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frankyone


Total Posts: 13
Joined: Mar 2015
 
Posted: 2015-03-10 11:16
Hello gents.

I would like to learn an approach for developing trading systems.
All my knowledge comes from technical analysis but I lack an in depth understanding of statistics and calculus which represents the major barrier to study at Finance.

This book summarizes what I learn so far about strategy development. E. Tomasini
"Trading Systems: A new approach to system development and portfolio optimisation"

I would like to answer questions like the followings:

How often I re-optimize a trading system when it's live?
When do I exit a strategy: 95% Montecarlo drawdown limit?
If a strategy fails do I simply re-optimize it and put it live again?
What is a professional money management approach? Ralph Vince F?
How to diversify a portfolio?
Is valid to diversify a portfolio if I trade the same financial market?

I look forward to hearing from you.

Kind Regards, Franky.


il_vitorio


Total Posts: 103
Joined: Aug 2014
 
Posted: 2015-03-10 15:38
Hello.

This should be in the trading forum.

For the questions I will answer:

1)You should monitor the SR they are the key of how succesful is running your system and as an obvious reason when it began to take havey losses.

2)For exit an strategy is to do not use that system? or to just to create an "exit" signal? if the former see 1) , if the second that would be intrinsic of the system, the capital management system should be pretty correlated to this step

3)That depends, if you do that you could be in the problem of over fitting and that is just like putting perfume to a pile of shit. It could have break because of the conditions of the market or because it just doesn't work.

4)Professional money management? if it refers to the capital management (I think it is) that is kind of personal.

5)Google

6) go to 5)

il_vitorio

One of my most productive days was throwing away 1000 lines of code.

frankyone


Total Posts: 13
Joined: Mar 2015
 
Posted: 2015-03-10 17:22
Hello Il_Vitorio, thank you for replying.

Do you think I can find any course at a University that will go through these topics?
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