Category Archives for "System Trading"

Oct 06

Sticky: Quantitative Collaborative- Building Futures Strategies for Today!

Graybox Trading , System Trading

I have keyed on two critical concepts for trading: 1. Environment is paramount to success. Trading requires sustained effort.2. A real, quantitative, edge helps with preservation of psychological capital and helps refine, focus, and scale. Toward that, I am offering the Quantitative Collaborative workspace where I share my actual strategies, source code, graybox strategies, and […]

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Oct 05

What changed?

System Trading

Algorithmic systems are based on backtest. However, changes can impact the market such as when the market changed to trading in fractions to decimals. Recently we have had several changes that theoretically could impact any trading systems: Micro contracts were released by the CME for many popular products. Before the micros, small traders were forced […]

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Aug 23

What Risk Measures Don’t Tell Us

System Trading

In a recent post, I shared that risk measures are only useful provided all else is kept equal– which is practically never the case. It is one reason some naive traders may overestimate their performance. The fact an independent trader might make 50% in a year does not mean that they are trading better than […]

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Mar 18

Filtering for Success

Markets , System Trading

There are many futures markets that one can trade. The question worth asking is which markets are offering the best opportunity and thus most worth focusing on? One measure that may be of use that is widely used in the options world is IV Rank and the associated IV Percentile. Sage Anderson, over at TastyTrade, […]

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Mar 17

Verticals for Futures Traders

Markets , System Trading

If you are restricting yourself to day trading futures, you are limited as a trader, and you might not be using the best tool for the job in all cases. At least until the Micro’s are introduced in May, most of the futures products are very large contracts which can make it difficult to hold […]

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Mar 14

Options as proxy for futures trades?

System Trading

I like the simplicity of the directional futures trade. However, the large notional values can be a problem for smaller accounts. Many system traders believe that it is easier to build consistently profitable swing trading systems over day trading systems. Yet, many futures accounts are not properly capitalized to swing trade futures. While the CME […]

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Jan 19

Improving your system by learning from wins and losses

System Trading

In Murray A. Ruggiero’s “Cybernetic Trading Strategies”, a book that I think was ahead of its time, Ruggiero shared the concept for “nearest neighbor matching” for statistical pattern recognition. The concept was shared in the context of looking for market patterns and market analogs. However, I wanted to share a slight variation on this concept.¬†Instead […]

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Jan 15

Better RSI Entries

System Trading

Mean reversion systems, such as those based on RSI, suffer significant performance degradation when stop losses are applied for risk control. In previous posts, I shared how one could could create more powerful RSI systems by using adaptive periodicity and multi-state regime classifiers. The key idea for better RSI entries is that there may be […]

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