a trigger or filter for entry. I have a good idea conceptually of how to do it. I believe I first need to turn the indicator into a function that can be called upon by my strategy. I will be putting something together tonight and see how this goes. I'm sure this will all be for naught but the exercise is good for a beginner like myself.

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