Learning profitable automated trading

The world's most consistently profitable and successful trader uses computer models

http://www.trade2win.com/boards/gene...st-trader.html

Says a lot about the discretionary losers.

now you are really displaying your ignorance.

you think the "computer models" are in anyway related to the complete crap you make? lol.

Mine is more profitable

pennies make pounds .I always like to start small and increase stakes , don't worry stakes will go up to $100 pp eventually.

Stochastic entries may be random , but only if you knew what other intellectual knowledge was coded to make it non random.

The metatrader is better than platforms used hedgies.

Sorry but why the hell does it matter what Tom, Dick and Harry do?? Each person needs to work out what they can use. 10% of statistics are meaningul, the other 95% are made up.

you gotta start somewhere I guess

ODT, I think you're missing the point. I don't see anything wrong with wanting to automate some tasks since program trading has been around for years although I dont want to discuss the pros or cons of that here. The issue here is you're trying to program a model in market(s) that you don't have enough experience in. You admitted in another thread somewhere you dont trade forex, just write programs for that market. Do you really understand what makes the dollar rise, or the pound fall, or the aussie consolidate?? Fundamentals are difficult to program at best but you absolutely have to understand WHY price does what it does for each specific market in order to create an automated program. Perfect example is the troublesome 4 digit/5 digit problem you were having trying to back test. There is an easy, few lines of code, solution to that. But you have a very poor explanation of why you were having trouble at all.

Several people here, myself included, have ridiculed some of your posts. I actually feel bad because I do understand what you are trying to achieve and I applaud you for it. You just don't have enough understanding of real trading to speak intelligently on the subject.

Another example, you show 30% drawdown, which in itself isn't extreme, but at the rate and size your program wins it takes forever to recover. Even someone using an autopilot program will shut it off after a very long drawdown period even if the drawdown is small. All good manual traders can recover from drawdowns within very reasonable time.

I hope this comes across right?

Peter

If the CAGR of the system / max drawdown is less than 0.5, it's gonna be a tough one to make money from or stick with. For me, this is one of the better measures of a system's worth. Beyond that, look at the standard error, or variation in returns.

I'd be wary of trading a system with more than 40 pct drawdown in backtesting.. people will always underestimate their ability to tolerate drawdown. It's possible to devise systems with close to 100 pct annual returns but which might see a drawdown of 80 pct or so --- I don't believe anyone can tolerate that.

Start off small, become comfortable then increase the stake size and learn to live with the equity swings. If you've done your homework properly, you will have created statistical edge for yourself.