General Discussion for Components in Strategies

[andypap 10]

this thread has a particular purpose for anyone in the forum intrested.

to open a general technical discusion about 100 % autommated strategies...

no judgment calls at all....

actually it is about what to keep , what to throw whitch might interest a lot of

the participants that try to design their own fully autommated strategies..

 

let me introduce myself.

i am a trader and analyst for 15 years and

i have average or even below avarege easy langauge programming skills.

i persist though so i have managed to

design a lot of my own concept indicators and strategies as well as standard concepts

like comressed timeframes indicators,dynamic adaptive to market conditions averages

divergence studies, forward channel like price projections, autotrendlines ,statistical studies etc.

i have posted many times questions in this forum trying to find programming solutions to

given problem that i was facing...

i am working on my own so this process was and will be consumming a lot of time and effort

so i have dedicated all my free time to it .

 

i will try to be as brief as possible to present my bias and

in order to set a frame in whitch the discussion will be conducted lets

start with the data first..

 

price axis, timeaxis ,O,C,H,L,V and timeframes.

 

to start the controversy i suggest that

 

timeaxis , O , C , and timeframes are holding no information of value at all...

 

the market is a series of transactions each at a given price and the only info of

any value primarily is what price , how much .

 

the open/close of one timeframe is one transaction whithin a bar of another timeframe..

the time stamp of a ceratin transaction is totally arbitrary and depends on many factors..

to decide that a bar will form every n time doesnt represent at all the the flow of the market

whitch is the flow of transactions...

 

so what we are left with is high , low , and volume.

more specificlly derivatives of high and low like support/resictance ,range etc.

 

apart than just suggesting it i also testify that i have backtested a lot of startegies based on

various indicators that derive from calculation relative to the close,multitimefame,divergence and so on

and they were all having random characteristicts.

 

on the other hand strategies(es,forex) based on support resictance , range

and other derivatives of high and low

are performing very consistantly..and some almost fractal

and i am talking about a sample 0f 50000 thousand trades withing 10 years

over 20 trades per day

the equity curve of those strategies doesnt even flicker whether it is an upmarket,downmarket,sideways market

they kind of match the nature of the market

exept one "little" problem....execution(spread between backtested hypothetical executions

and real live execution)

buy that is a topic i would like to discuss later on in this thread

 

if anybody has a different bias or has something to implement in this first topic of this thread is welcomed.

 

the reason why i would prefer this discussion to progress from topic to topic is because it can become quite

chaotic if the conversation drifts out of context.

 

regards

[Tams 20]

that's a good preamble.

 

there are as many ways to trade the market as there are market instruments...

 

and the market has as many moods as your wife/gf.

 

if you can figure out your wife/gf, you can surely figure out the market... LOL

 

 

this will be a good discussion.

 

(I mean the market, not your wife/gf)

[andypap 10]

strategy devellopment hass many many pitfalls and definetely it is not an easy task..

further more from the perspective of the average trader it is a long term commitment regardless of the reasons that intiated that decision...

one person on his own time and resources will face a very long and hard to travell road with the different aspects of creating and refining a strategy...

 

if someone has advanced programming skills and math education and enough trading experience and works with a group of others of various experties required then he has

the luxury to show up and dazzle us with his super technologie and brilliant algorithms...

 

but the question in hand is totally different from this approach..

 

although required most essential criteria apart from enry,target,stop is adapting in "current market conditions" thus achiving normalized equity graph through time and having an accurately estimated execution in the backtester that will limit slippage in reality ,can that be done with relatively advance programming , standard technical knowledge and simulation of a real trading risk managment

 

i think that this description fits most of the members of this forum that want to create their own strategies...

 

but maybe i am wrong

maybe everybody has a strategy trading his account with no judgment calls and i am the only one in the dark or maybe people are throwning the white towel after a few frustrations and have made up their mind allready that this is too complicated to achive ...

 

summation of the above is that people that have a strategie, not heard about one ,can ensure

the rest of us that this is not a pipe dream and lay general guidelines without revealing their intellectual propertie , while others like me who think that they are close can exchange info revealing as much as they feel like...

 

here is something that i have strong evidence regarding the snp 500 and can be a topic of discussion.

an up market is very different than a down market so one should design these two separetely...

 

regards

[bootstrap 47]

 

here is something that i have strong evidence regarding the snp 500 and can be a topic of discussion. an up market is very different than a down market so one should design these two separetely...

 

regards

 

and there you have the secret

[andypap 10]

there is no need to match an effort to increase productivy and save your self from a lot of headaches with unequal and useless irony and hostility unless everything is quite obvious to everybody at first glance...

 

i was not aware of what i have proposed till recently and i realized it by accident...

i was making a " volatility indicator " to face something that i was involved with at the time

and then i plotted it in spx daily just to see and voila

the market NEVER show a mesurment above a particular threshold unless it was diving down

("" buy the creepers sell the leapers "")

NOT ONLY THAT BYT WHEN THE MARKET WAS EXCEEDING THAT THRESHOLD

AT VERY EARLY STAGE OF THE DOWNTREND.

each and every downrend from 1960 till today.

so i realized that i have a solid threshold for risk measurment

 

i have adjusted my strategies (size,stops targets) and most of all the boldness of the decision making part of the strategy and enhanced the results by multiples ...

 

of course this subject is in the realm of intersest of swing strategie devellopment and the structure of it should simulate a fund behaviour for optimal results and definately has no impact at all to scalping strategies or intraday strategies..

 

but just this fact can lead to another deduction about markets(another topic for discussion).

 

/////////////////////////////////////

two eyes,one brain

what is the level of awareness at all times particulary when you are buried in details and specifications and small tasks...how easily can you drift out of context..

 

 

my experience is that you can wonder in a maze for endless time overlooking the most essential

 

so no secret at all only a reminder whitch i wish that someone would have proposed to me to keep in perspective....

 

there is no harm done here

if anyone is buiding a swing or intraday strategie can exchange info and guidelines with others..

 

i am only trying to initiate the conversation...

if people start posting intersting views and structures i dont mind listening more and speaking less

 

regards

[macdfx 10]

LOL................... :haha:

 

and there you have the secret

 

here is something that i have strong evidence regarding the snp 500 and can be a topic of discussion.

an up market is very different than a down market so one should design these two separetely...

 

regards

[Tams 20]

....i am only trying to initiate the conversation...

if people start posting intersting views and structures i dont mind listening more and speaking less

 

regards

 

here's some of my demi-philosophical veiw...

 

it is difficult to make short money if the ma is trending up...

it is difficult to make long money if the ma is trending down...

 

if you can pick a top/bottom out of the blue, you should have the power to pick 6 numbers in a lottery.