Success! and considering funding sources

trading strategies and money management discussion, code, results

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Success! and considering funding sources

Postby greaterreturn » Fri Jul 11, 2008 6:53 pm

To everyone and Michal,

Thanks so much for this site and previous replies to my threads.

Well, Michal, after trying TS, NeoTicker, MultiCharts, NinjaTrader and others I don't remember, I agree with you that none of them gives everything necessary for my goals or allow the flexibility necessary to me.

So I built my own platform from scratch driven primarily by a theory picked up at elite trader. That theory says that creating a portfolio of simple strategies that run on each specific instrument can greatly smooth and improve the equity curve.

My other requirement was complete freedom to use any mixture of time frames on any of the models or the underlying indicators at the same time.

So in my personal framework, there is a global default time frame that each model can override. After that, indicators within a model can, in turn, override the time frame per each indicator.

Well, it has taken quite a while to accomplish building this framework in C#. But I'm exited to report (if it will encourage anyone else) that it has been successful.

The work paid off this weekend when I witnessed the combination of simple long and short trend strategies along with simple channeling and counter trend models all applied to USD/JPY at the same time.

It was so lovely to witness how the equity curve smooths and the statistics like Sharpe Ratio and Sortino improve dramatically due to increased profit and smoother equity curve.

Next things to finish? It needs positions sizing and scaling into positions during trends. Setting it up on at least a dozen currency pairs. The two other last steps will be creating the integration to the MBTrading API so I can run this on a dedicated server. Also, people considering funding this requested more user-friendly reports and graphs to evaluate the system. So that is coming.

For reports, it will have stats per currency pair, per year, per month, per week with P/L graphs and Earning distributions for all the instruments and time frames.

Hopefully, this encourages any one else trying to do the same. It is possible. But please be warned. This requires enormous IT skills/experience and tremendous amount of time--not to mention knowledge and understanding of mechanical trading.

For working with tick data, experience with real time systems is invaluable. Knowledge of threading, statistics, object oriented design, test driven development are all musts. Personally, I have 20 years of software experience mostly as a software architect. And since I started studying and trading discretionary 10 years ago, it truly is a very long haul to get to this point.

Now since my own capital is limited, I want to setup a joint agreement with either an individual or institution to provide capital for a split of profits.

If anyone has advice or ideas to find such arrangements then please jump on. I've ruled out prop shops and so far talked to a few hedge funds.

Of course, the system is not quite ready for capital until it goes live on the dedicated server and gets fully tested with a live trading account using my own very limited funds.

But that's the easy part compared to the tick engine, genetic optimization algorithm, statistics calculation, multi threading, dynamic time frames, etc. It'll be done in a couple weeks.

So my thought is to provide detailed stats solid enough for someone to fund a test with limited capital for a while. Then after it has a "track record", more serious capital funding will be warranted.

Some say that's doable right away with a solid system, others feel a much longer time with my own capital will be necessary.

What thoughts do any of you have here? Any experience with that?

FYI: I'm not looking for a "job". I have a good paying software architect job already. This is purely an effort towards a venture.


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