Success with 100% Systematic Trading?

This is a discussion on Success with 100% Systematic Trading? within the Trading Systems forums, part of the Methods category; Originally Posted by Babyblush Systematic trading always has an advantage over the rest of the trading form for the fact ...

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Old May 24, 2013, 6:43pm   #22
 
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Re: Success with 100% Systematic Trading?

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Originally Posted by Babyblush View Post
Systematic trading always has an advantage over the rest of the trading form for the fact that we are having proper trading plan and stick to the plan with discipline so that we can execute some good trades to make money.
Why?
Show us an example?
List your reading sources?
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Old May 24, 2013, 7:35pm   #23
 
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Re: Success with 100% Systematic Trading?

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Originally Posted by Babyblush View Post
Systematic trading always has an advantage over the rest of the trading form for the fact that we are having proper trading plan and stick to the plan with discipline so that we can execute some good trades to make money.
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Old May 26, 2013, 3:15am   #24
 
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Re: Success with 100% Systematic Trading?

Intel, I applaud your system, but you lost me when you listed DD as 66% and then said it would be only 4% of initial capital.
One tip I would give is to watch out for paper-trading results vs. live because the former won't show slippage. Slippage can be costly if the system trades with very high frequency.
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Old May 26, 2013, 3:22am   #25
 
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Re: Success with 100% Systematic Trading?

Allistah,
An EA is an Expert Advisor script in MT, a very popular platform. I looked at dozens of trading platforms, and found all of them weak or inflexible in certain areas. For example, some do fast backtesting, but don't trade real-time. Or some support scripting for real-time trading, but can't link with external library code, like to do dynamic position sizing. So with the same level of coding experience that you mentioned, I decided to write my own. It incorporates optimal position sizing, rigorous statistics in backtesting, walk forward analysis, multiple simultaneous systems in forex and stocks, and it trades real-time with IB API. Please let me know if you'd be interested in joining a v-team.
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Old May 26, 2013, 3:09pm   #26
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Re: Success with 100% Systematic Trading?

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Originally Posted by scottz1 View Post
It incorporates optimal position sizing, rigorous statistics in backtesting,
Could you explain what's in rigorous statistics in backtesting?
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Old May 28, 2013, 12:33pm   #27
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Re: Success with 100% Systematic Trading?

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Originally Posted by scottz1 View Post
Intel, I applaud your system, but you lost me when you listed DD as 66% and then said it would be only 4% of initial capital.
One tip I would give is to watch out for paper-trading results vs. live because the former won't show slippage. Slippage can be costly if the system trades with very high frequency.
Scottz, thanks for your comments.

Just to clarify the DD I quoted was an absolute, just like the Y.T.D Returns which I labelled as Cumulative Returns. I also provided a link to the definition of Cumulative Returns on Investopedia.

I probably wasn't clear in my initial post so apologies.

All the values I quoted are absolutes i.e YTD Returns, Max Drawdown, Mean Per Trade etc.

Finding out how much cash that actually translates to simply requires you to multiply by 120 (this is how many pips on average make up a 1% move across my currency basket) and then multiply by 0.06 (this is £'s gained/lost per pip on a micro lot trade).

The 4% I later quoted is also correct because this represents that same Drawdown relative to the £12k suggested starting capital required to trade the system.

Its not a scalping system, slippage is no real issue for me. I typically hold trades for anything from 4 to 10 days.

My main issue at the moment is simply being brave enough to believe in the maths and the system and not closing trades early (or disabling a strategy altogether) whether to cut/avoid a loss or close off a gain. I just need to leave it alone.
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