Tag Archives: SMA

Can you combine SMA and support resistance to time your trading positions

Can you combine SMA and support resistance to time your trading positions

To save you 12 minutes, I try to use SMA and support & resistance for a combo for day trading forex. Got a combo, let me know

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NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Important Videos Coming: R source code for SMA system, Manage position size, Optimize parameters, plot performance metric

Hi there,

Due to popular demand, I’m doing a second quant trading video posting featuring crucial R scripts you need in your HFT (and other quant) trading arsenal. Altogether, it’s composed of R sample scripts and the source PDF with a 25 minute video presentation too.

The most recent posting covers portfolios, statistics and strategy creation and execution. This one gets into finer details including how to:

1. Apply a strategy
2. Update a current portfolio
3. Plot moving average crossover performance
4. Manage position size
5. Plot fixed dollar moving average crossover performance
6. Show strategy transactions
7. Plot average crossover with percent equity entries
8. Pass parameters at the time of application
9. Plot an X month simple moving average system
10. Optimize parameters and plot performance metric

It’s all covered in this free video posting. And as before, this is available to the public only once.

Good trading,
Bryan

P.S. The videos recording will be permanently available to Premium Members
only. Ensure your long-term access to all Premium materials now:

==> http://quantlabs.net/dlg/sell.php?prodData=m%2C3 <==

View more Membership benefits here:

==> http://quantlabs.net/quant-member-benefits/ <==

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

New R coding strategies posted from portfolio analysis with SMA, strategy building, stats, plots, performance, returns!

New R coding strategies posted from portfolio analysis with SMA, strategy building, stats, plots, performance, returns!

Hi there,

I have posted an important set of videos and R code that does the following.

I’m covering all aspects of quant trading including complete workflow to build strategy, plot, P&L, rules, indicators, signals, portfolio summaries, and trade/signal statistics. And yes, this material is very applicable to HFT if you’re keen to get started on that!

This demo will contain the following segments:

Getting Started:

* create a portfolio and account
* create your buy-sell rules from potential short/long positions to exit positions
* initialize your set of orders
* create a new strategy and add a potential indicator, rule and signal to it
* plot a simple moving average

Making It Happen:

* execute the strategy
* update the P&L and resulting equity
* plot your performance and a portfolio summary time series
* compute return and trade statistics

Join our membership now while it is still affordable. Presentations like this alone are worth thousands each while there are so many benefits to being a QuantLabs.net Premium Member as well.

==>http://quantlabs.net/dlg/sell.php?prodData=m%2C3<==

View more Membership benefits here:

==>http://quantlabs.net/quant-member-benefits/<==

Good trading,
Bryan

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

R source code for trading script with update portfolio, position size, MA, cross over, SMA, optimize parameters

R source code for trading script with update portfolio, position size, MA, cross over, SMA, optimize parameters

 

This will be a webinar part 2 based on part 1 including the same steps as at:

Webinar with R trading with complete workflow to build strategy, plot, P&L, rules, indicator, signal, portfolio summary ,trade signal stats

In addition, I will show:
1.    How to apply a strategy
2.    How to update a current portfolio
3.    Plot moving average crossover performance
4.    Position size
5.    Plot fixed dollar moving average crossover performance
6.    Show strategy transactions
7.    Plot average crossover with percent equity entries
8.    Passing parameters at apply time
9.    Plot an X month simple moving average system
10.    Optimize parameters and plot performance metric

Be on the lookout for this strategy as we will announce the demo date via email to to the public. It will be very limited as it will only be demonstrated once. After that, it will only be available to our Premium Members.
UPDATE: There will be 3 separate webinars for each part to be demoed.

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Aren’t those simple SMA crosses not history yet?

Aren’t those simple SMA crosses not history yet?

I was really surprised after testing some basic building blocks for strategies (arbitrary crosses for signal purposes) and firsts results confused me totally.

What’s wrong with these, not even over curve fitted!
First run for 1Y and same for 3Y and still same results. (that was the surprise part)
What are those Crude Oil traders doing? Is oil so simple to trade with basic TA?

Here you have the fresh ecuity qurve in my hobby site:
http://www.facebook.com/photo.php?fbid=347444891951846&set=a.347444185285250.95135.289803571049312&type=3&theater
(http://www.facebook.com/pvoodoo if previous does not work)

 

Is that a long only strategy, or always in? Add a volatility stop, position sizing logic, pyramid entries for a few entries per stock and retest. Find another asset or 2 to build a trading portfolio

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By the way, a simple moving average cross can indeed be curve fitted. Careful…

 

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Mostly allways in (exit on close one start new secuence every day), long or short. no real logic, only one simple cross, 1200 trades. It didn’t work “so well” against other assets. Although nice 1 year curves OK and traditional curve fitting syndrome was possible to see but not with CL and CL had the best results originally. So this might be pure random but I have to check this more … ( and start to trade oil instead of index futures).

(BTW: I try to put some info to site http://pvoodoo.com/Images/Images.html as well)

 

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there is no “easy market”.
Although the chart looks great, there are some “issues”. After 8 months or so, you are still flat (lost all of your gains of about 40%). Would you have continued with the strategy ?
Your performance peaked a first time around June 2010 (+ 180%) to fall to about +105 %. Same question. It took you 8 to 9 months to recover from that drawdown.
So, although the performance looks strong with 20/20 hindsight, you will have a tough time selling it to investors I fear.

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I know and easy market turns to hard market immediately when you have an open position there.
Anyway, actually this isn’t even any strategy yet, (no stoploss or targets used or anything, I’ll run those most simplest one later to this) only quick setup to test some signals or amount of those, not even the effectiveness yet… only one building block to be filtered with different filters (trend

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as you progress and bring other parameters into play (stops, targets, …), you will probably see your performance drop significantly. Trying to control volatility of your performance comes at a cost.

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And probably, but still some nice results with “basic stuff: stop loss /target” (added to facebooksite just) from 1 Y although that might be (read: IS) sort of over optimized already.

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As you look at stops, check multiples of percent and a couple of different volatility measures (10 or 15 day vol converted back into a daily rate and ATR). Look at current bar’s/range values, not when the order was placed. As you test single day volatility violations, initial and trailing stops, you may be surprised at both the control on volatility and increase in returns. In my strategies, a fairly tight initial stop loss and an extremely large trailing stop increased APR by more than 5% for both optimized and out of sample testing across 6 portfolios over more than 10 years of historical data – significant money.

Once the volatility adjusted positioning and stops are fine tuned, start playing with your slow moving average and long moving average periods – you should find that you can change them SIGNIFICANTLY without much change in your returns. You may, however, find nicer equity curves – nicer being a more pronounced slope rather than parabolic moves through periods of curve fitted returns.

Your stopped equity curve looks pretty good. How far back have you ever tested that? What I would do, is optimize that for several years in history not including the past few years. Then check it for out of sample performance over the past few years and finally look at the results for the furthest back history in/out of sample data available. You can expect to run a strategy for about 1/3 of the time frame used in testing/optimizing/out of sample testing for your finalized startegy.

I wouldn’t worry too much if you find cyclical periods of outperformance and underperformance – these are known/accepted with trend trading systems.

You may find it interesting to run your equity curve vs. a buy and hold or some other index. Just as some like to compare performance to sharpe/risk free, as if they’d really put money in a 3 month product to achieve a RFR, you may like to see your peformance via a benchmark.

I have not been able to find a target profit entry that provided better returns on any of my strategies however. Once you account for commission and slippage, rentry to a trend (if you allow it) combined with missed continuation of the trend eats up the profit in missed opportunity.

 

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very valid points.
My exits or position sizing has never been, not even near, optimal.

Although this ( this current example “SMA” strategy) haven’t been under my development more than slightly it is so interesting that I have to spend some time with it. More history data and

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FOSC (not Stochastics) sort of oscillator filter added and not so bad results…

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The SMA crosses is not your friend stop dreaming…

You simply need to build a strategy with more than 33% winning trades and with a reward vs risk >2.
More than 50% of my trades are loosing one but winning trades are two times bigger than loosing one…

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Did you check that last summary:
http://www.facebook.com/photo.php?fbid=348827445146924&set=a.347444185285250.95135.289803571049312&type=1&permPage=1
Profit Factor 2.4 , 60% profitable, ratio avg win / avg loss = 1,57
Of course, over optimized BUT Walk Forward results from last 5 Y -> PF 1,65 and that’s quite good, indeed.
Anyway, I’m skeptic to that SMA method but surprised about backtest results.

 

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!