On-Going Research: Meta-Systems with Customized Trading

As one observes these chaos systems especially the Tick systems, it becomes apparent that their performance curves are actually showing something about market structures.   If a performance curve of these systems is dipping, then that says something about real market states and if the performance curve is doing well then that shows something too.  

Because there is a correlation between the algorithm performance curve and market states, what if one were to try and take the performance curve itself as an input for a "meta" trading system?   In its simplest form one could literally plot a moving average lines of the performance curve and trade only when there are positive crossovers!   Or graph a channel taking trades with a system only when its performance curve is inside a channel    Technical analysis not on the market but on the performance curves of systems trading the market is the idea.  

There is actually one technical indicators vendor, Customized Trading www.customizedtrading.com  that provides Tradestation OOEL strategies to precisely this sort of technical analysis on existing system performance curves and trade them only when things are looking good    This can significantly reduce drawdowns and enhance a nice system into a really nice system

The OOEL Equity Switcher Strategy available here: http://www.customizedtrading.com/ooel/trade-equity-curve     And the process of experimenting with it to improve Chaos Tick systems is in progress.  

Possible Inaccuracy in the Minute Systems Hypotheticals?

All the Minute systems discussed in other blog posts incorporate Break-Even stops of relatively smaller tick size   There could be an issue with Tradestation back-tests on higher time-frame minute charts the "resolution" level might not be accurate enough to correctly process such lower amount break-even stops.  

This raises some troubling questions about the accuracy of the Minute systems back-testing results even though look rather outstanding they are much less impressive without the break-even stops.   This issue can be resolved by trading one or more of the Minute systems and compare the two sets of results, because even if the back-test resolution is not that great the important thing is how the Tradestation processes the system under real-trading conditions- as long as it continues to behave in the same way in the back-test, with poor resolution in real-trading all would be good.

So at some stage shall start trading the Minute systems myself in my own account regularly to settle the matter but for the time-being am knee deep in new Tick systems and Meta-systems being built on top of Underlying systems that have no real room for experimenting with the Minute systems   The underlying algorithm is the same as the tick ones but the time-frames and Tradestation inaccuracy in the minute hypotheticals is food for thought.

   

Announcing Tradestation TradingAppStore DFLAME and ESBRIGHT

Minute chart systems EMD DFLAME and ES ESBRIGHT are now available for lease in the Tradestation TradingAppStore.   These systems are very "real-world trade-worthy" from an executions standpoint.

Trade entries are market orders and therefore no such thing as 'missed trades' not a concern.  Market stops and target limit orders execute on Tradestation especially with the setting (execute at market X number of seconds if the price reaches the target).   In short these systems trade a lot like real-world trading

• https://tradestation.tradingappstore.com/products/ESBRIGHT
• https://tradestation.tradingappstore.com/products/DFLAME

Certain parameters such as profit/loss have been exposed to facilitate user fine-tuning.   Since the algorithm tends to be naturally profitable on various time-frames and chart types, there is no way for any one individual to explore all the permutations of profitability and hence makes very good sense to expose some parameters for user optimizations on different types of charts.   The default chart is the nice looking 123 minute   

DFlame Hypothetical Curve

ESBright-A Hypothetical Curve

CLBREEZE complete recovery, ESTHUNDER recovering and ESLIGHTNING struck by lightning

The chaos systems CLBREEZE, ESTHUNDER, ESLIGHTNING trade certain recurring patterns in the market; these patterns occur in cycles - with periods when they are not manifest and periods when they are manifest, over and over again.   When the relevant pattern is present the system tends to be profitable and when the underlying pattern is not present the system enters into drawdown.  

CLBREEZE recently recovered from a drawdown.   ESTHUNDER is in the process of recovering from one and ESLIGHTNING suffered a big blow last week when the ES market gapped down by 30 PTS+ it was caught on the wrong side, this can happen either on the positive or the negative direction and in this case it was caught out on the wrong side.  

Because the chaos systems track certain patterns in the markets the performance graphs of these systems actually say something about prevailing market conditions, ES looks good for trading and can be expected to make some moves based on how ESTHUNDER is recovering and looking set for some type of profitable spurt phase


CLBREEZE performance July 2015 hypothetical performance recovered from drawdown

ESTHUNDER performance July 2015 in the process of recovering from a drawdown, looking like it is setting up for a profitable spurt period coming up

ESLIGHTNING July 2015 struck down by a lightning strike of a 30 PT gap down in the ES market last week, looking like may take a while for it to recover from here