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Systems Trading: General

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New Contributor
Jul 26, 2007
Hi, I wanted to start a new thread, because I didn't want to hijack the Futures thread.

Some questions from Bear:

So you do system trading. What do you base your system on?

My two active s&p systems are based on ideas from lots and lots of screen time and have tested well back to '82 on the Big SP contract. The other systems in development are based on data mining for statistical edges.

What time frame do your systems trade?

I look at all time frames. Currently, I have one active swing system (max 5 days) and a day trading system. I have found that it is very difficult to find a valid "edge" in short term trading. :bgh: For me, it is much easier to find things that work on longer time frames.

The goal is to have many different systems on various time frames and markets, such that when one system is in drawdown another is making money. Therefore, the portfolio as a whole is always increasing in value. I'm obviously not there yet with only two systems, but my goal is to reduce the system variance.

As far as I'm concerned, it is near impossible to have a single method/system that never ever loses. That's why we all had a good laugh at Qtrade sp? on the other board.

If that isn't convenient to answer, which books helped you to get started on system trading?

Actually, I haven't read any books on system trading, unless you count Ralph Vince's book on Optimal-F, which is more about money management.

My start in system trading was the result of three realizations about myself: 1) I was tired of starring at a screen :eek: waiting for trades to develop, 2) I realized that I always had an "itch" to always be in a trade, 3) It was hard to have enough confidence in a system to stick with it during a drawdown phase. Having well tested systems running automatically solved those three issues for me.

I know there are a lot of "I"'s and "me"'s in there, sorry. Along the MJ's lines of "know who your talking to": I have been actively trading since '03, with a lot of volatility in my trading results. This is by far the most difficult endeavor I have ever taken on. I switched jobs in '05 such that I could work at night and day trade during the day. Now in '07, I work by night and monitor my active systems during the days. I am not a full-time trader in the conventional sense, which I believe is the litmus test for a truly successful trader. I believe I could probably make the jump into having trading be my main source of income, I'd rather wait until my trading income exceeds and consistently exceeds my income from my professional career as an engineer. :hurray: I believe it is only a matter of time. 'Cause "burning the candle at both ends" is tough.:)


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