Sugestões para Sistemas

[JoaoAP]

Poderíamos colocar aqui algumas sugestões de sistemas.

Após uma leitura AQUI, onde o Zel refere o vtoreport, parece-me que se poderia deixar aqui algumas sugestões para implementar alguns sistemas.

Quem pudesse implementar e testar...
Ora após uma pesquisa pelo vtoreport, apesar de que li que ele crashou a determinada altura, parece-me que algumas ideias do sistema podem estar aqui na imagem em anexo.
Implementar o que está escrito na imagem mais abaixo.
...

[JoaoAP]

No fundo...:

3 Trading systems on the Q's

Posted by Rogerdodger, Feb 21 2006, 10:38 PM
LINK TO STOCKCHARTS I've picked these up (stolen) from others.
Two use the RSI primarily and the other uses STO and CCI.
Use them at your own risk.
I find them useful when used with other TA.
They show Q's but try them on other stuff.

RSI 2
BUY: 1. Above 200ma
2. 2-period RSI falls 3 days in a row
3. 1st day must be below 60
4. 2-period RSI is below 10 = BUY
5. Buy an additional unit if the 2-period RSI falls 5 days in a row
6. Exit at the close when the 2-period RSI closes above 75
SELL: 1. below 200ma
2. 2-period RSI rises 3 days in a row.
3.The first rising day (day #1) of the 2-period RSI must be above 40.
4. Today the 2-period RSI is above 90: SELL SHORT
5. Sell an additional unit if the 2-period RSI rises 5 days in a row
6. Exit at the close when the 2-period RSI closes below 25.
RSI 5
Buy the Nasdaq 100 Trust (QQQQ) when the 5-day Relative Strength Index (RSI) closes below 30.0.
Sell the Nasdaq 100 Trust (QQQQ) when the 5-day Relative Strength Index (RSI) closes above 50.0.
The Nasdaq 100 Trust is purchased during after-hours trading on the day the RSI buy signal is generated.
The Nasdaq 100 Trust is sold during after-hours trading on the day the RSI sell signal is generated.
The 5-day RSI strategy has a tendency to underperform the buy-and-hold strategy when the market is strong and outperform when the market is weak.
1997 to 2005 Results: NDX "Buy & Hold"up 76.2%, "5 day RSI" up 349.7%
1997 to 2006 Results: NDX "Buy & Hold"up 108.3%, "5 day RSI" up 381.8%
http://www.vtoreport.com/rsi.htm (Site now closed)


RSI 12 (Sorry, I can only show 2 indicator windows)
Bull Market Signal:
Buy #1: STO & CCI both turn up, unless RSI >70.
Buy #2: CCI turns up and STO below 20.
Sell: STO & CCI both turn down.
Bear Market Signal:
Sell #1: STO & CCI both turn down, Unless RSI<30.
Sell #2: CCI turns down and STO above 80.
Buy: STO & CCI both turn up.
NOTE RSI 12, CCI 10, STO 5,5

[JoaoAP]

Apesar de ser Mkting para comprar algo, podemos sempre ter em atenção as sugetsões que aqui estão.

Dear Friend,

If you're wanting to be a successful trader let me impress upon you the importance of back testing your system. I believe it to be one of the most critical steps in designing any trading system and here's why.

Dr. Van Tharp in "Trade Your Way To Financial Freedom" describes the 3 components of successful trading to be: the system, money management & your psychology. The only way I know to improve all 3 components is through backtesting.


David Jenyns Live
Here's how backtesting directly impacts each component:

1. The System: Backtesting allows you to find out if and how profitable your system truly is, even before you risk a cent. You can also test different variables to identify the most profitable combinations.

2. Money Managment: Backtesting allows you to discover which money management model works best for your system, further demonstrating the importance of having these rules in place.

3. Psychology: Backtesting is guaranteed to increase the confidence you have in your own system. Not only will you prove you're trading a winning system (making it easier to follow) but you'll have the metrics to back it up.

Backtesting really is what gives professional traders their edge! Sadly, even though it's most important, it's one of the least understood areas of trading.

Worse still, as I illustrated in my article "Upgrading Metastock", MetaStock just isn't up to the task of back testing your trading systems. Watch the video below to see what I mean.



With all that said and done, there is a solution and it is by far the best backtesting system I have ever seen. TradeSim is the first realistic true portfolio trading simulator and back tester available for Metastock.

I highly recommend you read all about it below!

All the best,



David Jenyns | Professional Trader, Author & Coach!
Co-author of the MetaStock Programming Study Guide

Back Testing Your System Is Critical!


By David Samborsky | Director of Compuvision - makers of TradeSim.

Whatever technical analysis criterion you use to trade with, be it moving averages, candle sticks, volatility breakouts, fibonacci retracements or any other trading system you have devised you're going to need to back test your trading system thoroughly and objectively in order to remove any possible doubt about it's capability.

To remove any self-doubt you need to thoroughly back test or simulate your trading system in such a way that it matches the conditions under which it will be traded. Once you have established that you have a reliable and robust trading system, only then will you be confident in trading your system.

The Importance of Back Testing

When trading what is the question in most traders’ mind? To answer this question I shall quote the introduction from Chapter 8 “Back Testing” of Mark Jurik’s book "Computerized Trading".

"Will my trading strategy be profitable? After having gone through the arduous process of crafting a trading strategy, this is the question you must ask yourself."

The ability to answer that question is the great promise that back testing holds out for all traders. A successful back testing procedure will greatly reduce the probability that you will begin trading with either an unprofitable strategy or one that does not meet your expectations. By adopting a sound and rigorous back testing approach, you will: -

 Pinpoint which approaches to the market that are likely to be successful and which ones are not.
 Generate good estimates of future performance for each trading strategy you test.
 Create a record of your trading strategy's historical trading performance.
 Produce data necessary for other components of your trading approach such as your asset allocation strategy.

Important Trading System Criteria

Profitability is not the only criteria by which a trading system should be evaluated. Drawdown and stress should equally be considered as well... for example, before you open a trading account:

- Are you satisfied that your system is reliably profitable?
- Will drawdowns wipe out your account?
- Is your system trading in a way you can tolerate?
- Can you tolerate long periods of no trading or too much trading?
- Can you tolerate a large string of losses?

The only way to answer these questions is to subject your trading system to extensive back testing.

Discover The Flaw In MetaStock’s Enhanced System Tester
Unfortunately MetaStock’s system tester leaves a lot to be desired when it comes to realistically and objectively testing the performance of a trading system.

Even though the Enhanced System Tester tests multiple securities in one batch, Metastock treats each security independently of the other. In other words, when Metastock tests the first security, it uses your predefined float and takes the trade over the test period selected. Once completed, it repeats the same process for the second security, using the same initial float, with no reference to the first securities traded.

The consequence of this type of testing is that you receive the same result as you would if you simply tested each security individually and added the results together. Not only is this process dreadfully slow, but the question of the performance of the trading system still goes unanswered. The trader then has to trade the system with a lack of confidence and a certain amount of self-doubt.

Lack of Confidence

Lack of confidence usually forces traders to question their own trading systems with a temptation to continually modify it with devastating consequences. This temptation is usually spawned by a string of losing trades or an opportunity to replace their trading system with a whiz bang indicator that was talked about on a traders chat forum which seems like the answer to all traders prayers.

Anything that sounds too good to be true will attract the attention of a trader who is not satisfied with their own trading system simply because they have not properly tested their system in the first place and have not built up the necessary confidence needed to successfully trade it.

In the end these negative subconscious thoughts will only hinder and destroy your ability to trade successfully. To improve your confidence in your trading system you need to thoroughly and objectively back test it - simple as that! Only then will you be confident enough to commit time and money to it!

The Trader's Dilemma

How can we test how a trading system will perform over a period of time when trading an arbitrary group of securities?

Introducing TradeSim...

TradeSim is the first realistic true trading simulator/analyzer for Metastock that can quickly back-test and evaluate a trading system across a portfolio of securities. With its powerful data processing capabilities TradeSim can evaluate the historic performance of a given trading system within a matter of minutes and do it with a realistic representation of a real-life trading scenario. Whether a single security or a multiple security portfolio, TradeSim answers the simple question: -

"What would have happened if this system had been traded in the past using an arbitrary portfolio of securities?"

Sounds simple - but it is extremely complex if not impossible to do with Metastock as it stands. However, with TradeSim it is just a simple matter of running a Metastock exploration on a portfolio of securities using your own set of indicators. When the exploration has finished you just simply run TradeSim and analyse the resulting trade data.
...

If you're interested in purchasing TradeSim now Click Here

[JoaoAP]

Deve ser um bom sistema, mas este não deve ser fácil de implementar:

http://www.thinkfn.com/forumbolsaforex/index.php/topic,47.msg10735.html#msg10735

http://www.thinkfn.com/forumbolsaforex/index.php/topic,47.msg10742.html#msg10742

Algumas ideias no pdf em cima podem primeiro ler em:
http://www.thinkfn.com/forumbolsaforex/index.php/topic,454.msg7704.html#msg7704  (ZACKS_ Ranking - Europa.pdf)
Também ler nesse tópico:
Growth Stocks.htm
Trading Ideas Filtradas por sistemas automaticos.htm

etc...

Feito em Excel e dados, aqui mais crítico, segundo o Rs_trader vai à Bloomberg.

[JoaoAP]

Fórmulas free para metastock:
http://www.tradingstrategies.net.au/list_formulae.php

[JoaoAP]

Os dados para implementar um sistema são críticos.
Os free: finance.yahoo.com e podem facilmente exportar para Excel.

Quem conhecer outros sites para fornecer dados, a bom preço, deixem aqui.
Para dados fundamentais é mais complicado conseguimos dados a bom preço.
Mas podem sempre conhecer alguém que forneça para testes e depois logo decidem se devem pagar ou não. Ou a partir de certa data podem manualmente colocá-los na base de dados ou usar um sricpt para retirar dados da SEC a partir da apresentação das empresas.

Exemplo para cosneguir alguns dados free (exemplo para a ICE), mas não de forma automática...:
http://money.cnn.com/quote/financials/financials.html?symb=ICE
http://www.bloomberg.com/quote/ICE:US

[JoaoAP]

A terminar uma pesquisa encontrei este site.
Esperando que não feche.
sistemas de negociação e estratégias
http://sanvangonline.com.vn/archive/index.php/f-10.html?s=4980642b34d4ce55a5305413c1ed36f9  (traduzido...)
Se alguém achar algo interessante deixe aqui.
Mesmo um cópia da tradução para cá de algo que considerem importante, copiem.

Criando um sistema de comércio
http://sanvangonline.com.vn/archive/index.php/f-18.html?s=4980642b34d4ce55a5305413c1ed36f9

Vale a pena ler o que está em cima!
O chrome depois de clicarem, diz se querem traduzir ou não.

[JoaoAP]

Um site para ler. Em especial artigos mais antigos:
http://www.automated-trading-system.com/

[Gama]

Excel VBA, Trading, Technical Indicators, Quantitative Methods
http://finance4traders.blogspot.pt/

Útil para programar alguns indicadores e não só.

[Gama]

Tinha aqui guardado duas sugestões do Cem. Penso que foi alguém que deixou no fórum anterior. De qq forma deve ter sido retirado do Caldeirao.
Mas como qq bom sistema, sem um bom money managment a maioria dos sistemas craham a conta facilmente. Fica tb do Cem, um sugestão sobre o assunto.

[Zel]

porque nao fazer os backtest destes sistemas? alguem fez?

[consultaqui]

Bom dia a todos, eu pessoalmente uso metatrader e para me auxiliar na escolha de estratégias e combinação das mesmas, para efetuar backtest uso este software gratis http://www.mqlsoft.com/download/reportmanager.

Assim consigo organizar-me e saber o comportamento do bolo de estratégias, podendo inclusivamente adicionar o nr de estrategias e nr de pares.

Pessoalmente combino estrategia de break out 2 variações e estratégia de retracement.

Um exemplo de 12 anos e qualquer coisa.

Initial deposit: 5000.00€    Total net profit: 9288.78€
Maximal drawdown: -391.94€ Total trades: 10898
Short positions (won %)5174 (45.419%) Long positions (won %)5724 (46.506%)
Profit trades (% of total)5012 (45.99%)Loss trades (% of total)5886 (54.01%)
Maximum consecutive wins (profit in money) 285.34€
Maximum consecutive losses (loss in money )-96.90€
Maximal consecutive profit (count of wins) 484.22 €
Maximal consecutive loss (count of losses) -143.64 €

Estes valores são sem gestão do risco, lote fixo 0.01lote.

Bons trades a todos.

[Zel]

a minha sugestao para a maioria de voces e' que desistam do trading e que se concentrem em tactical asset allocation / dynamic asset allocation

fazem 15% ao ano e gastam melhor o tempo

eu proprio vou acabar por fazer isso pois da mais liberdade e eu quero viajar

[zAPPa]

a minha sugestao para a maioria de voces e' que desistam do trading e que se concentrem em tactical asset allocation / dynamic asset allocation

fazem 15% ao ano e gastam melhor o tempo

eu proprio vou acabar por fazer isso pois da mais liberdade e eu quero viajar

Se for uns 12% já é bem bom.

[JoaoAP]

Estive a pesquisar por alguns livros mais básicos, etc... e encontrei esta série:
"Algorithmic Trading - Algorithmic Trading Strategies"
http://www.amazon.com/Algorithmic-Trading-Strategies-Bootstrapping-ebook/dp/B007C4IAAY

Parece-me ter aquilo que se precisa: do simples ao mais complexo.
Alguém conhece, recomende?
Alguém consegue ... por exemplo o Volume 32, etc...

[Zel]

nao conheco 

recomendo um outro
http://www.amazon.com/Encyclopedia-Technical-Market-Indicators-Second/dp/0070120579/ref=sr_1_1?s=books&ie=UTF8&qid=1349921947&sr=1-1&keywords=indicators+encyclopedia

[frugal]

a minha sugestao para a maioria de voces e' que desistam do trading e que se concentrem em tactical asset allocation / dynamic asset allocation

fazem 15% ao ano e gastam melhor o tempo

eu proprio vou acabar por fazer isso pois da mais liberdade e eu quero viajar

de um livro de investimento que li diz o autor que em dezenas de anos de vida nos mercados nunca viu ninguém enriquecer de market timing

cumprimentos

[zAPPa]

a minha sugestao para a maioria de voces e' que desistam do trading e que se concentrem em tactical asset allocation / dynamic asset allocation

fazem 15% ao ano e gastam melhor o tempo

eu proprio vou acabar por fazer isso pois da mais liberdade e eu quero viajar

de um livro de investimento que li diz o autor que em dezenas de anos de vida nos mercados nunca viu ninguém enriquecer de market timing

cumprimentos

O autor tem de alargar os seus horizontes. São poucos, a "enriquecer de market timing", mas existem.

[rs_trader]

Estive a pesquisar por alguns livros mais básicos, etc... e encontrei esta série:
"Algorithmic Trading - Algorithmic Trading Strategies"
http://www.amazon.com/Algorithmic-Trading-Strategies-Bootstrapping-ebook/dp/B007C4IAAY

Parece-me ter aquilo que se precisa: do simples ao mais complexo.
Alguém conhece, recomende?
Alguém consegue ... por exemplo o Volume 32, etc...

[JoaoAP]

Obrigado.
Se encontrares outros volumes que sejam fundamentais dominar...