Trading System Concepts and Design
Trading models are created so that the so called human factor can be minimized. Most of the time, production trading models are utilized by firms like hedge funds and larger institutions. Retail traders having access to backtesting tools like TradeStation and other trading platforms can build their own trading systems easily but rarely do they successfully deploy any models to trade their own money.
Over the years I have helped many hedge funds and pro traders developing, refining and maintaining trading models. The sharp contrast between professionals and the retail traders in understanding what trading systems are driving me insane sometimes.
Here is a partial list of articles I have written on building trading system over the years. I have organized the material below into several sections so that it would be easier to find them. Whenever I can locate the rest of the articles I have written will add them here.
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alphabetical order | posting date
Nonfarm Payroll Week Trading Models 
It is well know among many professional traders that NFP week has a strong bullish bias. But as I have shown in the article, Nonfarm Payroll Report Bias, it is not that simple in utilizing this bias in reality. I am going to show you 3 trading models ...
It is well know among many professional traders that NFP week has a strong bullish bias. But as I have shown in the article, Nonfarm Payroll Report Bias, it is not that simple in utilizing this bias in reality. I am going to show you 3 trading models ...
Oddball System - An Update
OddBall is created by Mark Brown, and was featured in Active Trader magazine. It is a trading system designed for trading the S&P index future (or the emini counterpart). The signal generation of Oddball does not depend on the price data itself. Inst ...
OddBall is created by Mark Brown, and was featured in Active Trader magazine. It is a trading system designed for trading the S&P index future (or the emini counterpart). The signal generation of Oddball does not depend on the price data itself. Inst ...
One size fits all?
A lot of people asked this question many times - is there a trading system that works on all instruments and can be traded in real time with no change to the parameters at all? The answer is plain and simple - no. Trading systems are inherent ...
A lot of people asked this question many times - is there a trading system that works on all instruments and can be traded in real time with no change to the parameters at all? The answer is plain and simple - no. Trading systems are inherent ...
Open Range Breakout Daytrading System
Open range breakout system is a well known concept. It is a variation of the classic N-bar breakout system. This concept is so widely talked about because it works. I will show you a new twist of the concept that is never discussed anywhere else. ...
Open range breakout system is a well known concept. It is a variation of the classic N-bar breakout system. This concept is so widely talked about because it works. I will show you a new twist of the concept that is never discussed anywhere else. ...
Overnight Bias: Emini Night Owl Long Play
Emini Night Owl Long Play trading system is designed to take advantage of the overnight range expansion behaviour mentioned in the Emini S&P Afterhours Behaviour series. This model has strict control on risk and performed very well over the past ...
Emini Night Owl Long Play trading system is designed to take advantage of the overnight range expansion behaviour mentioned in the Emini S&P Afterhours Behaviour series. This model has strict control on risk and performed very well over the past ...
Performance Sensitivity
For most traders, when tracking their own performances, or measuring the performance of trading systems, a tendency is to look for almost perfect improvement over time. We always want the performances to get better, stay in top shape, etc. In reality ...
For most traders, when tracking their own performances, or measuring the performance of trading systems, a tendency is to look for almost perfect improvement over time. We always want the performances to get better, stay in top shape, etc. In reality ...
Pigeonhole Principle and the Trap of Higher Win Rate
Most of the time, we see traders focus heavily on higher winning rate and at all cost keeping it that way by various measures. System traders and rookie system creators are also obsessed with higher win rate. Is higher win rate really that important? ...
Most of the time, we see traders focus heavily on higher winning rate and at all cost keeping it that way by various measures. System traders and rookie system creators are also obsessed with higher win rate. Is higher win rate really that important? ...
Preparing Yourself For Mechanical Trading
I have been offered many times to sell my mechanical day trading systems. I turned down almost all of them. Most of these potential clients are retail traders. I rejected them not because of the amount of money offered is not good enough. The problem ...
I have been offered many times to sell my mechanical day trading systems. I turned down almost all of them. Most of these potential clients are retail traders. I rejected them not because of the amount of money offered is not good enough. The problem ...
Quantum Mechanics and HFT
Quantum Mechanics sounds like it has nothing to do with High-Frequency Trading (HFT) except the fact that they both have sound bites coming from an alien planet. However, if you examine the concept of HFT closely, you would be surprise that some prin ...
Quantum Mechanics sounds like it has nothing to do with High-Frequency Trading (HFT) except the fact that they both have sound bites coming from an alien planet. However, if you examine the concept of HFT closely, you would be surprise that some prin ...
S&P 500 3-Day Advance Issues
I wrote an article on the concept of 3-Day Advance Issues in the Futures magazine - Using market breadth in trading systems, in the January 2008 issue. As oppose to repeating what was written in the article, I will focus on the discretionary aspect o ...
I wrote an article on the concept of 3-Day Advance Issues in the Futures magazine - Using market breadth in trading systems, in the January 2008 issue. As oppose to repeating what was written in the article, I will focus on the discretionary aspect o ...
