The Best Trading System

[Tuna]

Hi again

One more thing I would look for in the system is the sturdiness . . .

Set up a range for all the variables and see that the performance does not shift to any extreme. . .

for e.g study the effect for Long MAs from 15 to 25 and that of short from 05 to 15

we are not doing it to find out the best fit, but to see if all the samples are within our range of tradability

Thanks

Happy

Done with this and this is coming little "Too good to be True" - but only for 120 days (30mins TF).

Bro can you please check for a little longer period. I don't have this much data.

What is changed:

• SEMA (Slow EMA) - Changed to 200
• FEMA (Fast EMA) - Kept same - did not help tweaking
• STOCK Exit for Shorts - There was a typo in last code , I kept 20, it is actually -20, improved the RR a lot
• Exit Rule: The option2 for exit (both short and long) was SEMA < or > FEMA, which I forced to a crossover now

Detailed:

Most of these are tradable (considering TF is long as 30 mins) - Few are Oxymoron - showing entry exit on same candles, we can live with those.

10/19/2016 9:15:59 AM to 2/16/2017 2:45:00 PM
Total number of trades: 15
Average number of trades per month: 8
Number of profitable trades: 12
Number of losing trades: 3
Total profit: 750.2000
Total loss: -66.6500
Percent profit: 91.116%
Largest profit: 219.8000
Largest loss: -29.6000
Maximum Drawdown: 0.0000
Maximum Drawdown (Monte Carlo): 0.0000
Compound Monthly ROR: 80.2001
Standard deviation: 635.90424004
Annualized standard deviation: 1101.41845250
Downside deviation (MAR = 10%): 0.00000000
Value Added Monthly Index (VAMI): 1.00000000
Sharpe ratio (RFR = 5%): 1.07484737
Annualized Sharpe ratio (RFR = 5%): 1.86169026
Sortino ratio (MAR = 5%): 0.00000000
Annualized Sortino ratio (MAR = 5%): 0.00000000
Sterling ratio (MAR = 5%): 0.00000000
Calmar ratio: 0.00000000
Risk to reward ratio: 0.956

12/6/2016 2:45:00 PM,SHORT,8148.3500
12/6/2016 3:15:59 PM,EXIT SHORT,8138.3500

12/7/2016 9:45:00 AM,SHORT,8150.9500
12/7/2016 9:45:00 AM,EXIT SHORT,8150.9500

12/7/2016 2:15:00 PM,SHORT,8112.4000
12/7/2016 2:45:00 PM,EXIT SHORT,8094.8000

12/8/2016 9:15:59 AM,LONG,8197.6000
12/9/2016 1:15:00 PM,EXIT LONG,8264.1000

12/13/2016 1:15:00 PM,LONG,8194.3500
12/14/2016 9:15:59 AM,EXIT LONG,8199.0500

12/14/2016 11:15:00 AM,LONG,8207.5500
12/15/2016 10:45:59 AM,EXIT LONG,8193.0500

12/19/2016 2:45:00 PM,SHORT,8104.7000
12/19/2016 3:15:59 PM,EXIT SHORT,8101.4500

12/21/2016 9:15:59 AM,SHORT,8085.6000
12/21/2016 9:15:59 AM,EXIT SHORT,8085.6000

12/21/2016 10:45:59 AM,SHORT,8088.4000
12/21/2016 10:45:59 AM,EXIT SHORT,8088.4000

12/21/2016 12:45:00 PM,SHORT,8087.0000
12/21/2016 12:45:00 PM,EXIT SHORT,8087.0000

12/21/2016 2:45:00 PM,SHORT,8057.9000
12/21/2016 2:45:00 PM,EXIT SHORT,8057.9000

12/23/2016 2:45:00 PM,SHORT,7983.0000
12/23/2016 2:45:00 PM,EXIT SHORT,7983.0000

12/26/2016 9:15:59 AM,SHORT,7895.6000
12/26/2016 9:45:00 AM,EXIT SHORT,7925.2000

12/28/2016 2:15:00 PM,SHORT,8055.7500
12/28/2016 2:15:00 PM,EXIT SHORT,8055.7500

12/29/2016 12:15:59 PM,SHORT,8050.2500
12/29/2016 12:15:59 PM,EXIT SHORT,8050.2500

1/2/2017 11:15:00 AM,LONG,8154.2000
1/3/2017 1:45:59 PM,EXIT LONG,8197.2500

1/4/2017 12:15:59 PM,LONG,8195.2500
1/6/2017 10:45:59 AM,EXIT LONG,8260.0000

1/9/2017 1:45:59 PM,LONG,8250.3500
1/12/2017 2:15:00 PM,EXIT LONG,8401.2000

1/13/2017 10:15:00 AM,LONG,8394.2500
1/16/2017 3:15:59 PM,EXIT LONG,8418.7000

1/17/2017 2:45:00 PM,LONG,8402.2500
1/18/2017 11:45:00 AM,EXIT LONG,8427.7500

1/18/2017 2:45:00 PM,LONG,8422.1500
1/27/2017 3:15:59 PM,EXIT LONG,8641.9500

1/30/2017 3:15:59 PM,LONG,8633.7000
2/3/2017 10:15:00 AM,EXIT LONG,8723.9000

2/7/2017 11:15:00 AM,LONG,8781.0000
2/9/2017 9:45:00 AM,EXIT LONG,8779.6000

2/9/2017 12:45:00 PM,LONG,8763.2000
2/10/2017 10:45:59 AM,EXIT LONG,8792.7500

2/10/2017 1:45:59 PM,LONG,8800.0500
...(Open)?

Code (Tradescript - Zerodha Pi)

 

[Tuna]

And this is on BNF

11/25/2016 9:15:59 AM to 2/16/2017 3:15:59 PM
Total number of trades: 5
Average number of trades per month: 3
Number of profitable trades: 5
Number of losing trades: 0
Total profit: 1642.5000
Total loss: -56.4000
Percent profit: 96.566%
Largest profit: 795.1500
Largest loss: -56.4000
Maximum Drawdown: 0.0000
Maximum Drawdown (Monte Carlo): 0.0000
Compound Monthly ROR: 201.8002
Standard deviation: 1561.98903005
Annualized standard deviation: 2208.98607058
Downside deviation (MAR = 10%): 0.00000000
Value Added Monthly Index (VAMI): 1.00000002
Sharpe ratio (RFR = 5%): 1.01540406
Annualized Sharpe ratio (RFR = 5%): 1.43599819
Sortino ratio (MAR = 5%): 0.00000000
Annualized Sortino ratio (MAR = 5%): 0.00000000
Sterling ratio (MAR = 5%): 0.00000000
Calmar ratio: 0.00000000
Risk to reward ratio: 0.983

1/13/2017 10:15:00 AM,LONG,18922.0000
1/17/2017 10:45:59 AM,EXIT LONG,19167.0000
1/17/2017 12:45:00 PM,LONG,19181.0000
1/18/2017 12:15:59 PM,EXIT LONG,19266.7000
1/19/2017 12:15:59 PM,LONG,19234.0500
1/30/2017 10:15:00 AM,EXIT LONG,19705.0000
1/31/2017 12:45:00 PM,LONG,19645.0000
2/6/2017 2:15:00 PM,EXIT LONG,20440.1500
2/7/2017 9:45:00 AM,LONG,20392.2500
2/9/2017 9:45:00 AM,EXIT LONG,20335.8500
2/10/2017 9:15:59 AM,LONG,20318.6000
2/15/2017 10:15:00 AM,EXIT LONG,20340.0000
2/16/2017 11:15:00 AM,LONG,20278.1500

Does not work on Crude - a disaster.

 

[Tuna]

Revised Code for the same

Long Trigger

#DECLARATION
SET FEMA = EMA(CLOSE,20)
SET SEMA = EMA(CLOSE,200)
SET STOC = SOPK(20, 3, 9, SIMPLE)
# Long Condition
REF(CLOSE,1)<REF(FEMA,1) AND CLOSE>FEMA AND CLOSE>SEMA

Long Exit

#DECLARATION
SET FEMA = EMA(CLOSE,20)
SET SEMA = EMA(CLOSE,200)
SET STOC = SOPK(20, 3, 9, SIMPLE)
#EXIT Condition
REF(STOC,1)>80 AND STOC<80 OR (FEMA<SEMA AND REF(FEMA,1) > REF(SEMA,1))


Short Trigger

#DECLARATION
SET FEMA = EMA(CLOSE,10)
SET SEMA = EMA(CLOSE,200)
SET STOC = SOPK(20, 3, 9, SIMPLE)
# Long Condition
REF(CLOSE,1)>REF(FEMA,1) AND CLOSE<FEMA AND CLOSE<SEMA

Short Exit

#DECLARATION
SET FEMA = EMA(CLOSE,10)
SET SEMA = EMA(CLOSE,200)
SET STOC = SOPK(20, 3, 9, SIMPLE)
#EXIT Condition
REF(STOC,1)<-20 AND STOC>-20 OR (FEMA>SEMA AND REF(FEMA,1) < REF(SEMA,1))

 

[Tuna]

Trading chat over coffee # 001​

Trader_1 : Tuna, what system do you follow?

Tuna: I have a few of those, what is the ask?

Trader_2: Do you take the entry/exit signals blindly?

Tuna: No

Trader 1 & 2: :lol: What is the point of having a system then?

Tuna: Well, may be I just want to know that I am not doing opposite to what the system is suggesting. All I am doing, using my liberty to skip few signals.

Trader 1: But then you may miss out some real good entries as well.

Tuna : I used to. Now I generally miss out the real bad signals

T 1 & 2: But then, that can not be programmed (what to miss out and what not)

Tuna: You guys got any girl friend, wife or fiancee ( or both)?

T1 & 2: what that got to do with trading. Well 1 'had' a GF and 2 has a fiancee

Tuna: Meet me the day you manage to develop an algo to predict the mood of her on a consistent basis. I will code an algo' with 100% failsafe filter for trading.Even in a relationship, it takes time to understand how the counterpart will react - that is called experience.


Conversation over..

Point # We can not predict a 'what next' a person will react even though he/she is so close to us and on the market, what the reactions of the emotions of millions of traders will do - we feel we can predict via an algo?


Going with market trend - essentially means, following the order (if it hurts our Male ego, lets don't call it 'order', use the word 'suggestions') from your better half is always good so that - ki ghar main shaanti bani rahen. Else you will blow up your peace at home.. errr trading account.

I am sure, I would have turned up profitable a long back if I got this understanding a long back, but then I had to marry at least 5 years earlier to when it happened.

Just some on the fly trading gyan - same boring thing, being repeated.

But the message is same - in the trading 'Don't predict - Just follow'.

 

[Happy_Singh]

Hi Tuna

Really tied up with some non-trading stuff and then plan to take a few days off . . .

Will code/test it after I come back, but from your tests looks very good . . .

This 30 Minutes TF will fill in the gap you have in your trading arsenal . . .
(the fool on daily has not triggered a trade for almost 6 weeks now

Happy

 

[Tuna]

Hi Tuna

Really tied up with some non-trading stuff and then plan to take a few days off . . .

Will code/test it after I come back, but from your tests looks very good . . .

This 30 Minutes TF will fill in the gap you have in your trading arsenal . . .
(the fool on daily has not triggered a trade for almost 6 weeks now

Happy

No worries Happy Bro !! Take ur time. No hurry. You already added so much values to this thread.

Btw, if anyone have noticed , this is just another Fool's system in 30 mins instead of Daily. I am sure it did not miss ur eyes, so was pleased when you mentioned about the Fool's system.




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[travi]

Trading chat over coffee # 001​

But the message is same - in the trading 'Don't predict - Just follow'.

Ha ha ha, I guess someone should pull up (or poll) statistical performance of married vs committed vs single traders
I'd bet the married ones would have a better edge on any day

 

[Tuna]

Haan bhai, whenever u try to dictate anything , itne Jute padte hain - it changes ur habit of dictating. You become a follower - the quality needed for trading with the trends


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[dreammerchant]

//Meet me the day you manage to develop an algo to predict the mood of her on a consistent basis. I will code an algo' with 100% failsafe filter for trading.Even in a relationship, it takes time to understand how the counterpart will react - that is called experience.//

Ha ha ha ... You nailed it.

DM

 

[Tuna]

Trading Psy Ops # Set your Goal high, but keep your feet grounded.

The Robinhood of Trading​

Of his all of the valuable suggestions - these are the keys to me:

"The Defense is ten times more important than Offence. The Wealth you have can be so ephemeral; you have to be focused on the downside at all times"

..

"You've only got to remember two things. The first is, you always want to be with whatever the predominant trend is...."

Very Good Read - Don't miss it.