System Based Trading

U

uasish

Guest
#1
#1
Hi,

Time has come to go beyond the nitty gritty of TA & step into the New Domain of "SYSTEM BASED TRADING".This post is to initialize & discuss thread bare towards that Goal.There are few total system based Trader in this Forum.I want to learn from them.
This is a "Monte Carlo Analysis" of a System.Done on the entire NSE stocks ,
1/1/2000 to 27/4/2007 (EOD Data).Here there was a Protective Stop,the Entry & Exit had a Delay of 1 Bar.Specific Entry & Exit Signal Trigger was used,but no commission & slippage taken into A/C .
Kindly go through this & post your advise,
1)what i have not considered & should consider ,(other than commission
& slippage).Which might be giving a misleading picture.

Asish

NB: An initial Capital of $ 50000 used
http://www.4shared.com/file/14841956/53b58fcf/System_No1.html
 
Last edited by a moderator:
P

ppvsin

Member
#2
#2
uasish said:
Hi,

Time has come to go beyond the nitty gritty of TA & step into the New Domain of "SYSTEM BASED TRADING".This post is to initialize & discuss thread bare towards that Goal.There are few total system based Trader in this Forum.I want to learn from them.
This is a "Monte Carlo Analysis" of a System.Done on the entire NSE stocks ,
1/1/2000 to 27/4/2007 (EOD Data).Here there was a Protective Stop,the Entry & Exit had a Delay of 1 Bar.Specific Entry & Exit Signal Trigger was used,but no commission & slippage taken into A/C .
Kindly go through this & post your advise,
1)what i have not considered & should consider ,(other than commission
& slippage).Which might be giving a misleading picture.

Asish

NB: An initial Capital of $ 50000 used
http://www.4shared.com/file/14841956/53b58fcf/System_No1.html
Click to expand...
Dear uasish

Great job. Can u throw some light on the above said system
 
O

oxusmorouz

Well-Known Member
#3
#3
uasish said:
Hi,

Time has come to go beyond the nitty gritty of TA & step into the New Domain of "SYSTEM BASED TRADING".This post is to initialize & discuss thread bare towards that Goal.There are few total system based Trader in this Forum.I want to learn from them.
This is a "Monte Carlo Analysis" of a System.Done on the entire NSE stocks ,
1/1/2000 to 27/4/2007 (EOD Data).Here there was a Protective Stop,the Entry & Exit had a Delay of 1 Bar.Specific Entry & Exit Signal Trigger was used,but no commission & slippage taken into A/C .
Kindly go through this & post your advise,
1)what i have not considered & should consider ,(other than commission
& slippage).Which might be giving a misleading picture.

Asish

NB: An initial Capital of $ 50000 used
http://www.4shared.com/file/14841956/53b58fcf/System_No1.html
Click to expand...
Hi, I'm not very good at this but there are a few things things which seem to be missing:
1) Drawdown stats.
2) Compounded annual growth rate.
3) % of times the stop was hit.
4) Equity curve and yearly return stats (since the testing period is daily data).

I maybe missing out on many more things but I guess these factors are essential to actually implement a system. The % winning alone I guess should not be considered in isolation.
 
O

oxusmorouz

Well-Known Member
#5
#5
And judging by the narrow frequency distribution of profit stats, either the data used was not sufficient or trades taken were really few in numbers (which reduces yearly return). It's too premature to conclude ...so waiting for more data :)
 
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