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Thursday, August 18, 2022

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Detailed Demonstration of the Development of Two Profitable Trading Systems

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 Steve Moffitt, President at Market Pattern Research, Inc

 Saturday, May 26, 2018

Illustrating a systematic methodology for developing trading systems (the Strategic Analysis of Markets Method = SAMM). A narrative account of the two system's development is available in the 61 page article @ https://ssrn.com/abstract=3179171


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7 comments on article "Detailed Demonstration of the Development of Two Profitable Trading Systems"

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 Marc Verleysen, founder at TSA-Europe -systematic trading and money management

 Wednesday, May 30, 2018



I have to agree with Joost. Several consecutive negative years will not attract any investors. As guillaume rightly points out, the sample ( number if trades) is too small to give any sense of reliability. It would be interesting to see 2008-2018 results. Are these available ?


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 Steve Moffitt, President at Market Pattern Research, Inc

 Wednesday, May 30, 2018



I feel that some comments will clear up questions about the use of this system for trading. First, I agree that neither system presented in the article is attractive for standalone trading. However, the second makes sense as part of a portfolio because it will not be strongly correlated with equities. I will provide an analysis justifying this statement in a couple of weeks. Second, the article is meant to demonstrate a methodology for building a trading system. There are better illustrations than this, a trivial example of which is my article on the "Tax Day Trade." (https://ssrn.com/abstract=2910752)


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 Steve Moffitt, President at Market Pattern Research, Inc

 Wednesday, May 30, 2018



Also, the graph in the post shows the cumulative gain from System 2 in red, and that for a default Eurodollar Futures rollover strategy in black. The improvement is clear. In effect, the analysis shows that for Eurodollars, even a crude version of the carry trade has been effective.


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 Ben Van Vliet, Asst. Professor @ IIT Stuart

 Wednesday, May 30, 2018



I love it when readers try to make themselves look smart by criticizing an author for not giving them a really profitable trading strategy for free!


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 alain kretz, Retired chez Owner, independant

 Wednesday, June 20, 2018



Thank you for sharing. We all like when it is consistent over long period of time.


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 Roderick Casilli, Head of Product at Collective2

 Wednesday, June 20, 2018



If you're looking for a place to walk-forward test (live or SIM) your strategy, Collective2 is the world's largest web-based open trading platform. We have over $80M of capital connected to strategies published on the site.


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 Mohamed Abass, Machine Learning For Time Series Prediction

 Friday, June 22, 2018



Although Not optimal equity curve nur Great Job .

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TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS
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