Systems Workshop: "Buttonwood" E-mini daytrading system
Posted: Thu Oct 08, 2015 8:13 pm
Hi Gang,
I've had some free time this week, and have been testing some interesting approaches to daytrading systems. I thought that this approach might be fun to use in setting up a "workshop" style thread, where we go through and build a full blown trading system from the ground up. There is plenty of information available about trading systems in the MTS book, but so far I haven't spent a whole lot of time discussing intraday trading, which a lot of people here are very interested in.
So my plan is to just start off at the beginning, and then work forward with this system. It's not all going to happen in one big post, but rather in a bunch of posts linked together. I've already built a version of the system I want to talk about, so I can promise that by the end, we'll have something that can actually be traded live profitably on 5min bars in the ES. What I'd really like to see though, and part of the purpose of starting this thread, is for people to step up and help me improve this system so that by the time we get to the end, it will be much improved over what I'm sitting and looking at here. Improving this system won't be difficult, but takes some manpower, so the challenge in getting it to "great" from the "good" category is more a matter of doing lots of testing, rather than having to make any logic breakthroughs. Hopefully a few of you will be interested in getting involved, which will then entice me to do more of these in the future.
Anyway, since we've got a nice private forum and won't be bothered by other people snooping around, it's going to be easier to share this sort of thing since we've got some protection in place. And since this is W59, we're going to use esoteric stuff, rather than standard techniques. (Which is how you all prefer it, anyway... )
So, feel free to chime in at any point, or take something I've done and try to make it better. I'm really hoping it turns into a group effort, so if you get any ideas as we go forward, please feel free to take what I've posted and run with it. Of course, the expectation is that rather than saying "hey, what about trying this?", that you actually take the code, program your own idea, try it yourself, then get back to the rest of us with your findings. If you're new to QScript and have trouble, do your best, and we can also use this thread for help with debugging QScript issues.
All for the first post. Stay tuned...
Earik
I've had some free time this week, and have been testing some interesting approaches to daytrading systems. I thought that this approach might be fun to use in setting up a "workshop" style thread, where we go through and build a full blown trading system from the ground up. There is plenty of information available about trading systems in the MTS book, but so far I haven't spent a whole lot of time discussing intraday trading, which a lot of people here are very interested in.
So my plan is to just start off at the beginning, and then work forward with this system. It's not all going to happen in one big post, but rather in a bunch of posts linked together. I've already built a version of the system I want to talk about, so I can promise that by the end, we'll have something that can actually be traded live profitably on 5min bars in the ES. What I'd really like to see though, and part of the purpose of starting this thread, is for people to step up and help me improve this system so that by the time we get to the end, it will be much improved over what I'm sitting and looking at here. Improving this system won't be difficult, but takes some manpower, so the challenge in getting it to "great" from the "good" category is more a matter of doing lots of testing, rather than having to make any logic breakthroughs. Hopefully a few of you will be interested in getting involved, which will then entice me to do more of these in the future.
Anyway, since we've got a nice private forum and won't be bothered by other people snooping around, it's going to be easier to share this sort of thing since we've got some protection in place. And since this is W59, we're going to use esoteric stuff, rather than standard techniques. (Which is how you all prefer it, anyway... )
So, feel free to chime in at any point, or take something I've done and try to make it better. I'm really hoping it turns into a group effort, so if you get any ideas as we go forward, please feel free to take what I've posted and run with it. Of course, the expectation is that rather than saying "hey, what about trying this?", that you actually take the code, program your own idea, try it yourself, then get back to the rest of us with your findings. If you're new to QScript and have trouble, do your best, and we can also use this thread for help with debugging QScript issues.
All for the first post. Stay tuned...
Earik