FirstStrike Trading System, Part II

About the Author Jeff Swanson

Jeff is the founder of System Trader Success - a website and mission to empowering the retail trader with the proper knowledge and tools to become a profitable trader the world of quantitative/automated trading.

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  • BlueHorseshoe says:

    Hi Jeff,

    I would be very interested to see how performance would be affected if, at the time of each individual trade, the current optimal value at that time was used. This would have been the “best” information that would have been available in real-time (rather than with hindsight), and would therefore more closely simulate what could have been achieved in actual trading.

    Looking forward to seeing how this strategy develops!

    • I was thinking of doing a walk forward optimization and seeing how it performs. I would think this would be close to what you are suggesting.

  • Red says:

    Jeff,

    As always, interesting article. Got the system up and running on TradeStation. Was able to replicate your results. I am probably getting ahead of your articles. As is usual in the case with algo trading, I “walked forward” the data two years so that the last day was 12/31/2012. Needless to say, it did not do well. The equity curve nosed down immediately!
    I would be interested in what you find.

    Thanks for these articles, very much appreciated

    • I have yet to walk forward the results to the out of sample because that would defeat the purpose! Remember, you don’t want to test your system on the OOS data until you are finished because once you do, you are likely to start making decisions that will increase the chances of curve fitting the data as you continue to build the system within your development period. I have no idea if the finished system will work or not. But this is a good exercise in system building.

  • Darío says:

    Thanks for sharing this good exercise.

    Following your logic with this dual regime fllter, you can open long trades, short trades or no trades.

    But what happens when prices are bellow SMA 235 and beyond SMA 45?

    Is it possible to open long and short trades? (First strike?)

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