KJ Trading Systems Kevin Davey - Ask Me Anything (AMA)
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This came in via PM, but I felt it general enough to share with everyone... Thanks for the questions!
As far as you can estimate, to create genuinely profitable stragies using the in built Strategy Builder on NinjaTrader8?
I have never used it, so I cannot say. But in general, the built in features of any platform allow you to create strategies. And create nice backtests. But are they any good - will they work going forward? That is the million dollar question. My feeling is that most trading software actually lures you into some bad habits - just look how easy it is to optimize a variable, add a new rule, tweak that backtest, etc. And that leads to misleading backtests.
With that in mind, I do think you can build good strategies, but you really need a solid development process that helps you avoid the pitfalls of backtesting. That is not easy.
Do you find successful intra day strategies almost always require higher timeframe analysis of some kind to generate profit?
My experience is that intraday strategies are hard to develop, period. Maybe having higher timeframes help, I have not thoroughly researched this.
Can you put your finger on an average number of indicators/conditions upon which your strategies are built, with emphasis on the intra day strategies?
My experience with any strategy is that the simpler the better. Most people fall into a trap where they keep adding rules to make the backtest better. That rarely works. Keep it simple. Try only a few conditions, maybe 1 or 2 for entry, and same for exit.
I was hoping you might be able to shed some light on the correct way to initially test a strategy in your view.
Would it make sense to take a 4 year historical period as in sample data, optimize to seek out the best parameters during this period, without over-optimizing of course, and then move forward to Walk Forward Optimization?
How do you ensure you aren't over optimizing, is it more of a feel thing rather than exact science?
How would you go about the Walk Foward Optimization in terms of size of data set it's being tested on?
Any fedback highly appreciated as always!
Thanks.
The following user says Thank You to WhatIfGod for this post:
Thanks for the questions. These are complicated questions, way too much to put in a thread post.
A few years ago, I did an Elite member webinar where I discussed a lot of this.
Also, my first book "Building Winning Algorithmic Trading Systems" also covers your questions in much more detail. You probably can find a copy at a library, or maybe online with a free trial at overdrive.com
Sorry I can't give short and sweet answers here. You have asked some great questions!
If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
The following user says Thank You to kevinkdog for this post:
Strategies can and do go out of sync, so you have to be prepared to fix and adjust. Sometimes it is a code issue, sometimes a data issue, sometimes exchange issue, sometimes internet issue, etc. The list is long. One thing algo trading is NOT: it is NOT unattended trading. Even hedge funds, etc have people monitoring positions.
If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
The following 3 users say Thank You to kevinkdog for this post:
I had a quick question from your book; for the Euro strategy example, you had allowed yourself one month to develop a strategy based on the defined goals.
I was wondering how much time it took you to come to the final strategy and if you went through other ideas before the final published version?
