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Designing a System from scratch

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  #41  
Old 22nd November 2006, 01:53 PM
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Default Re: Designing a System from scratch

What I feel about counter-trend systems is that they are a combination of banded oscillators that have Overbought and Oversold zone. If a script has entered into Oversold zone, then as per the counter-trend system it is a buy signal.
I am not very sure with this, so Seniors please correct me if I am wrong.

Regards,
Ashish
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  #42  
Old 22nd November 2006, 06:41 PM
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Default Re: Designing a System from scratch

Quote:
Originally Posted by ash.investor View Post
What I feel about counter-trend systems is that they are a combination of banded oscillators that have Overbought and Oversold zone. If a script has entered into Oversold zone, then as per the counter-trend system it is a buy signal.
I am not very sure with this, so Seniors please correct me if I am wrong.

Regards,
Ashish
Hello Ashish

What you say is right. An additional requirement would be to know if the script will continue in a range or it has started to trend.

When to buy a breakout and when to fade it?

Regards
Sanjay
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  #43  
Old 26th November 2006, 01:57 AM
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Default Re: Designing a System from scratch

Quote:
Originally Posted by SGM View Post
Hello CV

There is lots of stuff here about trend following systems, can you tell us about what is an anti-trend system, maybe with an example. Also if you can guide us regarding how to go about shorting (a signal/method for it).

Regards
Sanjay
Hi Sanjay

There is nothing like an anti-trend system
Even those methods that fade trends are actually betting on a trend in the opposite direction.
Systems can be broadly categorized into 2 categories
1. TrendFollowing ( MAs, Breakouts etc)
2. Mean Reversion ( Oscillators, PairTrading etc)

Not sure that I understand your comment regarding the 'shorting' method. Most systems designed are symmetric i.e Buy if this happens or Sell if thishappens, so going long or short are part of the same workgroup.


Rgds
CV
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  #44  
Old 26th November 2006, 01:59 AM
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Default Re: Designing a System from scratch

Quote:
Originally Posted by ash.investor View Post
What I feel about counter-trend systems is that they are a combination of banded oscillators that have Overbought and Oversold zone. If a script has entered into Oversold zone, then as per the counter-trend system it is a buy signal.
I am not very sure with this, so Seniors please correct me if I am wrong.

Regards,
Ashish
You are quite right
It also includes non-directional strategies like Stat Arb which is the cash cow of the biggest hedge funds in the world.


CV
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  #45  
Old 26th November 2006, 02:01 AM
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Lightbulb Re: Designing a System from scratch

Quote:
Originally Posted by SGM View Post
Hello Ashish

What you say is right. An additional requirement would be to know if the script will continue in a range or it has started to trend.

When to buy a breakout and when to fade it?

Regards
Sanjay
Yes, those are categorized as 'filters' or 'switches' in a trading system.Only when the 'switch' is on can a system trigger a trade.Filters are a good idea but one has to be careful about the 'degrees of freedom' in a system.


CV
:eeK:
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  #46  
Old 26th November 2006, 02:06 AM
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Default Re: Designing a System from scratch

Still not sure what to post next lol.Perhaps a round up on the various Performance Measure used in analyzing trading systems would be a good idea.

Also perhaps a few words on a 'premise' focussed trading system development vs a 'if it works it must be good' system development.

Anyways, will be back soon

Rgds
CV
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  #47  
Old 26th November 2006, 02:29 AM
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Default Re: Designing a System from scratch

Thanks CV, this will help me with some ground work
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  #48  
Old 26th November 2006, 02:37 AM
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Default Re: Designing a System from scratch

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Originally Posted by scorpio155 View Post
Thanks CV, this will help me with some ground work
You are very welcome scorpio


CV
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  #49  
Old 26th November 2006, 07:27 PM
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Default Re: Designing a System from scratch

Quote:
Originally Posted by CreditViolet View Post
Still not sure what to post next lol.Perhaps a round up on the various Performance Measure used in analyzing trading systems would be a good idea.

Also perhaps a few words on a 'premise' focussed trading system development vs a 'if it works it must be good' system development.

Anyways, will be back soon

Rgds
CV
Ahhh.. CV that would be really great... looking forward to it

warm regards

Karthik
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  #50  
Old 27th November 2006, 11:04 AM
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Default Re: Designing a System from scratch

Hello CV,

Quote:
Originally Posted by CreditViolet
Even those methods that fade trends are actually betting on a trend in the opposite direction.
So basically, here a trader would want to identify exhaustion of a trend (in his chosen timeframe) and bet on reversal/pullback. In other words he is trying to identify intermediate tops and/or bottoms. Please give me some pointers on how one goes about it. Even links to some resources will be appreciated.

Quote:
Systems can be broadly categorized into 2 categories

1. TrendFollowing ( MAs, Breakouts etc)
2. Mean Reversion ( Oscillators, PairTrading etc)
From whatever I have studied/tested the trend following systems have not been symmetric. Do they have to be so to be successful? Or maybe the dataset i am using is not diverse enough?

Don't know much about the second category, will be checking up on it, but being a slow learner might take a month or so to ask queries about that.

Warm Regards
Sanjay
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