Systematic Trading research and development, with a flavour of Trend Following
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50, now what?

February 11th, 2010 · 7 Comments · Blog

Ladies and Gentlemen, this is post number 50!
And I think it is a good occasion for an update on the projects in the pipeline.

The Big 50 picture - courtesy of maxshirley@flickr

The Big 50 picture - courtsey of maxshirley@flickr

But first a big thank you to all of you, my readers. it is quite some work, but I am having fun keeping this blog and interacting with some of you.

In January, we crossed another significant threshold: 5,000 readers over one month (and growing). It is definitely rewarding to see that you seem to be interested in what I am writing. And if you want to keep updated, please make sure to subscribe to the blog.

I’d also love to hear from you. So if you have any feedback, ideas about interesting topics, or just rants, drop us a line via the comments at the bottom.

Pipeline update

You might want to catch up with my October pipeline (I did) to refresh your memory on the projects that were planned then.

My main focus has not changed. I have settled on an end-of-day trend following system and I am still working on this as my main objective. In conjunction with this, I will also keep researching anciliary topics such as money management, portfolio allocation, position sizing as well as back-testing procedures and historical price data manipulation.

Statistics

After re-educating myself on classical statistics, I want to explore more esoteric areas such as robust statistics, non-parametric statistical inference, robust and explanatory data analysis, etc. The stats software R is also on my list of things to learn

Monthly reports

The Trend Following Wizards monthly updates are one of the most popular topic of the blog. I am planning to create a new type of Trend Following monthly report, independent of CTA performance.

For this new report, I was inspired by Market SCI’s excellent State of the Market report, which monitors a set of strategies to identify the state in which the market is operating. The idea for this State of Trend Following report wil be to track a few “classic” Trend Following strategies (MA crossovers, Channel breakouts, etc.) with different timeframes.

Trading Blox

I am now an official Trading Blox customer. This means I will make very little use of TradersStudio going forward. I believe Trading Blox will allow me to progress much faster on most of the points above. I will climb up the learning curve and definitely keep you updated on how I get on with this great piece of software.

IB API and DEMARK ON HOLD

These two are not my main priorities at the moment. As days seem to always be too short, I’ll park these projects under further notice.

Any ideas or feedback from you? Please add your comment below…

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7 Comments so far ↓

  • Troy S.

    The State of Trend Following sounds like a great idea. I too am looking for a good trading system development platform (Amibroker right now… it’s ok), also R definitely seems like a useful thing to know how to use (which I don’t either); let us know how it goes!

  • Joshua Ulrich

    Hi Jez, I blog about using R to build and evaluate (and eventually implement) trading systems. The posts will focus on how to use the new packages, as the infrastructure is currently being built. I will blog more about evaluating trading systems once the software is more mature.

  • Sam

    So your still working on your algos? Good luck with whatever you implement. For me trend following is a tough gig once real money is on the line, but I’m sure you understand your own risk tolerance.

    In time I’m sure you’ll find a number of ideas that you can run simultaneously to smooth out your equity.

    I’ve enjoyed your blog, just thought I’d stop in and say “Hello.”

  • Jez

    @Joshua
    Your blog definitely looks like a great resource. I anticipate spending a fair bit of time on it this weekend. Thanks for pointing it out.

    @Troy and @Sam
    Thanks for the comments – always appreciated!
    I am definitely still working on researching algos/mechanical trading systems. I feel working on the State of Trend Following will also enable me to hone my skills further on all aspects of developing a trading system (including learning Trading Blox)

  • Charles

    I enjoy reading your Blog.

    The essential elements for profitable trading, as I’ve come to discover them, are:

    * An effective system. By this I mean a trading system or methodology which has a demonstrated history of success through all types of markets and which contains definitive, objective, operational rules.

    * Risk Management. I define this aspect of profitable trading as a method which takes you out of losing trades and keeps you in wining trades for as long as possible. Ordinarily this task is part of the trading system, however, traders often override their trading systems and need a fail-safe procedure. And last, but certainly not at all least,

    * Discipline, under which I include all aspects of trader psychology, self control, persistence, positive attitude, and more.

  • RiskCog

    I have an idea for a series of blog posts: “Stone Soup Trading System”. You could poll the readership (or just use the comments) to decide on what type of system to build, which markets to play, which indicators to watch, how to combine indicators, what back test strategy to employ etc.

    It seems like people love say things like “does adding xyz improve drawdowns?” So hopefully there would be good participation. Since the “Stone Soup” system isn’t anybody’s personal proprietary system then you could provide all of the details and stats when you wrote about it instead of hiding the “secrets”.

  • Jez

    Hey RiskCog,
    That could be an idea. Thanks for submitting. Maybe a step towards some sort of “community-powered” systematic trading research and development. Never heard of Stone Soup before – nice concept! ;-)

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