Deadline June

This is a discussion on Deadline June within the Trading Journals forums, part of the Reception category; Brilliant! Now I'm worried all most posts from now on will be in Courier New. Just lurking on the ForexMorningTrade ...

Reply
 
LinkBack Thread Tools Search this Thread
Old Sep 14, 2010, 3:59pm   #428
 
Adamus's Avatar
Joined Mar 2008
Forex Morning Trade

Adamus started this thread Brilliant! Now I'm worried all most posts from now on will be in Courier New.

Just lurking on the ForexMorningTrade journal to see what they're up to. I've been watching that thread for a while now and I can't work out whether it's really just a little cabal of users who never post anywhere else on t2w or if it's an elaborate marketing ploy with multi-nics by the system vendor who started it.

They're all newbies with 0 - 100 posts and they all love the system, but they occasionally post stuff that you just wouldn't ever make up if you were trying to fake a whole thread. It's a shame it's a black box system because it looks interesting.

But just recently one of the posters there put up a really interesting PDF about day-of-the-week and hour-of-the-day trade timing, which is something I've got on my list of things to do.

forexcheatsheet.pdf

it reads bizarrely like a get-rich-quick website but it isn't trying to sell anything.

There's something about this concept which bugs me.

NinjaTrader has the facility to see how much profit is generated per hour of the day so my natural inclination is to put up a filter to make my systems trade at those times of day and not others. But this feels like over-optimisation.

If there's an obvious link between time of day and profitability, I'd use it, but I can only think that it makes sense for a couple of markets. For instance, I'd be happy to trade JPY-AUD only midnight to 6AM and EUR-USD 9AM to 17PM (GMT+1).

I don't even trade JPY-AUD though. Or USD-MexPeso.

JPY-USD though should be tradeable all day long.

I guess when I've got some real results I'll look at it again.
__________________
What matters most is how well you walk through the fire.
Adamus is offline   Reply With Quote
Old Sep 14, 2010, 4:00pm   #429
Joined Jan 2009
Re: Deadline June

Adam, I haven't combed through the recent posts, are you live on a system yet?
meanreversion is offline   Reply With Quote
Old Sep 14, 2010, 4:17pm   #430
 
Adamus's Avatar
Joined Mar 2008
Re: Deadline June

Adamus started this thread
Quote:
Originally Posted by meanreversion View Post
Adam, I haven't combed through the recent posts, are you live on a system yet?
I was but I pulled the plug on them after getting clobbered on the results for 2 weeks and simultaneously discovering that the variability in the data I was just talking about was all against me for the systems I had live.

I've got them back on simulation after giving them all a wash and brush-up looking at the results on all 3 historical data sets I've got.

Lame perhaps but I lost the confidence I had in it all. It's hard to switch the system back on when you don't trust the results anymore and it just lost you a $1000 the day before.
__________________
What matters most is how well you walk through the fire.
Adamus is offline   Reply With Quote
Old Sep 14, 2010, 4:52pm   #431
Joined Jan 2009
Re: Deadline June

How many degrees of freedom do you have in your system?

Have you read "Trade your way to financial freedom" by Van Tharp? I'm in the process of re-reading it.. he's interviewed many "master" traders in his time, and his conclusion is that the system is about 10 pct of what makes a successful trader.. 60 pct is psychology and the balance is money management.
meanreversion is offline   Reply With Quote
Old Sep 14, 2010, 5:49pm   #432
 
Adamus's Avatar
Joined Mar 2008
Re: Deadline June

Adamus started this thread You've forgotten the hidden 90% - hard work. I'm not making any claims about that though, taking into account the amount of distractions around me.

Tell me what a degree of freedom is and I'll tell you how many I've got.

If you're referring to me "giving my systems a wash and brush-up" for the different data - then I don't know how to count the things I did. I made substantial changes to the algorithms I used to avoid as much reliance on highs and lows, which tend to be the cause of the differences between the historical datasets.

Actually on one of the systems I have that was quite profitable in backtesting and even in simulation but which blew up badly, I haven't found a good way to change what it does yet. I have to avoid spending all my time on analysis of this situation - I think it's actually easier to implement some of the new ideas I've got and create totally new systems.
__________________
What matters most is how well you walk through the fire.
Adamus is offline   Reply With Quote
Old Sep 14, 2010, 8:12pm   #433
Joined Jan 2009
Re: Deadline June

A degree of freedom is simply a parameter or variable you can change. So, for example, a system which stakes 1 pct of equity when a 10 day MA crosses over a 50 day MA has 3 degrees of freedom. Generally, any system with more than 5-6 degrees of freedom (I know it's not many) will be less likely to work over several markets under varying conditions.

There is no question that developing a system takes hard work. I spent about 3-4 months researching and backtesting before trading a medium term trend system, at the start of this year.

There are a limited number of ways to trade. You're either looking for breakouts/trends, or range behaviour/reversions to the mean. Let's say you choose breakouts.. whether you buy on the breakout of a Bollinger band, or a Donchian channel, it's kind of the same thing.. over time the systems will look broadly the same.

The real challenge comes in sticking to the system. If you design a system with positive expectancy, then you might save money by skipping one signal, but if you keep doing it you will eventually come a cropper. This is the psychology side, and it's far more important than the system itself.

Think about backtesting.. you're trying to find something that has performed well in the past. Almost by definition, it's unlikely to perform as well in the future.

So in summary --- don't spend TOO long on the system development side.. that's kind of the easy part compared to the mental challenge of sticking with the system. You mention a system that looked good in testing then "blew up badly".. this is exactly what I mean. You have to suck it up through the drawdown and trust in the positive expectancy.. this is the hard part, believe me.
meanreversion is offline   Reply With Quote
Old Sep 14, 2010, 8:46pm   #434
 
Adamus's Avatar
Joined Mar 2008
Re: Deadline June

Adamus started this thread
Quote:
Originally Posted by meanreversion View Post
You mention a system that looked good in testing then "blew up badly".. this is exactly what I mean. You have to suck it up through the drawdown and trust in the positive expectancy.. this is the hard part, believe me.
You are (probably quite justifiably) assuming the worst about my actions - however I did mention the data situation - I had more reason to pull the plug on the system that just a bad 2 weeks.

I subscribed to FXCM because the IB historical data servers were absolutely appalling - I had connectivity issues and even when I didn't have those issues, IB kept on stopping NinjaTrader with "pacing violations" which is the IB euphemism for its bandwidth throttling to prevent customers overloading their puny little historical data servers.

NinjaTrader can't start running an automated trading system without downloading lots of data for it, so I had real problems just starting my systems.

The FXCM subscription solved that issue brilliantly and also gave me access to a month of tick data and 5 years of 1 minute data. When I repeated the backtests for my system, it tested unprofitable. So on one set of data (Disktrading) it was good, and on another set it was bad. As far as I was concerned, I had no credible positive expectancy anymore.
__________________
What matters most is how well you walk through the fire.
Adamus is offline   Reply With Quote
Reply

Thread Tools Search this Thread
Search this Thread:

Advanced Search

Similar Threads
Thread Thread Starter Forum Replies Last Post
FX Trading June 4 - June 8 trendie Forex 216 Jun 8, 2007 6:02pm
Brent Crude Trading - June 4th - June 8th ceydababy Commodities & Money Markets 10 Jun 7, 2007 6:00pm
june palladium dentist007 Commodities & Money Markets 2 Jul 7, 2005 10:16am
June T bond (ZB M4) bgold Commodities & Money Markets 1 Mar 9, 2004 9:07pm

Currently Active Users Viewing This Thread: 1 (0 members and 1 guests)