Sugestões para Sistemas

[Automek]

mas ja viste o preco?

Já, por isso é que nunca o experimentei, sequer.
O Multicharts na altura experimentei-o apesar de ser caro porque têm uma versão free (mas as limitações são tantas que nem vale a pena).

[Zel]

penso que o tradersstudio e a trading blox tambêm têm multiple frame

bem...tenho agora além dos dois referidos o amibroker e o quant share graças ao Neo
obrigado "capitalist pig" 

agora é cruzar os atributos (onde as análises/simulações multi e a linguagem de programação têm ponderação acrescida) com os preços, pesquisar atentamente umas reviews (parece-me haver umas boas no elite trader) e apurar o vencedor

o traderstudio eh super lento, se quiseres fazer optimizacoes demora 20x mais do que o amibroker (sem exageros), a sua utilizacao principal eh para auto-trading

[Lucky Luke]

o amibroker tem money management totalmente programável ?

[Zel]

o amibroker tem money management totalmente programável ?

para coisas mais complicadas nunca senti nenhuma limitacao embora possa ser confuso inicialmente e nao ha bons exemplos para seguir, tive de aprender sozinho

[Zel]

o quantshare tem montecarlo, muito fixe

eh sem duvida o melhor negocio que ja vi, comprei hoje

[Lucky Luke]

aproveito este espaço para pôr à vossa consideração e opinião a seguinte "polémica"

existe uma corrente de trading automático que acha que os sinais devem ser filtrados pelo trader pois este consegue perceber melhor que a máquina qual a interpretação do gráfico e momento do mercado

existe outra corrente de sistema automático que acha que o melhor a fazer é seguir todos os sinais pois só assim se fará a réplica dos resultados apurados pelos back testings

por qual alinham ?

[Lucky Luke]

Essa é a diferença entre um sistema automático e um discricionário, e só em situações muito raras ou anormais é que se justifica a intervenção humana num sistema automatizado.

I am all for the machine... let it do the dull routine!


O mundo da realidade tem limites. O mundo da imaginação não tem fronteiras. - Jean-Jacques Rousseau

tudo bem...até posso concordar contigo no que respeita aos sinais mas e a colocação de stops, por exemplo, perto duma resistência ou suporte ou outra acção que implique reconhecimento de padrões gráficos....aqui uma mente humana experiente não poderá fazer melhor trabalho que uma máquina ?

[JoaoAP]

A minha experiência diz, para quem não tem tempo para estudar todos os dias, que deve ser TUDO automático.
A nossa mente no discricionário não pode estar cansada por isto ou por aquilo... etc... já me aconteceu... que olhava e não estava a ver... aquela resistência... devido ao cansaço... no automático estes problemas são minimizados...

Mas fazer experiências e mais experiências ... tem de ser pelo menos 2 anos em papertrade... seja automático ou não...
ou então seguir o Apollo ou outro...

mesmo no automático (tem de se ir testando...) de repente algo que funcionou durante  5 anos ... deixou de funcionar... e temos de adapatar as estratégias... sistemas ... etc...

[Asgard]

9:29 NY
oil -1%
spy +0.5%
compra UAL, DAL, LCC MOO(Market On Open)
take profit >0.40$
stop loss <0.15$
0.5-5 minutes trade
funciona.

[JoaoAP]

o quantshare tem montecarlo, muito fixe

eh sem duvida o melhor negocio que ja vi, comprei hoje

Hoje decidi fazer o trial.
Aquilo é bom, mas temos de perder muito tempo... aprendendo e fazendo.
Mas tem capacidades que ficam a léguas de muitos outros.

Mas parece não haver muitas pessoas a "falar" dele... o que achas?
Facilmente referem Meta, TradeStation, MultiCharts, Amibroker, Esignal, Ninja, ..e não este.

Para o quantshare onde vais buscar dados? Subscreveste algo?

[Zel]

uso os dados gratuitos do quantshare, nao faltam

tambem podes usar a IB para intraday gratuitamente com o quantshare

as pessoas nao falam dele mas eh muito melhor do que qs tudo o que anda por ai menos os super caros, o mercado nao eh eficiente 

[JoaoAP]

Kaeppel's Corner: The Greatest Gold Stock System You'll Probably Never Use

By Jay Kaeppel, Optionetics.com | Wed November 28, 2012 12:27PM PT

One of the great paradoxes of trading success is:

A) the need to develop a “method” (roughly defined as an entry and exit timing technique and some attendant money management and risk control measures in place) that has a realistic probability of making money in real time over the long run.

B) the need to avoid messing up the result of A by endlessly “tinkering” with it.

For many individuals this roughly equates analogy wise to either:

A) Wandering in the desert for 40 years.

B) Swerving endlessly from one lane to the next to try to get ahead.

For even once a trader ultimately settles on a winning approach there is always this haunting feeling that there is “something better” out there somewhere.  So there is a tendency to not “leave well enough alone.”  As a person who has unofficially tested approximately 10,362,123 trading systems (although that number seems a little low) all I can say is “trust me on this one.”  This by the way is a mistake.  More on this in a moment.

 

Logic Mistakes

For those new to the method development game there are also the inevitable “logic mistakes”.  Typically this is uncovered by the fact that you run a simulation of your newly devised trading system and it makes more money than you could ever dream of making.  After you allow the initial rush of euphoria to wash over you for just a few seconds you eventually find yourself saying something that involves “bad words.”  For you come to the grim realization that there is some flaw in your trading logic that improves results on paper that you could not actually experience in the real world (I hate that part).

Logic mistakes take many forms but as a youngster my favorite was writing a system so that it would allow you to buy or sell at yesterdays open after you see what happens in the market today.  Works fantastically well in back-testing.  Not so much in walk forward.

So what follows is my advice in terms of devising and settling on a trading “method.”

 

The Proper Way to Update an Existing Method

Step #1. Do whatever work you have to do to settle on something that you are comfortable using (i.e., when it gives a signal you actually follow it) and start putting it to use.

Step #2. DO NOT TINKER!!  As time goes by and you learn new things you will be tempted to retest things and see how your newfound knowledge might help or hinder performance.  That’s fine.  Set up a set interval for considering changes to your existing method. 

For example, once a month or once a quarter, etc.  But – repeating now – DO NOT TINKER with your method day in and day out.  If you are constantly tinkering with a method then you will never quite feel settled with it and sooner or later you will start to second guess things when you should simply be placing orders.

 

A Method for Trading GDX – Maybe?

So in the title of this week’s piece I mentioned a “great system” for trading ticker GDX, but also suggested that you will probably never use it.  What the heck is that all about?  Well, I read something recently by Laurence Connors and he pointed out the fact that over some given period of time the S&P 500 has gained far more from each daily close to the next day’s open than from each day’s open to that day’s close.

To state it more clearly, if you bought at the close every single trading day and sold at the next trading days open you would have made more than if every single trading day you bought at the open and sold at the close.  This of course seems somewhat counterintuitive since many traders are sort of preprogrammed to believe that holding a position “overnight” is far riskier than hold a position “intraday” and “exiting by the close.”

So somehow – must have been the end of a month – I tested this idea using ticker GDX, the exchange-traded fund that tracks the price of gold stocks.

The results were, well, “interesting”.

 

The GDX LC Method

Since I got the idea from Laurence Connors I’ll use his initials here in naming this method (although in all candor if it somehow becomes super popular I will undoubtedly change it from LC back to JK – sorry, it’s just my nature).  Ticker GDX started trading on 5/22/2006.

Test #1:

Buy 100 shares of GDX at the close of trading each and every single trading day.  Sell those shares at the open of the following trading day.

Test #2:

Buy 100 shares of GDX at the open each and every single trading day.  Sell those shares at the close of trading the same day.

The results appear in Figure 1.



Figure 1 - $’s gained using Test #1 (blue line) versus $’s lost using Test #2 (May 2006-Present)

 

The blue line in Figure 1 displays the dollars gained by buying GDX at the close each day and selling it at the following open.

The red line in Figure 2 displays the dollars lost by buying GDX at the open each day and selling at the close of that day.

For the record:

-The method of buying at the close and selling at the next open gained $12,154.

-The method of buying at the open and selling at the same day’s close lost -$11,131.

So to go one step further, Test #3 works as follows:

Step #1 - Day #1: Buy 100 shares of GDX each day at the close.

Step #2 - Every subsequent day: Sell short 200 shares of GDX each day at the open and then buy 200 shares of GDX at the close.

Repeat Step #2 ad infinitum.

The results of this method (long GDX overnight and short GDX intraday) appear in Figure 2.

 

Figure 2 – Long GDX at the close, short GDX at the open, repeat (100 shares since May 2006)

 

Summary

So who’s ready to sign on and start trading?  That’s kind off what I figured.  There are a few things to ponder here.  First off is the obvious fact that the results shown here do not take slippage or commissions into consideration. Obviously I you are paying commissions of any meaningful amount the results would deteriorate quickly due to the frequency of trading.

Secondly – and repeating now – this method is counterintuitive to what most traders are taught to think – that “overnight risk” is “bad” but intraday risk is OK.

So despite the compelling results as a standalone method this is something of “You First” method, as in, “you try it first and let me know how it works.”

The real lessons here may be:

-There can be an advantage to looking at things that seem counterintuitive for they represent ideas that most people are not looking at or considering.  If you are looking for an “edge” does it make more sense to look, a) where most people are looking, or b) not.

-The particular “raw” system that I detailed here may be a good starting point for some further tinkering.

Of course, I’ll have to wait until the end of the month.  My “No Tinkering Today” sign is up.

Jay Kaeppel

Staff Writer and Trading Strategist

Optionetics.com ~ Your Options Education Site

Testem lá...
Que raio de ideia!!
E adaptar para outros...

[JoaoAP]

E esta:

This is a variation of Jay Kaeppel's post at optionetics but using some extra ETFs that have exhibited the same kind of behavior. Original article: http://www.optionetics.com/market/articles/2012/11/28/kaeppels-corner-the-greatest-gold-stock-system-youll-probably-never-use

It buys equal amounts of each of these 6 etfs: WOOD,GDX,EPU,IDX,PALL,JJG.
It buys on the close of the U.S.session, holds overnight and sells on the open the next day.
That's it.

Would you invest in this strategy?

E fico-me por aqui ... por uns tempos! Bons testes!

[Lucky Luke]

Kaeppel's Corner: The Greatest Gold Stock System You'll Probably Never Use

By Jay Kaeppel, Optionetics.com | Wed November 28, 2012 12:27PM PT

One of the great paradoxes of trading success is:

A) the need to develop a “method” (roughly defined as an entry and exit timing technique and some attendant money management and risk control measures in place) that has a realistic probability of making money in real time over the long run.

B) the need to avoid messing up the result of A by endlessly “tinkering” with it.

For many individuals this roughly equates analogy wise to either:

A) Wandering in the desert for 40 years.

B) Swerving endlessly from one lane to the next to try to get ahead.

For even once a trader ultimately settles on a winning approach there is always this haunting feeling that there is “something better” out there somewhere.  So there is a tendency to not “leave well enough alone.”  As a person who has unofficially tested approximately 10,362,123 trading systems (although that number seems a little low) all I can say is “trust me on this one.”  This by the way is a mistake.  More on this in a moment.

 

Logic Mistakes

For those new to the method development game there are also the inevitable “logic mistakes”.  Typically this is uncovered by the fact that you run a simulation of your newly devised trading system and it makes more money than you could ever dream of making.  After you allow the initial rush of euphoria to wash over you for just a few seconds you eventually find yourself saying something that involves “bad words.”  For you come to the grim realization that there is some flaw in your trading logic that improves results on paper that you could not actually experience in the real world (I hate that part).

Logic mistakes take many forms but as a youngster my favorite was writing a system so that it would allow you to buy or sell at yesterdays open after you see what happens in the market today.  Works fantastically well in back-testing.  Not so much in walk forward.

So what follows is my advice in terms of devising and settling on a trading “method.”

 

The Proper Way to Update an Existing Method

Step #1. Do whatever work you have to do to settle on something that you are comfortable using (i.e., when it gives a signal you actually follow it) and start putting it to use.

Step #2. DO NOT TINKER!!  As time goes by and you learn new things you will be tempted to retest things and see how your newfound knowledge might help or hinder performance.  That’s fine.  Set up a set interval for considering changes to your existing method. 

For example, once a month or once a quarter, etc.  But – repeating now – DO NOT TINKER with your method day in and day out.  If you are constantly tinkering with a method then you will never quite feel settled with it and sooner or later you will start to second guess things when you should simply be placing orders.

 

A Method for Trading GDX – Maybe?

So in the title of this week’s piece I mentioned a “great system” for trading ticker GDX, but also suggested that you will probably never use it.  What the heck is that all about?  Well, I read something recently by Laurence Connors and he pointed out the fact that over some given period of time the S&P 500 has gained far more from each daily close to the next day’s open than from each day’s open to that day’s close.

To state it more clearly, if you bought at the close every single trading day and sold at the next trading days open you would have made more than if every single trading day you bought at the open and sold at the close.  This of course seems somewhat counterintuitive since many traders are sort of preprogrammed to believe that holding a position “overnight” is far riskier than hold a position “intraday” and “exiting by the close.”

So somehow – must have been the end of a month – I tested this idea using ticker GDX, the exchange-traded fund that tracks the price of gold stocks.

The results were, well, “interesting”.

 

The GDX LC Method

Since I got the idea from Laurence Connors I’ll use his initials here in naming this method (although in all candor if it somehow becomes super popular I will undoubtedly change it from LC back to JK – sorry, it’s just my nature).  Ticker GDX started trading on 5/22/2006.

Test #1:

Buy 100 shares of GDX at the close of trading each and every single trading day.  Sell those shares at the open of the following trading day.

Test #2:

Buy 100 shares of GDX at the open each and every single trading day.  Sell those shares at the close of trading the same day.

The results appear in Figure 1.



Figure 1 - $’s gained using Test #1 (blue line) versus $’s lost using Test #2 (May 2006-Present)

 

The blue line in Figure 1 displays the dollars gained by buying GDX at the close each day and selling it at the following open.

The red line in Figure 2 displays the dollars lost by buying GDX at the open each day and selling at the close of that day.

For the record:

-The method of buying at the close and selling at the next open gained $12,154.

-The method of buying at the open and selling at the same day’s close lost -$11,131.

So to go one step further, Test #3 works as follows:

Step #1 - Day #1: Buy 100 shares of GDX each day at the close.

Step #2 - Every subsequent day: Sell short 200 shares of GDX each day at the open and then buy 200 shares of GDX at the close.

Repeat Step #2 ad infinitum.

The results of this method (long GDX overnight and short GDX intraday) appear in Figure 2.

 

Figure 2 – Long GDX at the close, short GDX at the open, repeat (100 shares since May 2006)

 

Summary

So who’s ready to sign on and start trading?  That’s kind off what I figured.  There are a few things to ponder here.  First off is the obvious fact that the results shown here do not take slippage or commissions into consideration. Obviously I you are paying commissions of any meaningful amount the results would deteriorate quickly due to the frequency of trading.

Secondly – and repeating now – this method is counterintuitive to what most traders are taught to think – that “overnight risk” is “bad” but intraday risk is OK.

So despite the compelling results as a standalone method this is something of “You First” method, as in, “you try it first and let me know how it works.”

The real lessons here may be:

-There can be an advantage to looking at things that seem counterintuitive for they represent ideas that most people are not looking at or considering.  If you are looking for an “edge” does it make more sense to look, a) where most people are looking, or b) not.

-The particular “raw” system that I detailed here may be a good starting point for some further tinkering.

Of course, I’ll have to wait until the end of the month.  My “No Tinkering Today” sign is up.

Jay Kaeppel

Staff Writer and Trading Strategist

Optionetics.com ~ Your Options Education Site

Testem lá...
Que raio de ideia!!
E adaptar para outros...

parece-me algo terrivelmente exposto a slippage e o slippage é algo que embora incontornável eu fugirei sempre como o diabo da cruz porque muito dificilmente o consegues quantificar para o incorporares nas contas dum sistema. o slippage é um dos motivos porque muito dificilmente eu algum dia terei um sistema que me dê como resultado muitos trades pois é em sistemas de daytrading ou de time frames muito curtos que estás mais exposto a slippage

[JoaoAP]

Tens razão no slippage , mas mais para Daytrading. A minha abordagem não é  Daytrading.
E talvez mais no Forex, não?

[Zel]

alguem experimentou o quantshare? o que acharam ?

[Lucky Luke]

alguem experimentou o quantshare? o que acharam ?

ainda não tive tempo para me debruçar sobre isso
e tu, continuas adepto ?

[Zel]

sim, a linguagem tem la coisas mais poderosas que o amibroker

[Guloso]

alguem 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.

[Zel]

alguem 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?