Building & Back-Testing A Complete Mechanical Trading System

Chart Forum » Traders Groups » Building & Back-Testing A Complete Mechanical Trading System

«« Previous Next »»

Thread Start New Thread
Last Poster Posts Pages Last Post

Author

Message

seahound

Member

Post Number: 25
Registered: 12-2002

Rating: N/A
Votes: 0


Wednesday, December 10, 2003 - 01:26 pm:

Are you interested in joining a small team of say four like-minded people to workshop the development, back-testing and trading of a mechanised conservative trading system using ASX shares?

To get a feel for the project in mind, read an interview with C.V., my Role Model and Super Hero, at http://www.tradingrecipes.com/resources.html .

Another site, whilst US based, gives a glimpse of what can be:
http://www.wealth-lab.com/cgi-bin/WealthLab.DLL/getpage?page=Top25.htm

My trading experience has lead to the clear view that a mechanised system will be superior to using my current trading rules - Edition 5.2 and counting! These have not been back tested, let alone quantified. Wisdom tells us back testing is crucial to ensure the success of any set of rules. Then there is the wielder of the Rules. His ego sometimes soars free of the Rules 5.2, he sometimes wobbles in their application, and sometimes just loves the excitement of a hot trade! All a potent mixture for proven mediocrity.

Eddie Toppel in his fine book “Zen In The Markets” says in chapter one: “the market is an easy game to play…the rules are easily understood and simple to follow… they are time and money proven by professionals and nonprofessional traders alike…so what makes it so difficult to win?…ridding ourselves of ourselves is the most difficult problem we face in trading…the truth revealed without egos interference is our goal….but ego is cunning and the battle with it is long and hard.”

A mechanical system will help cut through human inconsistencies, help defeat ego, bring a greater level of reliability, of consistency, thereby profit.

Participation in The Project Tiger Team will involve:
1. meeting together at least fortnightly for several hours to workshop the development, monitor progress, and make decisions about the many choices to be faced. Meeting location initially is Blackburn, Vic, but will be shared round, plus of course emails between meetings
2. putting in a number of hours work between meetings covering research, programming, back-testing etc. (currently I use Metastock)
3. having a strong determination to want to build such a system for your own use
4. committing the required amount of time to the project
5. your skills sets being different to other team members
6. a co-operative good-humoured team approach with a dedication to quality and rigor. By working together towards a common goal, each team member will share the sum total of the team’s education, experience, training, and native ability; it will be a continuous source of ideas, innovation, support, and energy.
7. in the first instance, the system to be developed and tested, is one that is likely to follow a conservative middle path in terms of risk management, compound annual return and drawdown.

If you are interested in participating, please forward an email telling of what you wish to accomplish during the project, and what skills and experience you bring to it, and where you live, by 24 Dec 03. All emails will be replied to.

If there is an excess of interest, assistance will be given to help other teams form. So do say in your email if you wish to form and lead a team in the first instance. If several teams form, we can have occasional gatherings for all teams to share progress.

Project Tiger will commence late Jan 2004, and run until complete, hopefully by 30 June 04. Progress reports will be published from time-to-time on IC.

Seahound

missy

Member

Post Number: 8
Registered: 11-2003

Rating: N/A
Votes: 0


Wednesday, December 10, 2003 - 06:04 pm:

Seahound,
Just quick note to check that you got my private email to you. Have had a problem with computer.
Regards,
Missy

myklan

Member

Post Number: 81
Registered: 01-2003

Rating: N/A
Votes: 0


Wednesday, December 10, 2003 - 06:43 pm:

Hi Seahound,
I would be interested in joining such a group.

My main problem is my ego - as it stops me from pulling the damn stop loss trigger - hence eagerly awaiting the Etrade / Power Trade auto stop loss feature, promised to be here before xmas ho, ho, ho). Hence a mechanical system would suit me.

Live in Templestowe - hence distance would not be problem.

Have been using Metastock since the good'ol DOS days - anybody still remember DOS.

Started with Posieden, rolled down the slippery slope of the '87 debacle, been in SITM, went thru a black box phase (more money gone) and am in Optioneer.

Enjoy Gann and Tubbs, not so keen on Elliot, also read thru Guppy, Gilmore, Tate, Zen. Weinstein saved me a lot of foolish money as it gave me a better direction and plan to follow.

Discovered IC about 18 months ago, and the combined wisdom of the too many to mention names - just read:
'Chart Forum ? Incredible Posts: Best of the Forum' to get an idea of how good this forum is, and how it can help one.

Then are the great members of the Eastern Group which have further refined my skills. The good ship Incredulous under its expert guidance of Capt'n Chazza has furthered my play money, whilst new2waix and i_cladius have redirected my Weinstein approach.

Yogi's postings intrigue me and I even enjoy practicing Yoga.

Having a break over xmas for a couple of weeks and then back into it, so the timing sounds good.

Hopefully some of the above is applicable. (I should possibly add some of this to my profile.)

Anyway t'is is I.

myklan

i_claudius

Member

Post Number: 1046
Registered: 11-2002

Rating: N/A
Votes: 0


Wednesday, December 10, 2003 - 07:10 pm:

Captain Seahound

You are aware of the many challenges that pour in from all directions in the daily life of an Emperor ...

Because of my many imperial duties your task seems a little too complex ... so I won't be able to apply the amount of time required.

If you can suggest a small and focused statistical role I might be able to spend a quiet hour or two in the Imperial Treasury as a spare helper in case of need ... but complex maths might be a little too taxing ...

Also assuming of course the year end festivities and their after effects do not intrude too heavily

Claudius

seahound

Member

Post Number: 26
Registered: 12-2002

Rating:
Votes: 1


Thursday, December 11, 2003 - 09:21 pm:

Claudius,

Those gathering round Project Tiger have been quite humbled and touched by your generous offer to help crunch numbers for our system.

We feel it our duty, nay our moral obligation, as loyal citizens of Rome, to desist from abetting the diversion of your Imperial Concentration from steering the ship of state (apologies to Bundy for another nautical metaphor).

Might we with due obeisance, propose that the Imperial Treasury make a budget allocation to Project Tiger for use in trial trading. Such gesture would be reciprocated by giving you an inside view of the exceptional CAR planned, and a discounted fee on US$10M tranches of Imperial Funds managed by the system, post its full testing and proven performance.

Claudius, we feel humbled, but also excited to offer this deal, as you will be opening Treasury Coffers to, in all probability, 30 to 40% CAR – lets say conservatively 20% net of our fee. Can you imagine Rome’s Balance Sheet in five years with such funds management performance? We can, and will be keen to help. Do not tarry in deciding on this offer. You have been specially selected. We will not be in harbour long. We strongly recommend your Imperial acceptance by return signal.

As Ever in Loyalty

Seahound

i_claudius

Member

Post Number: 1049
Registered: 11-2002

Rating: N/A
Votes: 0


Thursday, December 11, 2003 - 09:37 pm:

Captain Seahound

You are right ... your Emperor must not stain his hands with labour of a plebeian nature.

Far better that I do as you suggest and open the Imperial Treasury yet again (following the many pressing demands from Lady Claudia), but I must warn you that after her frequent shopping expeditions to the Wattyl paint shop, there is a hardly a dinarius left with which your Emperor can purchase even a dry biscuit.

However, as a sign of my concern for your earth shattering project ... I am willing to act as sponsor of a public appeal for funds ...

You may be sure that they will be quite safe and kept at the back of the lion cage, where no one can reach them ... other than my goodself when the lions are let out for feeding.

As custodian of the Imperial lion cages and all public funding appeals in Rome and beyond you may be certain that the proceeds of your heart rending appeal will be kept safe and wisely invested in projects near and dear to your Emperor.

Naturally the profits (if any) will be shared.

With Best Imperial Wishes

Claudius

seahound

Member

Post Number: 27
Registered: 12-2002

Rating: N/A
Votes: 0


Thursday, December 11, 2003 - 10:02 pm:

Claudius,

Again your magnanimity moved the Project Tiger Team. I hope you heard their raucous three cheers wafting up to the Imperial Throne.

We know you will grant us a contract for such support.

Seahound The Loyal