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Category Archives for System Development

Testing The Ivy 10 Trading System

Testing the Ivy 10 Trading System Click To Tweet The Ivy Portfolio article posted several weeks back resulted in a lot of good discussions. The main thrust of many criticisms of the Ivy Portfolio came down to curve fitting. Was the Ivy Portfolio curve fitted to produce such great results? There was some question on […]

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Bulkowski’s Position Sizing

Position Sizing Background For most of my investing career, I used a fixed dollar amount for money management when buying stocks. At the beginning, it was $2,000. That bought me 100 shares of a $20 stock. I thought that’s the method that everyone used. As I learned about the stock market, I knew that there […]

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Measuring Success: Key Performance Metrics

When you see the performance of a trading system, how do you know it’s good? How do you know it’s the right system for you? Many people simply look at the net profit assuming the system with the more profit must be the better system. This is often far from a good idea. When comparing trading systems during […]

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Building A Better Trend Filter

In this article I will create a trend filter (also known as market mode filter or regime filter) that is adaptable to volatility and utilizes some of the basic principles of hysteresis to reduce false signals (whipsaws). As you may know, I often will use the 200-period simple moving average (200-SMA) to determine when a […]

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System Optimization With Expectancy

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 […]

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Rank Your Trading System With Expectancy Score

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 […]

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Access Two Timeframes In EasyLanguage

This article has been converted into a FREE eBook with a video tutorial. Download you free copy below!

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Advanced Stops and Targets Strategy Tool

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 […]

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First Of The Month Market Edge

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

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 […]

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