System Trader Success
Share It!

Category Archives for System Development

Finding Out What Works, And What Doesn’t Work

Many traders who try system trading have previously had difficulty at discretionary or manual trading. Most of these folks eventually recognize the benefit of trading a system with well defined rules – a system that has performed well in the past. It is nice to know a trading approach has historically worked, but as with […]

Continue reading

Percent Risk Position Sizing in EasyLanguage

Many of the trading models and market studies on this website used a fixed share or fixed contract position size. This means the same number of shares or contracts is traded for each position. For the futures market this often means trading one contract. This is done simply to exclude the effects of dynamic positioning […]

Continue reading

Using System Parameter Randomization To Estimate Future Returns

You just spent a ton of time creating a trading system and being very careful not to over-optimize. You then tested it on the out-of-sample data segment and the performance looks good. What’s next? Jump right into the live market? Maybe. But instead, you would like to perform one more test called System Parameter Randomization. The article, System Parameter […]

Continue reading

Case study: Can a simple Market Internals technique actually improve trading strategy results?

In my 10+ years’ full-time trading career, I have found very few tools and tactics that would get my attention so deeply as Market Internals. In 2014, I spent about six months in a row with this unique traders tool, exploring its possibilities every single day, searching for new and creative implementation ideas for my own […]

Continue reading

System Parameter Permutation – a better alternative?

Scaling Out

When I wrote my Wagner Award winning paper, “Know your System! – Turning Data Mining from Bias to Benefit,” I had two goals in mind: Introduce a new method to reasonably estimate the long-run expected performance of a trading system; and Provide a simple method for the average system trader to understand and employ the […]

Continue reading

Gap Size Strategy Tool

A couple of weeks ago I sent my subscribers an email to a free eBook called “Understanding Gaps” by Scott Andrews. I’m going to assume that you know what a gap trade is. If not, please take a look at this article. I’ve never had much success with trading gaps but the topic interests me. After reviewing […]

Continue reading

System Parameter Permutation Beats Data Mining Bias

Scaling Out

Recently, an interesting new perspective has emerged regarding trading system development. The National Association of Active Investment Managers (NAAIM) has just announced a $10,000 Wagner Award for Dave Walton of StatisTrade for his pioneering work in exploring a new method for trading system development, which he calls System Parameter Permutation (SPP). It’s a well-merited prize, since […]

Continue reading

Higher Time Frame Stops Strategy Tool

This article deals with a tool to help you test various stops when building trading systems in TradeStation’s EasyLanguage. This topic is really a part 2 of the article, “Advanced Stops and Targets Strategy Tool“. In the original article the created tool called _Stops&TargetsAdvanced is a simple strategy based on an existing TradeStation strategy called  […]

Continue reading

Opening Range Breakout Trading Strategy Design and Implementation

The goal of this research is to find various set-ups and exit strategies that could be used for trading the opening range breakouts. The time frames we will be looking at are 10-min, 15-min, and 30-min opening range breakouts. We will focus our attention on the very liquid futures markets, in particular we will analyze the […]

Continue reading

Disabling Trading At Profit Target or Max Stoploss

When building trading systems, particularly intraday trading systems, you often run into the special conditions where you might want to stop trading. Those two conditions are: 1) When a particular daily profit target is reached. In this case you have determined that when a particular dollar amount is reached in profit then no more trading should be done for […]

Continue reading