Finding Out What Works, And What Doesn’t Work – Part II

About the Author Kevin Davey

Kevin Davey is a professional trader and a top performing systems developer. Kevin is the author of “Building Algorithmic Trading Systems: A Trader's Journey From Data Mining to Monte Carlo Simulation to Live Trading” (Wiley Trading, 2014.) . He generated triple digit annual returns 148 percent, 107 percent, and 112 percent in three consecutive World Cup of Futures Trading Championships® using algorithmic trading systems.His web site, www.kjtradingsystems.com, provides trading mentoring, trading signals, and free trading videos and articles. He writes extensively in industry publications such as Futures Magazine and Active Trader and was featured as a “Market Master” in the book The Universal Principles of Successful Trading by Brent Penfold (Wiley, 2010). Active in social media, Kevin has over 15,000 Twitter followers. An aerospace engineer and MBA by background, he has been an independent trader for over 20 years. Kevin continues to trade full time and develop algorithmic trading strategies.

  • Marco says:

    I believe everytrader to think about intraday trading with high leverage. But as you shown with your results it’s not so easy like in swing trading. I really would like to come through something to add to my overnight trading. Have you got some ideas in which direction focus my research?
    https://nightlypatterns.wordpress.com

    • Thanks for the comment. Overnight trading, by itself, has always been challenging, at least for me. I find the best results from trading both day and night together.

  • Alex says:

    “The results of Group 2 are generally in line with Group 1 results, which show that swing trading (strategy A) is better than intraday trading (Strategy B), and that longer timeframes are slightly better than short timeframe bars.”

    That is not a valid conclusion since you have not normalized the results. You are comparing apples and oranges here.

    • Thanks for the comment, Alex. I am not certain I understand you. Can you please provide an example? Thanks!

  • Jim Vogt says:

    Kevin,

    Thank you for publishing this research. I think the results are very helpful.

    You tested your data with a very wide range of X values (breakout length) from 5 to 100. You have not reported on which were most profitable. Did your research indicate that longer or shorter breakout lengths were preferable?

  • Hi Jim –

    Thanks for the comment. To answer your question, I did not really examine which breakout length was best. The main reason is because the right length to use would be determined later in the process, when I did walkforward testing. I’ll probably address this in a future article.

    Thanks!

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