Developing New Trading Systems

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17.11.11 11:57
Название: Developing New Trading Systems.

   In this chapter we examined seven major systems, each exploring a different philosophy. The 65sma-3cc system is a simple trend-following system that offers solid performance. We examined this system in great detail. You should perform such a detailed analysis of your systems. We used many important ideas such as maximum favorable and adverse excursions, frequency distribution of trades, and the effect of a volatility-based initial stop.

You should endeavor to understand these ideas and use them often. In summary, the 65sma-3cc system was a robust and profitable system that makes money in trending periods. About 4 percent of the trades were mega-trades, and you should pick your exit strategies carefully so as not to cut off such trades prematurely.
The channel breakout-pull back (CB-PB) system was our first pattern-based system for long trades. The system gives reliable long entries;
it was profitable about 55 percent of the time without stops or exits over many markets. Our tests with different exit strategies found that the CB-PB system provides low-risk entries and can be easily adapted to many trading styles. CB-PB does well in short- to intermediate-term systems on active markets. In summary, we showed how we can develop very different systems of the same entry signal.
The ADX burst trend-seeking system uses a filter based on the strength of the trend. It successfully provides entries into strong trends. The system has a large neutral zone so it is in the market only 35 to 45 percent of the time.
We next looked at the trend-antitrend (T-AT) system, which automatically switches between antitrend and trend-following modes. This system often picks tops and bottoms with surprising accuracy. It is essential to use good risk control with a system such as this because the volatility can trap you on the wrong side of the market.

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