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System development ideas


#1

As a trading strategy developer, its hard to come up with ideas constantly to create new systems.

Anyone wants to share their ideas thats on their mind but never tried and tested which bored system developers like me can try out? :slight_smile:


#2

I’m in your boat. I’d be curious too.

Been trying alot of things recently:
*Using indicators in longer time frames at extreme values to catch trend reversals (Williams % Range, etc)
*Donchian Channels - I got hooked on these for months. Couldn’t make em work.
*Anything martingale - Tried averaging into trades on several different systems. Hedging/Grid/etc… backtests will eventually get you if you go back far enough.

Done most of my work on Forex recently rather than Futures, just for the scaling factor. Figure if I’m going to play with money I’m gonna keep it small, and you can’t scale into a S&P e-mini trade with a $10k account.


#3

For me, the biggest incentive (not for public sale, but private), have been SRI-influenced algorithms.


#4

what do you mean exactly. on trending indices like Nasdaq, it pretty much works out of the box. nothing spectacular but say with a ratio of annual return to max drawdown close to 1. which instrument did you try?


#5

whats SRI - or was it typo for RSI?


#6

never really tried it. I know it works well on C2 though :smiley:
possibly some ‘intelligent’ martingale can last for longer time frame.


#7

Socially Responsible Investment - building algorithms that only invest in equities, futures, etc. that are considered socially responsible (green companies, social, conscious companies). So practically limiting your algorithm to do socially responsible investing only. It’s getting more hype according to newspapers and researches. In the Netherlands, these investment funds also appear more and more.


#8

ok. thanks for the explanation. I have heard of it. but never heard the acronym :slight_smile:


#9

Ray Dalio has his All Weather portfolio of 30% equities, 40% long term bonds, 15% intermediate term bonds, 7.5% precious metals, and 7.5% commodities. That basic portfolio is pretty easy, but I have been curious for sometime if a futures leveraged version of it would do well or something with a similar concept of a fixed allocation percentage but with futures.


#10

am curious what sort of performance are we looking at on the basic portfolio itself? any documentaton/reference to that?


#11

Here is Ray speaking about it https://www.investopedia.com/video/play/4-factors-ray-dalio-uses-construct-his-allweather-portfolio/ and here is someone who heard about it from a Tony Robins book backtesting what Robbins claimed about it.
https://awealthofcommonsense.com/2014/11/back-testing-tony-robbins-weather-portfolio/.


#12

Tried them on all kinds of forex pairs. Tried trend following with them, range bound, scalping either way, but nothing worked consistently on out of sample testing. Didn’t try them on equity indices. Guess I should.


#13

The bond allocation I would think should be tweaked when the yield curve gets flat like this (move it to far more short term). Just because of the lack of additional yield you get out on the yield curve and the continuing duration risk for those LT issues (which has been there for years now).


#14

If you really want a challenge. Try coming up with an algo for Gold. Never seen a consistent reliable Gold strategy. I’ve tried but they all backtest with large drawdowns and are not reliable. Too many crosscurrents and inputs go into gold, seasonality, supply and demand, the dollar, inflation, interest rates, safe haven, etc etc, Many of which maybe influencing price at any given time. Good luck. :face_with_raised_eyebrow:


#15

Nah I’m good. Challenged enough with every other security on earth…

Except Bitcoin. That goes straight to 0. RSI or Stochastic you think for that? :smile:


#16

I had made an attempt at day trading gold through NUGT and DUST. (https://collective2.com/details/105375934)
The name is misleading as it contained XIV/VXX trades also at some point.If you take vix trades out, probably it is not a bad system. Could be a decent system with a return to drawdown ratio of say 1. But when I developed it, the results were much better - but not consistent as you said. some years were very good and some flat. But the main reason I took it out was the slippage. Slippage of upto .5% for a day trading system is a lot and difficult to sustain. But on paper it looked very promising


#17

I wouldn’t be opposed to one that was tweaked and one of the main criticisms of this portfolio is that is has done well largely due to falling interest rates. I did once go back and try to run it since the 1920s on and it did really well on drawdown and just slightly unperformed a 100% equities portfolio. It is hard to not say that it should be adjusted when yields are changing etc., but I do think some subs may really like something that picks an asset allocation and sticks with it sort of like target date retirement funds that just keep doing what they say they will.


#18

See if you can’t get a copy of New Concepts in Technical Trading Systems by J Welles Wilder Jnr.
Lots of good idea’s here


#19

I wasted over 1 year of development work on forex with all kind of approaches, filters, indicators, price action logic… Not even advanced money management could make anything work reliably. IMHO forex trading is like going to the casino so I´d recommend you don´t waste your time here. Equities and commodities are way easier to trade because they have sustaining and clean trends - mostly.

So my input for the OP: go for Crude oil. This thing is great in terms of momentum and trend. I think it´s likely you find something worthwhile there.


#20

How about a strategy that makes money consistently? lol…:grin:

All kidding aside, I don’t think the product that is traded is that important but the method to trade it. Forget about indicator use as well since they are mostly lagging and have no predictive value.

Hedging is good idea or spread trading or some type of equity options trading would be of value…