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KJ Trading Systems Kevin Davey - Ask Me Anything (AMA)
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KJ Trading Systems Kevin Davey - Ask Me Anything (AMA)

  #171 (permalink)
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totantaz View Post
Hi Kevin,

Any more youtube videos planned in the close future? those are really good

cheers,

Glad you like them! No more videos planned, busy instead doing my own trading, doing some interesting research and working with clients....

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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  #172 (permalink)
Market Wizard
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kevinkdog View Post
You personal biases may be impacting things, but that is not necessarily a bad thing. Your biases might actually be helping you to make a better decision.

Based on what you've done already, it is hard to recommend a way forward. Like you say, you already know the results, so trying to formalize this into a process probably doesn't make sense.

If I think of a way around this, I'll post it.

Thanks Kevin.

So given that, another option is to recalibrate on the last 10 years of data, or the entire 12 years of data, without any out of sample data?

Final question would you ever trade 2 very similar but slightly different models to get some diversification, or just stick with the one you think is best? Was thinking that since the original model (04-13) has done so well that I might allocate half the position to that, and half the position to the new most recent 10 years (06-15). The parameters will be similar but slightly different.

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  #173 (permalink)
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SMCJB View Post
Thanks Kevin.

So given that, another option is to recalibrate on the last 10 years of data, or the entire 12 years of data, without any out of sample data?

Final question would you ever trade 2 very similar but slightly different models to get some diversification, or just stick with the one you think is best? Was thinking that since the original model (04-13) has done so well that I might allocate half the position to that, and half the position to the new most recent 10 years (06-15). The parameters will be similar but slightly different.

That is another option...

I would certainly think about trading 2 similar models, instead of trying to pick the "best" one and trading it double size.

You'll get a more average return (you won't get the best return, but you won't get the worst either), but the biggest thing is you save emotional capital by not stressing over "did I pick the best one?" That alone might be well worth the price for "blending" the two together.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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  #174 (permalink)
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Thanks @kevinkdog,
As always your insight is very interesting and valuable.
Really appreciate the responses.

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  #175 (permalink)
Live Your Bliss
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@kevinkdog

Hi Kevin,

I am in the process of reading your book, you did a fantastic job.

Question: given your extensive testing experience, what is the shortest timeframe that you found any profitable system on? For example, did you ever find anything on 5 min? 3 min? 15 min? Or are slippage / cost too prohibitive on that scale?

Thank you!

"...the degree to which you think you know, assume you know, or in any way need to know what is going to happen next, is equal to the degree to which you will fail as a trader." - Mark Douglas
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  #176 (permalink)
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Anagami View Post
@kevinkdog

Hi Kevin,

I am in the process of reading your book, you did a fantastic job.

Question: given your extensive testing experience, what is the shortest timeframe that you found any profitable system on? For example, did you ever find anything on 5 min? 3 min? 15 min? Or are slippage / cost too prohibitive on that scale?

Thank you!

Thanks for the nice comment on my book (I love to see reviews like that on Amazon! hint hint)

I have strategies on the lowest timeframe I have tested: 1 minute.

That being said, most of my strategies tend to use daily bars.

Good Luck!

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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  #177 (permalink)
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Kevin,

I have the following two lines of code that runs on the 15M chart.

 
Code
if MarketPosition (0) =-1 then BUYTOCOVER ("close sell") NEXT BAR OPEN at NEXT BAR LIMIT ;
BUY ("enter buy") MinList (NumContracts, max_contract) CONTRACT NEXT BAR OPEN at NEXT BAR+BuyLimit_Offset LIMIT ;


How can I rewrite these codes so that I can attach the strategy to the 1M chart while referencing the 15M chart's NEXT BAR OPEN at NEXT BAR LIMIT?

I would like to avoid the error of " Open Next Bar type strategies calculation is not permitted on multiple data streams."

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  #178 (permalink)
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fiverr View Post
Kevin,

I have the following two lines of code that runs on the 15M chart.

 
Code
if MarketPosition (0) =-1 then BUYTOCOVER ("close sell") NEXT BAR OPEN at NEXT BAR LIMIT ;
BUY ("enter buy") MinList (NumContracts, max_contract) CONTRACT NEXT BAR OPEN at NEXT BAR+BuyLimit_Offset LIMIT ;


How can I rewrite these codes so that I can attach the strategy to the 1M chart while referencing the 15M chart's NEXT BAR OPEN at NEXT BAR LIMIT?

I would like to avoid the error of " Open Next Bar type strategies calculation is not permitted on multiple data streams."


So, it seems like using multiple datastreams is out of the question.

I would try to fake it then, by capturing the open price of each 15 minute bar in a variable.

Pseudo code would look like this:

if time minute ends in 59,14,29, or 44 then // for example: 12:59, 2:14, etc.
time15 = open next bar;


Buytocover next bar at time15 limit;



This is a tricky problem. I am no expert coder either - I focus more on creating simple strategies.

If my idea does not work, I'd post the question in the Tradestation question section here, or even the Tradestation.com user form.

Good Luck!

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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  #179 (permalink)
Elite Member
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Kevin,

Thanks for the coding tip. BTW, this is what I am trying to accomplish. Please let me know if I am trying to reinvent the wheel.

See below backtesting results in MC.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).



As you can see, the original code is referencing 30M, and I am using 1M bar magnifier to obtain the backtesting results. When I look at my backtesting results (list of trades), the resolution step is 30 minutes. So I don't know whether the trade entered at 9:01AM or 9:28AM.

When I use 1M code to reference 30M logics, I obtain a 1-minute resolution. See below.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


As you can see above, I know exactly that the trade entered at 9:03M and exited at 9:13AM. This way I can compare the real trades with the backtesting results to measure slippage, signal accuracy, and reliability.

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  #180 (permalink)
Elite Member
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Thanks: 1,046 given, 4,078 received



fiverr View Post
Kevin,

Thanks for the coding tip. BTW, this is what I am trying to accomplish. Please let me know if I am trying to reinvent the wheel.

See below backtesting results in MC.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).



As you can see, the original code is referencing 30M, and I am using 1M bar magnifier to obtain the backtesting results. When I look at my backtesting results (list of trades), the resolution step is 30 minutes. So I don't know whether the trade entered at 9:01AM or 9:28AM.

When I use 1M code to reference 30M logics, I obtain a 1-minute resolution. See below.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


As you can see above, I know exactly that the trade entered at 9:03M and exited at 9:13AM. This way I can compare the real trades with the backtesting results to measure slippage, signal accuracy, and reliability.

Your approach sounds reasonable to me. If it ends up not working correctly, please post an update and hopefully it can get figured out.



Kevin

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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