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Category Archives for Building Strategies

Two Tips To Improve Your Trading in 2021

Yes! 2020 is over.Goodbye!I hope 2021 will be a great year for you.For me, I’m excited for the new year.I’m excited about the new trading systems I’m launching in my account. I’m excited about the new ideas for new strategies I have lined up to test. Best of all, I’m excited about the great content […]

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A Simple Break Out Algorithm Demonstrating Time Optimization

What is Better: 30, 60, or 120-Minute Break-Out on ES.D?Here is a simple tutorial you can use as a foundation to build a potentially profitable day trading system. Here we wait N minutes after the open and then buy the high of the day or short the low of the day, and apply a protective […]

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Disabling Trading At Profit Target or Max Stoploss

When building trading systems, particularly intraday trading systems, you often run into the special conditions where you might want to stop trading. Those two conditions are:1) When a particular daily profit target is reached. In this case you have determined that when a particular dollar amount is reached in profit then no more trading should be done for the […]

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Regime Classifier Demo

I received several questions based upon a recent article by Curtis White called, A Better Regime Filter To Boost Returns. Readers were looking for a complete strategy to download and for more explanation on how the classifier works. I think Curtis did a great job in his explanation so this article is just a rehash […]

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9 Mistakes Quants Make that Cause Backtests to Lie

“I’ve never seen a bad backtest” — Dimitris Melas, head of research at MSCI.A backtest is a simulation of a trading strategy used to evaluate how effective the strategy might have been if it were traded historically. Backtesting is used by hedge funds and other researchers to test strategies before real capital is applied. Backtests […]

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Simulation: Beyond Backtesting

One problem with traditional backtesting is that it relies on the presupposition that there are repeating predictive patterns in the market. In fact, most trading methodologies rely on this assumption. And yet we know the disclaimer that past performance is not indicative of future results.And yet backtesting largely assumes that the future will be similar […]

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Implementing Finite State Machine Functionality with EasyLanguage

Last Trade Was a Loser Filter – To Use or Not To UsePremiseA major component of the Turtle algorithm was to skip the subsequent 20-day break out if the prior was a winner. I guess Dennis believed that the success/failure of a trade had an impact on the outcome of the subsequent trade. I have […]

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Measuring Success: Key Performance Metrics

When you see the performance of a trading system, how do you know it’s okay? How do you know it’s the right system for you?Many people look at the net profit assuming the more profit system must be the better system. This is often far from a good idea. When comparing trading systems during the […]

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15 Price Action Patterns That Work in 2020

 Most algo traders are always on the lookout for new ideas to test and evaluate. I’m no exception.How about 15 price patterns that might form the basis of a good trading strategy?Without further ado, here they are (along with some general warnings and tips about using them)… Pattern 1 – Directional Bars and Pullback Momentum General DescriptionThis […]

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Algorithmic Trading Tip – Building Risk Protection Into Your Trading

90% of traders out there build strategies the wrong way.  How do I know that?  It shows up in the statistics – most traders lose!When most traders build a strategy, they have one goal in mind – maximizing profits.  That’s not necessarily terrible all by itself – after all, you need profits to make it […]

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