Citação de: Guloso em 2013-09-16 12:11:25Citação de: Neo-Liberal em 2013-09-15 18:58:26alguem experimentou o quantshare? o que acharam ?Fiz o trial. Fiquei bem impressionado. Mas ainda não mudei. Requer um consideravel investimento de tempo, que de momento não tenho.qual eh o que usas agora?
Citação de: Neo-Liberal em 2013-09-15 18:58:26alguem experimentou o quantshare? o que acharam ?Fiz o trial. Fiquei bem impressionado. Mas ainda não mudei. Requer um consideravel investimento de tempo, que de momento não tenho.
alguem experimentou o quantshare? o que acharam ?
Sempre longo no overnight e sempre curto no intraday.
Here is a capsule of How to design a Profitable Trading System:· observe market inefficiency to exploit (lots of reading, research and watching markets/charts)· quantify how to exploit the inefficiency· create exact rules for entries and exits· determine inputs needed and whether they will be fixed, adjust to market, or be re-optimized on a periodic walk-forward basis.· write the strategy code (and/or indicator for visualization) and apply to a chart of out of sample data. this data could be from a symbol you never plan to trade, or from 15 years ago on the symbol you do want to trade, or for the past 30 days knowing this period will never be valid for testing results (I many times use this period when I'm testing something I've noticed in the charts). All of this is to ensure you have the strategy coded correctly, AND you are not using data you are going to test on.· determine measure(s) of strategy being successful (net profit, profit/drawdown ratio, expectancy, sharpe ratio, average trade net profit, etc.)· determine commission and slippage needed for accurate results and be conservative. For example, say your round-turn commission is $4.70 and you expect less than a tick slippage each side (entry and exit), I would use $5 for commission and 1 tick slippage each side).· test on in-sample data and DO NOT test on out-of-sample data. For example, say you are testing a strategy on the ES (S&P 500 emini futures), you could use 1998-2003 for in-sample. If the strategy fails here YOU ARE DONE with this strategy - move on to the next one. Or maybe adjust the strategy rules a little bit and determine the method for re-optimizing some of the parameters going forward.· walk-forward test the strategy on a portion of the next data (2004-2006 in our example). If the strategy fails here YOU ARE DONE with this strategy - move on to the next one. Seriously! If you keep tweaking you are just over-fitting and you will not get real-time results that are similar to the backtest.· if the strategy has passed all measures to this point then you might have something (yes I'm saying there is a chance ;-) the odds are still against us) AND everything about the strategy is finalized (no more tweaks!), then you can walk-forward on your pure out-of-sample data. This is it, the last straw, if it works it works, if it doesn't it doesn't. You can't go back! Put your seat belt on, hope for the best, and be ready to be completely disappointed.· if this is the 1 of 100 (or 1000) that passes all the testing, then test it live (in simulation or small amount of real money) to make sure code is correct for live (real!) trading.· once satisfied it is working correctly then determine your position sizing based on your risk control (topic for another day) and start trading with real money.· monitor your trading based on the measures you originally created and STOP trading the system when it fails to pass these measures.· now start over with your next strategy....
Bom dia, alguém disponível para testar um sistema para o S&P 500 com dois indicadores e para entrar apenas longo, coisa muito simples, mas com bom aspecto, ou no mínimo fazer um backteste?
Citação de: Mancha em 2014-09-21 11:18:31Bom dia, alguém disponível para testar um sistema para o S&P 500 com dois indicadores e para entrar apenas longo, coisa muito simples, mas com bom aspecto, ou no mínimo fazer um backteste?barras diarias? posso fazer isso, manda pm ou coloca aqui as regras
Citação de: Neo-Liberal em 2014-09-21 12:23:38Citação de: Mancha em 2014-09-21 11:18:31Bom dia, alguém disponível para testar um sistema para o S&P 500 com dois indicadores e para entrar apenas longo, coisa muito simples, mas com bom aspecto, ou no mínimo fazer um backteste?barras diarias? posso fazer isso, manda pm ou coloca aqui as regrasEstou bloqueado, não aceitas a minha msg privada
Citação de: Mancha em 2014-09-21 12:43:32Citação de: Neo-Liberal em 2014-09-21 12:23:38Citação de: Mancha em 2014-09-21 11:18:31Bom dia, alguém disponível para testar um sistema para o S&P 500 com dois indicadores e para entrar apenas longo, coisa muito simples, mas com bom aspecto, ou no mínimo fazer um backteste?barras diarias? posso fazer isso, manda pm ou coloca aqui as regrasEstou bloqueado, não aceitas a minha msg privada ja deve funcionar
