Algo - @ES Emini Trading System Journal

Dec 26, 2015
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#1
I am going to run my algos based on several top level rules.

The algos are all trade station based buy and sell algos.
I have a series of models that are trend biased meaning that they perform well in one type of trend, up or down so if i rotate to a new algo i will report that first and will post pic.
I also use a filtering process based on moving averages to turn the systems on and off.
The goal of the post is show that you don't need to be perfect to to make money trading markets
RULES:
All trades are taken unless i say systems off or indicate the point where i will turn systems off
Notional 15k per system/ 1 contract max per system
the systems
 

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Dec 26, 2015
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#2
Trading System background
i use what i call biased trading system. Biased trading systems are system that are structured to work in one trend direction. I then apply a filter which can be a simple lagged average of the equity curve. The idea behind biased systems is pretty basic, when a market is moving on one direction and the bias of the system is matched to this direction, i.e market up trend and bullish bias the probability of profit will be high. Also, the idea is that the level of risk or counter trend movement will not be as great. The key with this approach is to know when trend is changing and to have a process that allows for starting and stopping the systems. I use a concept call second derivative modeling for this or D2.

http://www.theindexstrategist.com/understanding-the-d2-filtering-process/
 
Dec 26, 2015
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#3
update. should have a real time blog post up date on the index strategist soon that will auto generate buy and sells. both models showing bullish. will be taking trades on the right hand model when occurring. expecting a but soon
 

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