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ETMA_The Evolution

  • #1,401
  • Mar 10, 2016 7:25am Mar 10, 2016 7:25am
And when you Finish, Try these but don't be overwhelmed, take it easy.
http://www.metastock.com/customer/re...tivetrader/#27
Master Your Setup, Master Your self. (NQoos)
  • #1,402
  • Mar 10, 2016 8:11am Mar 10, 2016 8:11am
Euro : Minimum Bid Rate from 0.05% to Zero 0.00%
ECB Monetary policy decisions
Master Your Setup, Master Your self. (NQoos)
  • #1,403
  • Mar 10, 2016 8:15am Mar 10, 2016 8:15am
Quoting bassramy
And when you Finish, Try these but don't be overwhelmed, take it easy. http://www.metastock.com/customer/re...tivetrader/#27
Cheers Bass :-)
  • #1,404
  • Mar 11, 2016 12:14pm Mar 11, 2016 12:14pm
Quoting bassramy
Not my trading style, but keeping an open mind and looking for ways to diversify my models portfolio . Full of tips and tricks, an important stop in my learning curve. https://youtu.be/sfrhTh-COxA
Its a Must see if you are developing algo strategies.
Master Your Setup, Master Your self. (NQoos)
  • #1,405
  • Mar 11, 2016 6:59pm Mar 11, 2016 6:59pm
Quoting Copernicus
{quote} Cheers Bass :-)
Just going through this now Bass. A great find. You don't find many great walk-throughs like this. It is very helpful.

I just wanted to say thanks again Bass for your generosity in sharing.
  • #1,406
  • Mar 12, 2016 4:20am Mar 12, 2016 4:20am
Quoting Copernicus
{quote} Just going through this now Bass. A great find. You don't find many great walk-throughs like this. It is very helpful. I just wanted to say thanks again Bass for your generosity in sharing.
Until now, i didn't find a more detailed video on creating and optimizing strategies and equity curves, but i will keep searching.

Great details inside that's why i posted it one more time, it shows you the power of filters which without you couldn't smooth out your equity curves, that's why we should always keep an open mind and never discount any idea and any chance to improve on our work, like in war (and make no mistake about it, it is) all is fair.
Master Your Setup, Master Your self. (NQoos)
  • #1,407
  • Mar 12, 2016 5:13am Mar 12, 2016 5:13am
Quoting bassramy
{quote} Until now, i didn't find a more detailed video on creating and optimizing strategies and equity curves, but i will keep searching. Great details inside that's why i posted it one more time, it shows you the power of filters which without you couldn't smooth out your equity curves, that's why we should always keep an open mind and never discount any idea and any chance to improve on our work, like in war (and make no mistake about it, it is) all is fair.
Valid points Bass. Filters clearly worked in his case. The touches he did to the entry triggers were also significant to the final equity curve. Nice stuff. Gives lot's of ideas to munch on.
  • #1,408
  • Mar 19, 2016 1:32pm Mar 19, 2016 1:32pm
https://www.quantstart.com/articles/...ithmic-Trading
https://www.quantstart.com/articles/...tative-Trading
http://systemtradersuccess.com/self-...trader-part-i/
http://www.ftsmodules.com/public/mod...micTrading.pdf
http://financialtalkies.com/top-5-be...thmic-trading/
https://www.quantnet.com/threads/alg...ategies.13375/
Master Your Setup, Master Your self. (NQoos)
  • #1,409
  • Mar 21, 2016 3:27pm Mar 21, 2016 3:27pm
MOMENTUM STILL STRONG IN FEBRUARY FOR MANAGED FUTURES.

Some strong performance for Managed Futures last month, to consolidate the strong start of the year. Please find below the detailed performance of the top CTAs that we follow in this index.

its late and i'm going to bed, to be continued tomorrow.
Master Your Setup, Master Your self. (NQoos)
  • #1,410
  • Mar 21, 2016 3:50pm Mar 21, 2016 3:50pm
A Eulogy for the Pit Trader
An oral history about work life in Chicagos notoriously high-stress, hard-partying commodity futures pits

It was a bunch of alpha males trying to intimidate you, push you around, browbeat you. It was so crowded in its heyday you had to learn to write with your hands up in the air, because there was no room to keep them by your side.
Master Your Setup, Master Your self. (NQoos)
  • #1,411
  • Mar 22, 2016 4:16am Mar 22, 2016 4:16am
MOMENTUM STILL STRONG IN FEBRUARY FOR MANAGED FUTURES
March 21, 2016 by Shane Wisdom

Some strong performance for Managed Futures last month, to consolidate the strong start of the year. Please find below the detailed performance of the top CTAs that we follow in this index.


Managed Futures Performance

 

  1. February average return: +3.47%
  2. 2016 average return: +7.61%

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Master Your Setup, Master Your self. (NQoos)
  • #1,412
  • Mar 22, 2016 4:21am Mar 22, 2016 4:21am
Trend Following Wizards – February
March 21st, 2016

February brought good results for the trend following wizards. Continuing the momentum initiated in January, the index is now up 6.49% for the year and nearly all funds show positive returns for the month.
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Master Your Setup, Master Your self. (NQoos)
  • #1,413
  • Mar 23, 2016 5:24am Mar 23, 2016 5:24am
The Financial Hacker
A new view on algorithmic trading

Build Better Strategies!
Build Better Strategies! Part 2: Model-Based Systems
Build Better Strategies! Part 3: The Development Process
Master Your Setup, Master Your self. (NQoos)
  • #1,414
  • Edited 1:25pm Mar 24, 2016 1:03pm | Edited 1:25pm
Out with the old short, in with a new Long, after a good confirmation.
UCAD the anatomy of a 2 Months short Trade, covered yesterday.
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Master Your Setup, Master Your self. (NQoos)
  • #1,415
  • Mar 24, 2016 8:57pm Mar 24, 2016 8:57pm
Quoting bassramy
The Financial Hacker A new view on algorithmic trading Build Better Strategies! Build Better Strategies! Part 2: Model-Based Systems Build Better Strategies! Part 3: The Development Process
Morning Bass. Thanks for the heads up on this blog. Some very intetesting stuff presented. C
  • #1,416
  • Mar 26, 2016 5:29am Mar 26, 2016 5:29am
I wanna wish everyone of my Friends and Followers a Happy Easter.
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Master Your Setup, Master Your self. (NQoos)
  • #1,417
  • Apr 4, 2016 4:36am Apr 4, 2016 4:36am
Strategy Development with Perry Kaufman

Perry shared a number of great tips, here are some of my favorites:

  1. Use average of results in an optimization run
  2. Remove strategy rules that don’t add much value
  3. Look at the % of profitable runs in a distribution, Perry personally likes to see 66% or higher runs to be profitable
  4. When considering the values in an optimization range, look for the values to be evenly spaced %-wise, for example, 10/20/40/80, not linear like 10/20/30/40/50 because linear can make the larger values look more stable purely because they’re closer together as a %
  5. When adjusting strategy rules, don’t be fooled by a few results going up, you want something that is generalized and improves most cases
  6. Neural networks/genetic algorithms – feed in fewer items to get a more robust answer

Master Your Setup, Master Your self. (NQoos)
  • #1,418
  • Apr 4, 2016 6:33am Apr 4, 2016 6:33am
Quoting bassramy
Strategy Development with Perry Kaufman Perry shared a number of great tips, here are some of my favorites: Use average of results in an optimization run Remove strategy rules that dont add much value Look at the % of profitable runs in a distribution, Perry personally likes to see 66% or higher runs to be profitable When considering the values in an optimization range, look for the values to be evenly spaced %-wise, for example, 10/20/40/80, not linear like 10/20/30/40/50 because linear...
It was a good podcast Bass. I have a big soft spot for Perry and am currently thumbing through his latest book now. Interestingly he doesn't like to use stops particularly with long term trend following preferring to simply reduce position sizing to manage risk.......He believes that stops interfere with the underlying strategy and are based on 'how much you are willing to lose' and less about 'what latitude the system needs to succeed.

Here are his thoughts on using stops for Long Term Trend Following from his book "A Guide to Creating a Successful Algorithmic Trading Strategy"
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Also guess what his preferred trend following system is............? You guessed it.....the breakout.
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  • #1,419
  • Edited Apr 5, 2016 3:04am Apr 4, 2016 9:52am | Edited Apr 5, 2016 3:04am
Quoting Copernicus
{quote} It was a good podcast Bass. I have a big soft spot for Perry and am currently thumbing through his latest book now. Interestingly he doesn't like to use stops particularly with long term trend following preferring to simply reduce position sizing to manage risk.......He believes that stops interfere with the underlying strategy and are based on 'how much you are willing to lose' and less about 'what latitude the system needs to succeed. Here are his thoughts on using stops for Long Term Trend Following from his book "A Guide to Creating...
C., stops is widely known to reduce profits but its an evil necessity, 'what latitude the system needs to succeed" is 100% true because u can never know in the real world if your system have any expectancy if u will keep it chained with stops, take profits and all kind of filters, in a perfect world a perfect system will be profitable without any thing, i mean an always in the market system which simply reverse trades with every signal produced.

Breakouts are a very robust trading models depending on the Markets conditions of course but historically speaking they out performed all kind of strategies, sadly these last few years market conditions where just not kind for these types of strategies due to all the Fundies and techies that we all know about, the best proof is that the majority of the CTA's use these strategies to produce alpha and its fair to think that these guys knows a thing or two about the Markets.

He nailed it in a lot of things but one super simple truth standout : Its not the Indicators, not the portfolios and not the trading models and strategies, its the markets, everything should adapt to the Markets not the other way Around.

For every market condition there is a Strategy and a portfolio to go for it, u can not use the same screwdriver on all screws, for every situation there is a tool, there is no one fits all tool, unfortunately.
Master Your Setup, Master Your self. (NQoos)
  • #1,420
  • Edited 10:44am Apr 5, 2016 4:01am | Edited 10:44am
TREND FOLLOWING DOWN IN MARCH

MARCH 2016 TREND FOLLOWING: DOWN -2.84% / YTD: +6.86%

The index gave back some of its gains from the beginning of the year, last month. The performance is still positive Year-To-Date and over the last 12 months.

I confirm these results albeit mine is a little bit better due to me being a small retail trader thus my ability to be more flexible and less bureaucratic then the Big boys.

3 times this last 2 Months Market conditions changed due to FOMC, NFP and mixed data out of the US and Europe hitting us Trend Followers Hard, still the Macro view is Dollar Bull in the Long Term due to the tightening cycle that the Fed began, to be noted also that the situation in Europe is improving and the latest measures taking by the ECB seems to yield slow but steady effects .

That being said, its fair to note the Divergent Monetary policy between the Old and the New world which taking its toll on the former, Euro bull for now but only because the Fed had postponed the Rate raise (Kicking the can down the Road).

Best,
bass
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