Learning profitable automated trading

Not a programmer, me, but I do remember this thread here, used to be some good contributors at reefcap before it died down, this is an example of a quality thread about mechanical volatility breakout systems on the Australian SPI
index:

http://web.archive.org/web/200408311...ML/000002.html

From 2000, but still...

Thanks.Appreciate effort.

The strategy tests on the thread are meaningless , unless strategy is known and code is available to see correctness.Sometimes the amateurs do not include spreads or slippage in backtests.

O D T

He did actually include the exact strategy, and he coded the whole thing on tradestation.

Just a simple volatility breakout system where he experimted around with varying sizes of range expansion added to the open as his entries, coupled with various exit strategies, and with back and forward tests etc.

Not exactly an amateur either, Nick Radge used to run a hedge fund with a partner.

Haven't read the whole thing again, so of course no idea if he added transaction costs which of course can turn a sexy backtest into an ogre in real life if not accounted for.

It is useful info I was looking for.I will spend time on it .

This was in year 2,000 in times of high dotcom volatility, markets have changed , but I believe he was using a good system.Some systems only traded once a week.Sounds good.

Thanks

O D T

Sure no probs.

If I had half a brain for programming I'd go down that route too.



Seriously, interesting to read about the various mechanical, automated approaches.

One of these days I'd like to have a closer look at data mining.

I don't , I just hire professionals to do the job.They are worth every penny.

My guy wrote the above for <$500 including supplying 20 testing reports.

Can easily get right programmer to code and test 4 strategies for $2,000 .

O D T

This are nice videos to learn coding and automation

http://www.tradestation.com/popups/f...ro_Removed.htm

http://www.tradestation.com/strategy..._creation.shtm

http://www.tradestation.com/strategy...valuation.shtm

http://www.tradestation.com/strategy...rket_data.shtm

Here is a sample performance report on Dax trading system

I had some back tests done on Dax opening range breakout systems .The period from 2004 to 2010 showed no profitability ,except during the financial crisis in 2008 when volatility increased dramatically.

This was the afternoon session trading breakouts for morning range 8 am to 14.00 C E T , with a 40 point entry (5800+ 40= 5840 for longs)

The results prove the indices are not very volatile , therefore it is not profitable to trade automated breakouts on Dax