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Thanks for the question. Most of my strategies are swing trade, lasting days to weeks (one even last months). I have a few day trading strategies, but many more swing.
my goal is more than 200% for competion for less dd, ok with different position size if needed.
Cant trade them as all of them are successful only with one index ,with other index DD is huge cant cover up in longer version and on top of it all the strategies give trades opposite of each other. working on pair trade or option trade on them.
working for competition...confused to trade only one index or trade basket of stocks (for competition only)...
In long term view what u find more stable/successful with risk reward( option day trading/ option swing trading/ futures index day trading/ futures index swing trading/ basket of stock options or futures /day/swing)
Hi Kevin, I have one doubt I'm asking myself. I have some automated systems and all passed walk forward and have good montecarlo results and backtested over 15 years. I'm trading them live since two years and I'm profitable. They are all intraday.
When I launch walk forward, usually one time every 6 months it suggests me some inputs to use for the next 6/12 month. I never moved my inputs, my theory is that something should not work at the best of the optmization otherwise is fitting so better to stick to some input and keep adding strategies to diversify, but now I'm also asking myself that market changes and maybe I should change my inputs as walk forward suggest me, maybe once a year or so...
I add that inputs suggested by walk forward would not substancially move strategy results, but still are an improvement and maybe a way to keep a strategy in tune with the market.
what do you think? Thank you in advance
If I ran my initial walkforward optimization and I re-optimized (and possibly changed parameters) every 6 months, if I went live with the strategy, I would still do the same thing (that is, re-optimize and adjust parameters every 6 months if needed).
I don't see the logic in doing an initial re-optimization every 6 months, going live, and then deciding to re-optimize at some different frequency than 6 months. But if you see benefit in doing it this way, then you should do what feels right to you. After all, at the end of day, you (and not I nor anyone else) have to live with the results.
Thank you, I have never changed my parameters in two years. My doubt came from a reading I made…I think it was Robert Pardo and he was saying that the more your strategies have a short time frame the more you need to re optimize frequently.
But I guess there isn't a general rule.
Anyways, I like the concept of your SF webinar, but I'm too novice to step that far forward. Would you say that I can learn the same/similar concepts in just your book?
The book and the Strategy Factory workshop I run are 2 different things - you do not need to do one to do the other.
The book teaches all the basic things you need to know to create mechanical trading strategies.
The workshop teaches all the basic things you need to know, plus it walks you through a few example strategies, plus I spend a lot more time talking about diversification, and creating multiple strategies to work together. It is more for intermediate level traders. It is ideal for people who have tried to create strategies, but had no success. I follow up with support, and my goal is to get you developing your own strategies.
How much of a novice are you? My book assumes you know about trading and futures markets a bit. It doesn't teach you trading basics - I suggest books by @decarleytrading (Carley Garner) or Brent Penfold for that.
By the way, if you order my book, shoot me an e-mail with the order confirmation. I'll give you 5 bonus reports free, as part of the 1st anniversary of the book release.
I am very novice. I have a managed acct with an algo trader (5 years now), and have been interested for some time. Now I have the career that gives me the time to make this a hobby. The owner of the algo shop has been a mentor for me, so while my learning has been very succinct (cutting out BS) I am still in the early stages.
I have a background in cognitive psychology (hobby, not professionally) and know that we can't be trusted to be consistent, so algo has been my focus.
I'm in the reading phase, and have been devouring your blog and others. I have most of the books you mentioned on your site on my list, but haven't pulled the trigger on yours yet. Those 1 star reviews have quite the effect, being that we're innately risk averse lol. After speaking with you, however, I will download soon.
I will look at the SF program in the next year.
Thanks for being awesome. You're a family man and I'm proud of you for keeping your family in focus. Good work