Designing systems for Futures trading

StrataSearch will find what you tell it to, but what should that be? Will the same criteria work across different Sectors? Different time periods? Here we discuss the ins and outs of OneClick Searches.

Designing systems for Futures trading

Postby rjay » Fri Aug 04, 2006 2:22 pm

I'm somewhat near the bottom of the StrataSearch learning curve and am currently grappling with the best evaluation criteria to use when trying to find a system suitable for trading Futures, especially if it's just one instrument (like the Mini Dow for example). I'm just as interested in the number of points a system generates than it's & gain ... so I am using $F_AvgWin alongside $F_AvgAnnReturn. Should I just remove the latter altogether ? I'm also using $F_MaxDrawDPctU rather than $F_MaxDrawDPct to reflect drawdown as obviously unrealized drawdown may require extra margin.

Any other ideas as to how I could best tweak this for futures systems ?
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Postby Overload » Fri Aug 04, 2006 6:30 pm

Seems like all of these might be personal decisions. But you're going in the right direction by creating your own searches. It's definitely a good idea to play around with different things to see how things work and just what can be done. When you've experimented with a variety of possibilities you'll start having better ideas on what's worthy of trading and what areas might need improvement.

Others have occassionally told me about doing searches (or back tests) that don't include annual returns. Typically these are discretionary traders that simply use their mechanical systems as a first-level filter. They then make their final decisions based other information, new stories, gut feelings and perhaps... tea leaves. I'm much more of a pure mechanical trader these days, but StrataSearch can really be used for either.

As for tips for futures, we're in the process of implementing some additional changes that will provide better support for futures. In particular, we'll be adding a "contract size" field to the symbols setup that will allow inherent leverage in some products. But for now, you can always play with the Initial and Maintenance Margin setups to simulate the leverage of futures. If you're looking at equity growth (which I'm not sure you are), the margin usage can help you get a better feel for how the futures leverage would come into play.

Hope that helps.

Pete
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Commodity Trading and Proprietary Tools/Functions

Postby Jonny6 » Tue Feb 27, 2007 4:43 pm

I can see a lot of potential in this software to help in my research. I have barely read half the forums, and about the same amount of tutorials / help files.

I am (likely VERY obviously) in a position much further down in the learning curve in my attempts to use StrataSearch to assist in developing a trading pattern for futures and commodities.

Basically what I have done (using some other software tools) is used a combination of home built, public, and also purchased tools to make a set of 'indicators' that I can use for crossover (to signal an entry or exit) and price points (built with neural networks). Like many others I can use graphs to 'eyeball' what parameters are workable for what type of contracts.

I would like to setup the tools in StrataSearch to go to different columns of ascii data I would supply, and do crossover testing from data in multiple columns ( ie: col 1 vs col 2 or col 3 etc) and pick out a price for entry from another column and the exit order price from another column.

Up till now all my reading shows me is that there are only formulas being applied for the crossover (etc) and open/close for the entry exit orders. I donot see how information from other columns can be utilized: I dont have all the formulas in order to enter those manually.

I can supply a sample excel file to offer more detail, once I have an understanding how this can be accomplished.

Thanks for any input!

Jonny
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Postby Dacamic » Tue Feb 27, 2007 5:51 pm

I'm not clearly understanding your process; in fact, I'm sufficiently confused to likely prevent appropriate questions from being prodded from my fingertips. Any additional information you might provide will be appreciated.

Maybe I'm dazed by today's market action.
Steve
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Postby Overload » Tue Feb 27, 2007 6:54 pm

I think I understand. And if I'm correct, you may want to look at the File > Import Fundamentals menu. You can click the Help button on that window to see how that processing works.

Don't be fooled into thinking that this feature can only be used by stocks, or only with quarterly data. It's actually quite flexible. You can add your additional "columns" as needed, they can contain daily data, and they'll be directly connected with their corresponding symbols. You can also add as many "columns" as you wish.

What will ultimately happen is that these values will be processed within the "Fundamental Values" processing. So you'll need to use the fund() formula to reference them. As an example, let's say one of your columns is named "Signal #1". Once imported, you could then use something like:

crossabove(close, fund("Signal #1", 0))

Anyway, that's hopefully enough to get you started. Feel free to ask if you have questions (or if I've completely misunderstood).

Pete
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Postby drewyallop » Sun Feb 24, 2008 7:09 pm

Another requirement for futures is margin. Future margin is quoted in dollars not percentages. For example the S&P E-mini future margin requirement today is $4500 initial and $3600 maintenance on a contract priced today at about $1355. Thus the percentage approach won't work (even if you could enter a percentage in excess of 100 which today you cannot).

Also, I need to understand your comment on entering contract size. If you are referring to the contract dollar amount it is not really relevant. The important number is the multiplier. For example, the E-mini example above has a multiplier of 50. Therefore when the price of the contract moves $1 the profit/loss on the contract moves $50; this must be reflected in the equity calculations.

I am probably telling you stuff you already know; I repeat it for safety since future trading is my game.


Best regards,

Drew Yallop
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Postby Overload » Sun Feb 24, 2008 11:21 pm

Yes, there are a number of issues that make StrataSearch 3.0 limited for futures use, although we still have some users that use it for that. Version 4.0 will have full futures and forex support, and I believe that these issues have all been covered. About 95% of the code is complete, but we still have to take it through some significant alpha testing. And, of course, create some documentation on the new features. But the hope is to have a beta version available by June, if not before.

For those that have been wondering, yes, this will again be a free upgrade for all current users.

Pete
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