System Optimization With Expectancy

October 1, 2012 5:00 am4 comments

In a recent article called Rank Your Trading System With Expectancy Score I discussed the concept of expectancy and expectancy score and how they can be used to help evaluate and compare the profitability of trading systems. In this article I’m going to provide some EasyLanguage code that will help you compute these values for a trading system and how to optimize a trading system based on expectancy. This article will be heavily geared towards TradeSation’s EasyLanguage, however the concepts can be applied to any programming language. Expectancy Function In the previous article I showed you how to compute both expectancy and the expectancy score. Here I want to provide you an EasyLanguage function that will do it for you. This code […]

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Rank Your Trading System With Expectancy Score

September 24, 2012 5:00 am11 comments

In a previous article called “System Performance and Confidence Interval“, I showed how a statistical method could be used to analyze historical trading results to give us an idea if the system would likely fail in the future. In this article I would like to introduce a mathematical formula which can be applied to any trading system and used as an objective score to compare and rank different trading systems. When it comes to trading systems, no two are alike. There is a vast number of different trading styles that cover the range from simple tick scalping to multi year investment models. Of course, there is a huge number of different instruments and markets to trade. How would one determine […]

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Access Two Timeframes In EasyLanguage

July 16, 2012 5:00 am6 comments

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Advanced Stops and Targets Strategy Tool

June 11, 2012 5:00 am13 comments

Several recent articles I’ve written explained my techniques for developing and testing trading systems. The trading system we have been working on is a very simple breakout strategy called FirstStrike. The first couple of articles on this subject I used a regime filter and a trend strength filter to help reduce unproductive trading times. Next I wanted to explore a few exit techniques. But before jumping into testing exit techniques, I wanted to show you a simple tool I created to help me test other exits. The tool is a simple strategy to assist me in testing various stops and targets. My program is not completely unique. It’s actually based off an existing TradeStation strategy, called _Stops&Targets. I’ve taken this program […]

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First Of The Month Market Edge

June 4, 2012 5:00 am6 comments

The first trading day of May was strong. That is, price closed higher than the open. How often is the first of the month strong? Since 2002, this has been a winning strategy.

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Nuts And Bolts: Expectation

February 27, 2012 5:00 am0 comments

When I first started trading nearly 100% of my focus was on the percentage of my trades that were winners (win probability).  After all, winning feels good and I wanted to maximize that much as possible.  But over time I learned that the win probability of a system is largely irrelevant (regardless of how good it makes you feel);   Instead of worrying so much about winning I really should have been focusing on my system’s expectation. Expectation is one of the more important trading system metrics, if not THE most important.  It is also quite easy to calculate.  Yet many traders aren’t aware of its existence or utility. There are three components that define the expectation of a trading system:  […]

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Trading Software For Mac – How to Trade Emini Futures using TradeStation and a Mac

July 27, 2011 4:25 am0 comments

If you are a Mac owner who has always wanted to trade Emini futures using TradeStation but thought it was impossible well, think again! It is possible to run TradeStation using a Mac computer without making any sacrifices to the performance of the trading software.

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