Systematic trading

I really do appreciate this post. I think systematic trading is better when compared with discretionary trading. One disadvantage with discretionary trading is that it may be influenced by emotions, isn't easily back tested, and has less rigorous risk control!

yes you are right, systematic is the more logical approach and consistent and more objective approach

please make this thread alive again, as i now recently just started systematic trading the andrea unger way, let's talk

If you want to make ti inforex then you need to trade with a plan and that is proabbly what systematic trading is. There are countless number of traders that fail in forex just because they trade without a plan Sure enough the market is always open and you can trade and earn as many times as you want It does not however mean that you should do it. You need to haev trading plan whis is what the expert traders use. You can also start by having a trading system. If you are are one then you're better off organized and you are able to make godo decision on the kind of things that you want to do for your journey. Forex trading is gout only if you take to the right way.

You've got to trade in a systematic way if you want to make it big in forex. If you ask all the he good traders then they will all tell you that they have trading plan. Any good trader that does not trade in systematic ways is just pure luck and nothing else. There are those who can still amnage without trading in an order. If that's the case for you then you first need to try the systematic trading optiontion. Failing in forex trading is sometimes a choice that people make. The only way to be a better tradeer is to trade systematically that is if you have learned all there is to learned and you are able to apply all of it while keeping your emotions in check.

Hi mikkom, any update?

We are not on the right trading track because you are not trading in a systematic way. A systematic trading wants several components to be combined. However, traders are mostly confused about what they should do and what they shouldn’t.

Very, very long time since I posted here.

Are any of the old beards in this thread still active? I'm trading quant long/short equity strategy nowadays. Post here if you are alive, it would be nice to hear what everyone is up :-D

I have been posting some stuff on twitter/X lately, feel free to connect there https://x.com/mikkom

I might also resurrect this thread if people are interested but I'm not sure how suitable that is as I have not been trading FX for a long time due to tax legistlation in finland.

However I have been trading equities and futures, lately mostly equities via custom, totally automated framework.

Here is an out-sample backtest curve of my current system (long/short equity). Live is not much worse :-D

Going the same way currently! Want to exchange?

bro you basically been trading for 15 years !!! i have so many questions for you.. do you trade forex or stocks only ?

### Exploring Systematic Trading with the Dow Jones: A Personal Journey
Systematic trading, with its roots in discipline and consistency, offers a structured approach to navigating the unpredictable waters of the stock market. In my journey with systematic trading focused on the Dow Jones Industrial Average (DJIA), I've crafted and followed my own set of rules. This adventure has taught me much about strategy, discipline, and the importance of adaptability.
#### Crafting My Systematic Trading Rules
When I embarked on this journey, I realized the necessity of having a solid foundation. My rules were simple yet aimed at maximizing gains while mitigating risks. Here are some key aspects of my trading system:
1. **Trend Following:**
- I observed market trends and patterns, buying into the DJIA when an upward trend was confirmed by moving averages and selling when a downward trend became evident.
2. **Mean Reversion:**
- Capitalizing on the concept that prices tend to revert to their mean over time, I bought DJIA stocks during significant dips, anticipating a rebound to average levels.
3. **Momentum Trading:**
- By focusing on stocks within the DJIA showing strong momentum, I entered positions when these stocks displayed consistent upward movement.
4. **Position Sizing:**
- To manage risk, I allocated a fixed percentage of my capital to each trade, ensuring no single trade could significantly impact my overall portfolio.
5. **Stop-Loss Rules:**
- Initially, I implemented stop-loss orders to limit potential losses. However, I occasionally deviated from this rule, trading without stop-losses to better understand market behaviors.
#### Learning Through Experience
While the rules provided a structured approach, the real learning began when I encountered the unpredictable nature of the market. Here's how my journey unfolded:
**Trading Without Stop-Losses:**
- Trading without stop-losses was a calculated risk I took to understand market movements better. This decision exposed me to higher volatility and larger drawdowns. However, it also taught me the importance of risk management and the emotional resilience needed to withstand temporary losses.
**Discipline Challenges:**
- Maintaining discipline in trading is easier said than done. Emotional decision-making, such as holding onto losing trades hoping for a turnaround, led to significant setbacks. This experience underscored the importance of sticking to predefined rules and not letting emotions dictate trading decisions.
**Backtesting and Adaptation:**
- By backtesting my strategies with historical data, I gained insights into their effectiveness. Adjusting my rules based on backtesting results helped optimize my trading approach. However, the real test came in live trading, where market conditions could differ significantly from historical patterns.
**Continuous Learning and Adaptation:**
- Systematic trading is not a set-it-and-forget-it approach. It requires continuous learning and adaptation. I regularly reviewed my trades, analyzed mistakes, and refined my rules to improve performance. Market conditions change, and so should trading strategies.
#### The Road Ahead
My journey with systematic trading in the Dow Jones is far from over. The lessons learned from trading without stop-losses and facing discipline challenges have been invaluable. I now have a deeper appreciation for the structured approach that systematic trading offers and the importance of sticking to well-defined rules.
As I continue to refine my strategies, my focus remains on learning and improving. The stock market is an ever-evolving landscape, and staying ahead requires constant adaptation and a commitment to discipline.
In conclusion, systematic trading has been a rewarding yet challenging endeavor. By blending my own rules with market-tested strategies, I've navigated the complexities of the DJIA. The journey has been filled with ups and downs, but each experience has contributed to my growth as a trader. As I move forward, I am more determined than ever to master the art of systematic trading and achieve my financial goals.

I don't trade spot FX anymore for tax reasons. Just futures + stocks.

There were times when I was trading much less and doing mostly tech startup stuff, now again more involved in the markets.

what’s your thoughts on systematic technical analysis and portfolio management ? Better to trade multi strategies on one asset or multi asset on one strategy ? Or multi strategies on multiple timeframe ? Or just diversify with uncorrelated strategies? Is quant trading(using complex maths) just far superior than Algo trading(systematic technical analysis) from your experience? What’s yours average trade duration? Any advice for developing systematic traders ?

That's a long question...

Uncorrelation of strategies and/or instruments you trade is the key to reducing risk. It's in my view the most important thing you need to do I would do both and use as diverse systems and markets/instruments as possible. Note: correlation is not static, it changes from time to time so it's very important to backtest everything very thoroughly in different market regimes to understand how correlated your systems and the instruments you trade are in different market conditions. More trades on out-sample the better (my current live systems outsample is about 5 years and it's approx. 21000 trades). To make any serious conclusions you need out-sample that is significant and that is very difficult to do correctly as you should use your out-sample only once or it becames in-sample. My current setup makes this possible for me but I'm not going to go too deep into that sorry.

Using multiple timeframes is something that is specific for each system. If the system is better when using multiple timeframes then is then it's a good idea to use them.

IMHO Quant trading is the same as algo trading or systematic algo trading. I see no difference. Systematic technical analysis is the same as quant analysis although not everything in "technical analysis" is correct or meaningful in any way. Some indicators for example measure same kind of statistics as "quants" typically use (distributions of returns and their relative position to the old price points).

Advice for beginning systematic traders... There are excellent resouces now that weren't available when I started this thread. There are podcasts that interview actual hedge fund managers and big traders, listen to those (for example "Top Traders Unplugged" and "Better systems trader" , "Chat with traders") those have some excellent information and insights. I would spend all time available to listen to those if I was just starting and I still listen to those regularly when I have time.

Also the academic papers... This I learded from some fund interview. There are lots of scientific material about trading. Go to google scholar and serach for trading-related academic papers. There are lots of gems there. And there are sites (quantopedia for example) that are expensive but that have made backtests from selected papers. It might be worth subscribing there for a short moment and download the data they have. Also https://quantocracy.com/ is excellent. You can find many excellent sites and articles there.

About my trade duration I'm not even sure what my current average trade duration is but I think it's tyically something between 0.5 to 3 days or something like that.

How I currently trade is not typical technical analysis at all, it's quant stuff or something. I don't think I use any "indicators" but there are many concepts that are the same that are used in different indicators like basic statistical attributes like price change statistics, attributes of current price related to old price values and such that I feed to my system. The core of the system is machine learning based - ML been my thing from the beginning. I think I trade very differently than most traders, I utilize the whole portfolio as a kind of one, multi-dimensional position that I try to build to be as risk-free as possible.

Take care!

Sorry for the overload i just got excited ! thank you for sharing all this information !!!

Btw I no longer visit this site regularly, if you are interested in discussing about markets, trading systematically and other stuff you can find me at X https://x.com/mikkom