Designing a System from scratch

beginner_av · #61 5th February 2007, 04:36 PM

great stuff CV...i am trying to use turtle soup plus 1 as that seems better these days...particularly when i see my failed breakout records...of course if u take profits b4 the last hour its fine.(these days most trades are reversing in the last hour). other than telecom and some capital goods/engg, biggies are not willing to take it home??!
Will using the Anty be a better one than just using stochastic crossover? (will have to backtest someday with the Anty)

Clarification: by using anty, i meant only that part of it where k hooks over and crosses d...with the slope of d in the direction of price...i have not edited the original post in case some of u have read it already.

CreditViolet · #62 5th February 2007, 09:41 PM

Quote:

Originally Posted by beginner_av

great stuff CV...i am trying to use turtle soup plus 1 as that seems better these days...particularly when i see my failed breakout records...of course if u take profits b4 the last hour its fine.(these days most trades are reversing in the last hour). other than telecom and some capital goods/engg, biggies are not willing to take it home??!
Will using the Anty be a better one than just using stochastic crossover? (will have to backtest someday with the Anty)

Clarification: by using anty, i meant only that part of it where k hooks over and crosses d...with the slope of d in the direction of price...i have not edited the original post in case some of u have read it already.

hi b_av

If you are a breakout trader, you have to live with the whipsaws.The question to ask is - What is your Profit Factor. If your winning trades are covering up for your losing trades and then some more, you are on your way.

Another thing is concerning the 'type of breakouts'. There are many variations within breakouts like HOD, HOR(range), High of Barrier ( S/R, Fibs etc) etc. So classify which ones are working and take it from there.I typically fade breakouts, easy trades esp intraday.

Will be back later with more

CV

beginner_av · #63 7th February 2007, 12:05 PM

will wait for more...

subratabera · #64 7th February 2007, 12:45 PM

Good thread...

Thankyou very much for starting this thread.

ra303 · #65 12th June 2007, 10:21 AM

this thread has gone to sleep again... Can the seniors revive it again... I learned a lot from it... So please do.. thanx...

uasish · #66 12th June 2007, 11:13 AM

Gr8 thread noticed to-day,thks ra303 it bring in notice.

sikandar · #67 12th June 2007, 03:44 PM

hellow seniors
any body guide for letest systems

ra303 · #68 13th June 2007, 06:47 AM

uAshish, u are welcome... hope u can sprinkle some of ur hard earned knowledge on this thread.

uasish · #69 11th July 2007, 10:04 PM

This is the exact thread ,what i was looking for.Simple,i am not qualified,like you i am trying my level best to catch up with these fast moving guys.
In data mining why dont you use the MA (you have developed) to get rid of noise so that the trend in the price is intact minus Noise.

CreditViolet · #70 11th July 2007, 11:25 PM

Quote:

Originally Posted by SimpleStuff

Hello

The premise for the system is that volatility is cyclic, after every volatility compression there would be a phase/period of volatility expansion. We try to take advantage of this, thus we will be essentially looking at a quick trade / fast exit.

First few steps (Initial assumptions)

Data: Will be using OHLC and V, (initially we will start with EoD, test later with intraday)
Pre processing data: Don't have a clue about it, will need help here.
Setup: Inside Day (the process says to use Data Minning to identify tradable rules, again don't have a clue, but thankfully it is handed down to us.)
Entry Rule: Breakout of H/L of the inside day (can test other rules refered in CV's post)
Filter: Stoch Cross (will need help here, lots of it)
Position Sizing: esitmated MAE as per initial SL level < 1% of equity
Trade Management Module: to start with, will not use scalling in/out
Exit: we will test few types of exits like, fixed profit exit (for e.g. 3%), fixed time based exit e.g.(next days closing) and Trailing stop

Now need all the help we can get.

Best Wishes
Simple

One thing here regarding Volatility Cycles is that even though it may be cyclic its difficult to distinguish where one cycle ends and other one begins bcos amplitude and phase are constantly changing.

On the system design front, you are on the right path, keep slogging at it.

Rgds

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