3,000 test trades completed in a week

Over the last week, my new “testing engine” produced a sample slightly over 3,000 test trades.  In this post I am detailing my findings and thoughts for taking things forward.

You are likely guessing (correctly!) that I will probably not stop writing about trading strategy testing any time soon!

With that in mind….. Continue reading

Posted in Futures Trading, Risk & Money Management, Testing, Trend-Following Strategy | 1 Comment

End-of-May Trading Update

The week has been productive.  Traded Oil futures for a couple of hours each day as part of a trading room.  Completed a significant amount of back-testing.

Balanced it out with regular exercise and lots of fun away from the office (including competing in a 6-hour inline skating race and chasing down street art in East London). Continue reading

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Searching for Alpha in my testing…

Have progressed along with my trend-following model in Excel – thankfully my computer is half-decent. The model currently has 100,000 data points (that’s how many 5-minute bars there are in a 16-month period] and has run up up 40MB in size with a good range of formulas. Separate spreadsheets for long setups and for short setups.

[Note – ‘Alpha’ in a trading context refers to returns achieved that are in excess of returns achieved by a benchmark, such as the S&P500 index if trading equities.] Continue reading

Posted in Testing, Trend-Following Strategy | 2 Comments

Trend-Following Strategy Workings

Working on my trading strategy.  The strategy is a trend-following one, like I have been attempting to trade for a long time.  My assumption is that cornerstones include identifying trending conditions, spotting pullbacks and betting on when the pullback is/has come to an end.

Am trying to articulate these cornerstones in a rigid and objective manner so that I can run the subsequent rules through years of historical price data to determine trades, entries, exits, duration, excursions, frequencies, win rates and profitability.

Sharing some of work in progress and thoughts on this blog post…. Continue reading

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Mid-May Trading Update

blog post may15

It’s been quite a few days since my last blog post.

Although I have been quiet, I have been working diligently every day & coming into the office in the City of London.  My days have been spent  Continue reading

Posted in Futures Trading, Testing, Trend-Following Strategy | 1 Comment

4-hour Tom Hougaard Presentation

waiting manSaturday morning 9am, London Zone 1: 30-40 keen attendees get together to listen to a 4-hour talk by Tom Hougaard.   The talk had been organized courtesy of ETX Capital.

For the benefit of people reading this blog, I listed the main points that I got out of the presentation.  Although most of the content of the presentation was not new material to me, I nevertheless found the presentation helpful to get my brain into working gear and to make me question some of my existing knowledge, as well as give me some new ideas and perspectives.  Tom seems to be an experienced and successful traders and is a refreshing and entertaining speaker!

When seminars such as these are offered on a complimentary basis 20-30 minutes from your front door, then one should take advantage of it!!  (and hence why I also feel I should forward on some of the shared knowledge!)

Continue reading

Posted in Financial Markets 101, Psychology, Testing | 3 Comments