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
Lunar Cycle - Long Only Model 
I have one of my guys worked on this and here is the result of a trading system based on lunar cycle that looks like it works. ...
I have one of my guys worked on this and here is the result of a trading system based on lunar cycle that looks like it works. ...
Impact of Quantitative Easing on Stock Market Indices
Everyone on the street talks about Quantitative Erasing and that it is messing up the markets, causing inflations, etc. Can we really identify the characteristic change in the S&P that distinctly separate its behaviour from its normal self, or, is th ...
Everyone on the street talks about Quantitative Erasing and that it is messing up the markets, causing inflations, etc. Can we really identify the characteristic change in the S&P that distinctly separate its behaviour from its normal self, or, is th ...
Misunderstanding of Trading System Designs
Most retail traders misunderstand that trading systems are created by ad hoc grinding in trying out all kinds of rules to see if a system is profitable (or whatever metric you like to use as the performance yardstick). Here is a short summary of the ...
Most retail traders misunderstand that trading systems are created by ad hoc grinding in trying out all kinds of rules to see if a system is profitable (or whatever metric you like to use as the performance yardstick). Here is a short summary of the ...
Black Swan 2 - A Simple End of Day ETF Strategy That Works
Some time ago I wrote an article titled The Black Swan that explains the fundamental problem with buy-and-hold strategy when applied onto stock market. This time we are going to take a look at the first of several strategies that can beat buy-and-hold strategy hands down in terms of better risk control and capital deployment.
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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 ...
Trading with Tick Index: S&P 500 Tick16
I wrote an article in the Futures magazine some time ago on S&P 500 Tick16 Index and a basic daytrading system that exploit the statistical bias on the index. Here is some supplement information about the concepts. What is S&P Tick16 Index? The ...
I wrote an article in the Futures magazine some time ago on S&P 500 Tick16 Index and a basic daytrading system that exploit the statistical bias on the index. Here is some supplement information about the concepts. What is S&P Tick16 Index? The ...
Basic Consensus System - Performance Review
Here is an update on the performance of the Basic Consensus System. As you can see, there is a mild drawdown period during 2006. After that, the system has been performing very well. ...
Here is an update on the performance of the Basic Consensus System. As you can see, there is a mild drawdown period during 2006. After that, the system has been performing very well. ...
Studying Your Data Across All Bar Sizes
Have you ever wonder why you like to use 5-minute bars to trade something, and then, all of a sudden, switch into another time frame like 15-minute bar to monitor another instrument. Why we somehow have different level of comfortability with differen ...
Have you ever wonder why you like to use 5-minute bars to trade something, and then, all of a sudden, switch into another time frame like 15-minute bar to monitor another instrument. Why we somehow have different level of comfortability with differen ...
The 10 Year Challenge on Index Future Trading Systems
Going through a chart of the past 10 to 12 years in Emini S&P, I cannot help thinking if there is a trading model that can work well throughout the whole period of time with reasonable draw down and good performance year after year. There was ...
Going through a chart of the past 10 to 12 years in Emini S&P, I cannot help thinking if there is a trading model that can work well throughout the whole period of time with reasonable draw down and good performance year after year. There was ...
S&P 500 Daily Breadth Monitor Explained
The daily chart updates showcase the power of real-time custom breadth data. The custom breadth data showing in the chart have specific characteristics that can help a trader read the market more efficiently. Following is a sample of the chart. ...
The daily chart updates showcase the power of real-time custom breadth data. The custom breadth data showing in the chart have specific characteristics that can help a trader read the market more efficiently. Following is a sample of the chart. ...
