What is the basis for your system?

[underdog430]

After an initial flurry of activity, the level of discussion about automated trading systems seems to have dropped off. There are a lot of different reasons why people might feel reluctant to fully disclose their systems but I think that we might also benefit from discussing general details that aren't so proprietary. For example, how would you characterize the basic style, approach, or method of your system? I've been using a very basic Opening Range Breakout (ORB) system and I am currently developing a Range Contraction-Expansion (RCE) system based on the Rectangle (Acme R) system from Conway and Behle's "Professional Stock Trading".

Mark

[Doji3333]

System Basis...

Underdog....

I've developed multiple systems including...

Pivot point reversal system
Breakout systems
Indicator systems
Multiple Indicator systems
Price pattern systems
Multiple MA systems
and...
Strategic Entry Systems

I have found strengths and weaknesses in each. The highest accuracy seems to be in the Strategic Entry Systems, the largest profit potential seems to be in a combination of the Strategic Entry Systems and the Multiple Indicator Systems.

Some systems I developed maintain a high accuracy ratio (above 90%), but trade very frequently. Other systems trade more aggressively and the ratio drops to between 45%~78%.

Another trick I've learned it that sometimes stops can KILL you. When you test your systems, try testing without a stop and see what it does. The intra-day draw down might be larger, but sometimes this improves the results.

Anyone else have any feedback??

Brad

[dloomis]

UD430

My idea to up the amount of dialouge was a little different.

Rather than discuss the systems and the methodology therein, maybe we could discuss the nuts and bolts of how to cobble together a trading system. Sort of like bumpers and fenders, vs track strategy in NASCAR - or what ever those red necks do.

No matter what the signals, we all buy, set stops, sell, cover, wait til 10am to trade, keep track of our profits and losses.

I just wrote a routine to figure out the current clock time and the curretn bar time - the difference you ask? You might get a trade at 15:14:35 and the current bar is 15:10 15:00 or 15:14 to name a few of the more obvious possibilities. You may not want to test days before 12/25/02, now you have an easy way to get the date of a bar.

One call to this routine gets you all sorts of date and time data to use in the efs later on. It has already saved me aggravation. Maybe it will save you some too. It doesnt seem to work on Daily bars at least at the end of the day.

I think the next module I write will be for all the various entries - lomg, short, limit, stop, oca, market and see if that simplifies the creation of a system.

http://share.esignal.com/download.jsp?groupid=40&folder=&file=clockTime.efs

/* This routine returns the following:

CurYr, Current year, YYYY
CurMon, Current month, MM
CurDay, Current Day, DD

cDateInt, Current Date, YYYYMMDD
cDatePrint, Current date YYYY:MMD

CurHr, Current Hour, HH
CurMin, Current Minute, MM
CurSec, Current Seconds, SS

cTimeInt, Current Clock Time, HHMMSS
cTimePrint, Current Clock Time, HH:MM:SS

BarYr, Current Bar Year, YYYY
BarMon, Current BAr Month, MM
BarDay, Current Bar Day, DD

BarYrMonDayInt, YYYYMMDD
BarYrMonDayPrint, YYYY:MMD

BarHr, Current Bar Hour, HH
BarMin, Current Bar Minute
BarSec, Current bar Seconds, SS

cBarTimeInt, Current Bar Time, HHMMSS
cBarTimePrint, Current Bar Time, HH:MM:SS
*/

function preMain(){
setPriceStudy(true);
}

function main(){
//debugClear();
//if(getCurrentBarIndex()!=0){
getTime();

debugPrintln(cTimeInt+" "+cTimePrint+" "+CurHr+" "+CurMin+" "+CurSec);//ok
debugPrintln(cBarTimeInt+" "+cBarTimePrint+" "+BarHr+" "+BarMin+" "+BarSec);
debugPrintln(BarYrMonDayInt+" "+BarYrMonDayPrint+" "+BarYr+" "+BarMon+" "+BarDay);
debugPrintln(cDateInt+" "+cDatePrint+" "+CurYr+" "+CurMon+" "+CurDay);//ok

//}
}

function getTime(){

today =new Date;

CurYr= today.getYear()+1900;
if(CurYr<10){
CurYr="0"+CurYr;}

CurMon= today.getMonth()+1;
if(CurMon<10){
CurMon="0"+CurMon;}

CurDay= today.getDate();
if(CurDay<10){
CurDay="0"+CurDay;}

cDateInt =CurYr*10000+CurMon*100+CurDay*1;
cDatePrint=CurYr+":"+CurMon+":"+CurDay;

CurHr =today.getHours();
if(CurHr<10){
CurHr="0"+CurHr;}

CurMin =today.getMinutes();
if(CurMin<10){
CurMin="0"+CurMin;}

CurSec =today.getSeconds();
if(CurSec<10){
CurSec="0"+CurSec;}

cTimeInt =CurHr*10000+CurMin*100+CurSec*1;
cTimePrint=CurHr+":"+CurMin+":"+CurSec;

BarYr = getValue("Year");
if(BarYr<10){
BarYr="0"+BarYr;}

BarMon = getValue("Month");
if(BarMon<10){
BarMon="0"+BarMon;}

BarDay = getValue("Day");
if(BarDay<10){
BarDay="0"+BarDay;}

BarYrMonDayPrint= BarYr+":"+BarMon+":"+BarDay;
BarYrMonDayInt= BarYr*10000+BarMon*100+BarDay*1;

BarHr = getHour();
if(BarHr<10){
BarHr="0"+BarHr;}

BarMin = getValue("Minute");
if(BarMin<10){
BarMin="0"+BarMin;}

BarSec = getValue("Second");
if(BarSec>=1&&BarSec<10){
BarSec="0"+BarSec;}

cBarTimePrint=BarHr+":"+BarMin+":"+BarSec;
cBarTimeInt =BarHr*10000+BarMin*100+BarSec*1;

return new Array(BarYrMonDayInt, BarYrMonDayPrint, BarYr, BarMon, BarDay, BarHr, BarMin, BarSec, cBarTimeInt, cBarTimePrint,cTimeInt,cTimePrint,cDateInt,cDatePr int, CurYr, CurMon, CurDay, CurHr, CurMin, CurSec);
}

[juano]

Doji3333

What are Estrategic Entry Systems ?

Would you be so nice to elaborate a little about this concept.

[Doji3333]

Strategic Entry Systems..

Strategic Entry Systems (SES) can include any number of concepts. Generally, the SES system is..

A trading pattern or technical indicator pattern that exists as points in trading time that are deemed to be "Strategic".

Include defined specific Entry parameters

Include a potential stop loss system

Includes a projected profit target

These systems are moderately aggressive in nature - trading only when a SES formation occurs. If the entry results in a loss - so be it and we continue to wait for another entry.

This is a basic description of a SES system. I hope it gives you the proper idea as to what I try to accomplish with my code.

Brad

[Traveller]

Brad

Would you be willing to share one of your SES efs with us. I'm relativly new to eSignal and would greatly apreciate, to look into a more complex system.

Thanks in advance

Hubert

[Doji3333]

Try # 2...

Well. I had written this really nice reply to your request, but the file I tried to attach was too big - so now I have to start all over (huhhh......). Here goes....

This is a system I've been working on and is a pretty good example of a SES system in development.

It uses multiple stochastic indicators and a MA filter to trigger entries. It waits for multiple conditions (about 13) to be correct before entering a position (trade).

This system uses a dual stochastic entry mechanism, filtered by a third stochastic and a MA filter. I also have in place a reversal system, but am not sure if it will stay in it's current form.

The next thing I have to add is a profit target system. I believe the profit target system will greatly improve the systems results. Some systems, like this one, leave a bit of the trade on the table and a profit target may help to reduce the amount of slippage - waiting for a reversal trade to occur.

I also have to ID the proper time frame for this system. Some systems do better on shorter term charts and others do better on longer term charts. Of course, longer term charts tend to increase risk.

Anyway, this is an example of a SES system. I'm not disclosing the logic of the system, but I have disclosed all of the compoments. Here is an image of it so we can begin to open up a more detailed discussion.

Best regards,

Brad

[fabrizio]

IS STILL ON TESTING OR READY?

Brad
Did You already traded or just testing?

(I'v let you a PM not readed.....)

[Doji3333]

just testing at the moment..

Testing and making changes..

Brad