Coding a simple system

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Coding a simple system

Postby billrider321 » Fri May 20, 2011 7:28 pm

I am trying to find a simple system trading IWM,SPY and DIA. I will like to have some discussion and help as i progress through my journey.

My strategy is based on paper from david serbin where he shows -

1. go long when ma89 > ma233
2. Confirmed with non price indicators.

I have started a search running from 1998 to 2010 , it showing me around annual return of 27 % with other good stats. But I am still confused with different options and strategy its showing.

Any suggestion to improve is welcome.
billrider321
 
Posts: 4
Joined: Thu May 19, 2011 11:01 pm

Re: Coding a simple system

Postby Overload » Sat May 21, 2011 9:22 am

It appears that you're using this paper from David Serbin as a starting point:

http://www.naaim.org/files/2010/B-001.pdf

While he does use the 89/233 SMA crossover system as a starting point, he does go on to say that trader may need to decrease system drawdown even further while maintaining an acceptable level of whipsaws. In other words, I don't believe he is promoting the 89/233 crossover as a winning system, but instead using it as an example of a system that could still use improvement.

There are many additional things you can do:

* In the second part of the paper, he uses an EMA as a starting point for a second test. You could try this as well.

* You could use the non-price indicators he suggested, including the up-volume/down-volume, and new-highs/new-lows on the NYSE or Nasdaq.

* Use other non-price indicators available in StrataSearch, such as creating your own custom market breadth indicators.

* Include non-price indicators from other indexes, such as the VIX.

* Use your beginning trading rule in an automated search for supporting trading rules. See Tutorial #2 in the StrataSearch Help. Step 5 in particular shows how you can easily setup an AutoSearch using your initial trading rule as a foundation.

* Explore a completely automated search rather than trying to build your own strategies manually. Tutorial #2 shows how to do this, and the OneClick Search provides a large number of features to automatically analyze your results.

There are many additional things you can do. Hopefully this gives you a few ideas.

Pete
Overload
 
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Joined: Wed Nov 30, 2005 12:14 pm

Re: Coding a simple system

Postby billrider321 » Sat May 21, 2011 11:44 am

Thanks for quick response...
One question why is there so less activity on this board. Are the systems build already with NAIIM based papers.. I have few others which I am planning to try.
As of now i am running the one click approach and having a system(long only ) with around 7.5 % return from 98 eo 2010.

trying to improve , I have added all the extra condition as a supporting entry and exit.

I am not sure how to do this "* You could use the non-price indicators he suggested, including the up-volume/down-volume, and new-highs/new-lows on the NYSE or Nasdaq."

Here is entry condition -
// Moving Average Crossover: David Serbin
((mov(close, 87, exponential)>mov(close, 215, exponential))) and

// New Highs & New Lows - Market Periods: 2
(decreasing(mov(nh($curexchange) - nl($curexchange) + ref(nh($curexchange) - nl($curexchange), -1), 7, simple))) and

// New Highs & New Lows - Market: 2
(decreasing(mov(nh($curexchange) - nl($curexchange) + ref(nh($curexchange) - nl($curexchange), -1), 9, simple))) and

// Moving Average Crossover -exit david serbin
(symbol(^NYA, mov(close, 82, exponential)) > symbol(^NYA, mov(close, 225, exponential)))
billrider321
 
Posts: 4
Joined: Thu May 19, 2011 11:01 pm

Re: Coding a simple system

Postby Overload » Sat May 21, 2011 4:12 pm

Your formula syntax appears to be correct, although I would make 2 suggestions:

1) Instead of using $curexchange as your exchange reference, you may want to hardcode it to reference OTC (nasdaq) directly. For example:

// New Highs & New Lows - Market Periods: 2
(decreasing(mov(nh("OTC") - nl("OTC") + ...

By using $curexchange with your SPY symbol, you'd be referencing SPY's exchange, which happens to be "ETF". Thus, you'd be checking the new-highs/new-lows of the ETF exchange rather than the nasdaq exchange.

2) I notice that your formulas trigger a buy signal when the new-highs are decreasing rather than increasing. Is this what you want? I don't recall that Mr. Serbin directly states how to create the new-highs/new-lows trading rule, but I would think an increase in new-highs would be an appropriate test to try.

Also, you've mentioned your annual returns, but how about your drawdowns? In his paper, Mr. Serbin recommends a CAR/Mdd of no less than 1.0. Does yours fit this requirement?

As for guidance, keep in mind that we can't write a winning trading system for you. The best we can do is make you aware of the many tools StrataSearch has available. But how you use those tools is quite up to you. There is no right or wrong way to use technical analysis, and there certainly isn't just one path toward finding a winning system.

Hopefully this helps.

Pete
Overload
 
Posts: 2248
Joined: Wed Nov 30, 2005 12:14 pm


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