A Quick Way to Develop Your First Graybox

Graybox Trading

Nov 22

I wanted to share a quick way to develop your first graybox. Mike Bella recommends developing a “play book” or list of all your trade setups. In the past, I was reluctant to do this because I am more of a synthesis and implicit learning trader. However, as I’ve considered it over some time, I think the idea has merit.

The first step then is simply to document and name the types of trades you take. If you can give a trade idea a catchy name then it is more likely to be remembered. Once you have built your play book then you can start to work to produce automated “expert analysis” or signals but without actually entering trades. You are essentially building an expert adviser that can highlight your trade setups automatically or that could be used in scans.

What is nice about this technique is that you are building on the types of trades that you already take. There are a lot of systems one can develop and it is true some of the best systems likely have unique or proprietary edge. But, if you start with logic that you already understand then I think it can be easier to actually trade the system.


About the Author

The author is passionate about markets. He has developed top ranked futures strategies. His core focus is (1) applying machine learning and developing systematic strategies, and (2) solving the toughest problems of discretionary trading by applying quantitative tools, machine learning, and performance discipline. You can contact the author at curtis@beyondbacktesting.com.