System Implementation Exercise

[uasish]

This module
1)Translation;
2)Execution ;
3)Validation ;
4)Accounting performance on Lower -Time frames ;
Now i can understand the module conceptually & can try to Digest & Assimilate the same.

 

[CreditViolet]

This module
1)Translation;
2)Execution ;
3)Validation ;
4)Accounting performance on Lower -Time frames ;
Now i can understand the module conceptually & can try to Digest & Assimilate the same.

Ashish, you can merge 2 and 4 together or even 3 and 4.

 

[uasish]

Right i should not have added No. 4 in the 'Tree' .
I wanted to add as foot note ;that the Module should be effective in Lower time frames also.

 

[karthikmarar]

for a technical reference here are the general steps involved for trading models

1. Translation Express observations of the markets in some form of mathematical language or implementation.
2. Execution Use this model for backtesting or real-time data to make new predictions or conclusions about the markets.
3 Validation Interpret and test the resulting predictions to assess the extent to which the model reflects reality.

CV

Thanks for listing out the general steps for a trading model. Little more elaboration would help us novice system developers (Pardon the audacity) to get a proper direction.

You have a more systematic approacherr ..more scientific approach to system modeling and development.

Tough I hate to mix too much science into trading I am constantly pulled back into it.. oh. The drawbacks of being an engineer I would rather deals with SMA and EMA than IIR and FIR filters

Quoting your post from another thread of yours

When designing a trading system its wise to distribute the various functions like Entry, Exit, MM etc into different modules.Helps you in backtesting and to pinpoint the system efficiency.
Different modules could be--
Position Sizing Module
Filter Module (based on diff crieteria)
Entry Module
Trade Management Module (scaling in and out for eg)
Exit Module

Two or more modules can be combined together for eg the Trade Mgmt and Exit Modules.

.Would you put all the modules into Translation part or would position sizing, trade management into the execution part.

My old fashioned system development consisted of the following

A setup
Entry
Money management

Or am I confusing myself.

Regards

Karthik

 

[uasish]

Rakesh,
Not qualified enough to comment this much i can say that i have downloaded this & it matches with the one at Jesse's blog.

Asish

 

[CreditViolet]

CV

Thanks for listing out the general steps for a trading model. Little more elaboration would help us novice system developers (Pardon the audacity) to get a proper direction.

You have a more systematic approach…err ..more scientific approach to system modeling and development.

Tough I hate to mix too much science into trading I am constantly pulled back into it.. oh…. The drawbacks of being an engineer… I would rather deals with SMA and EMA than IIR and FIR filters…

Quoting your post from another thread of yours




.Would you put all the modules into Translation part or would position sizing, trade management into the execution part.

My old fashioned system development consisted of the following

A setup
Entry
Money management

Or am I confusing myself….

Regards

Karthik

Karthik
Taking another shot at answering to your post.

The purpose of seperating different modules is for easy debugging, readability and optimization, this is esp. important of Intraday based systems.

About the use of DSP and such, again its my firm belief that good systems are created from 'insight' and not from theories/books per se.Thats why newbies/new engineers/new analysts find it hard to create profitable systems, they simply lack the experience to look at things differently and creatively.

For eg, here is a MACD based system that I designed, it has a very simple logic and works across timeframes and is also easy to implement as one financial house is using it regularly.Even though the logic is very simple, I would say most people havent even thought of applying the MACD this way.

 

[marcus]

CV can you elaborate your system for us?

 

[CreditViolet]

CV can you elaborate your system for us?

Sorry Marcus, I cant.

 

[uasish]

Jesse,
In case of Huge Range bar at day opening ,can you share any study made by you.

Asish

 

[CreditViolet]

Jesse,
In case of Huge Range bar at day opening ,can you share any study made by you.

Asish

Dont you mean a gap/opening range study?