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Strategies & Market Trends : Systems, Strategies and Resources for Trading Futures -- Ignore unavailable to you. Want to Upgrade?

To: jjs_ynot who wrote (10815)	12/21/1998 2:15:00 PM
From: Tom Trader	Read Replies (2) \| Respond to of 44573

Dave, I'll try and put something together -- though I suspect that it may not be quite what you are looking for. Developing systems is not that difficult really -- I find the tough part to be the actual writing of a system, testing it, finding the bugs, etc. Most of my ideas come from others -- but I then modify them to see if I can enhance it. For example, I have been using GZ's a/d indicator to see if I can use it as a filter for another system in terms of when to take trades and also increase/decrease the size of ones position based on this indicator. Then I might throw in volume as another parameter, also the NAZ a/d as another filter and so on -- some work and others don't and most often none of them do. It is a lot of grind -- and I am not a detail oriented person so that make things problematical at times. Gerald Appel, used to put out some systems that one could buy for a relatively nominal amount -- this gives one other ideas to work from. I have a bunch of systems that I bought from him for $300 or so years ago -- and I use them even today in conjunction with other ideas. The one thing that I hold firmly to -- though others disagree with me -- is that a good stable system should be able to work in a variety of markets -- and if it cannot, my confidence level is not very high it its stability. What I mean by a variety of markets is -- eg the bonds, spoo, currencies, euro, metals, grains and so on. The system may not make a lot of money in each market but it should make some. The system that I use for trading the spoo is the very same one that I use to trade the bonds and currencies -- and it works on all of them -- so that seems to be pretty strong endorsement, the way that I look at it. One of the things that I am testing is the use of the same system for trading stocks -- in the past the results from testing have not been consistent. So my latest approach is to use the system to generate a signal on the underlying index -- for example, when the SOX, BKX, etc gives a buy signal, I then buy the strongest stock in the group. When it gives a sell signal, I'd look to short the weakest stock in the sector. The results so far are very promising--but I came up with this idea as a result of reading something that someone else had posted that had nothing to do with systems. I think it was something that Jenna wrote a while back. Other than that it is a question of developing a system that suits one's temperament eg, Patrick does not like position trading and GZ dislikes day trading. Thereafter, it's money management and following the system and not letting one's personal bias creep in or for that matter the "noise" from SI and other places -- that is probably the most difficult part initially and the easiest part after a while. By "noise" I include what the Fed is going to do, an upcoming AG speech, impeachment, economic reports and so on. Some people will never ever be able to blindly follow a mechanical system -- and they will never change in that respect--and such people should obviously not think of being a system trader. Ultimately be creative, make sure that there is a basic soundness to the logic that you use, test it over at least 10 years and make sure that from a psychological stand-point you can live with the results -- in terms of draw-down, consecutive losers, etc. For example, I took the largest draw-down I have ever had when we were in the midst of the turmoil in the international markets -- though when I look at my actual trading results in the July-October period, I was still ahead despite the hits that I took. One more tip for you -- never divulge the logic of a shorter term system that you have developed-- the more people who use it, the less likely it is that it will continue to work. Hope that the above is of some help