Search
× Search
Saturday, November 2, 2024

Archived Discussions

Recent member discussions

The Algorithmic Traders' Association prides itself on providing a forum for the publication and dissemination of its members' white papers, research, reflections, works in progress, and other contributions. Please Note that archive searches and some of our members' publications are reserved for members only, so please log in or sign up to gain the most from our members' contributions.

Detailed Demonstration of the Development of Two Profitable Trading Systems

photo

 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


Print

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

photo

 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 ?


photo

 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)


photo

 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.


photo

 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!


photo

 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.


photo

 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.


photo

 Mohamed Abass, Machine Learning For Time Series Prediction

 Friday, June 22, 2018



Although Not optimal equity curve nur Great Job .

Please login or register to post comments.

TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS
Terms Of UsePrivacy StatementCopyright 2018 Algorithmic Traders Association