Monday, March 09, 2009

Qs Dirty Dozen

After considerable dithering around, I'm about ready to begin final formatting and template setups for the Qs Dirty Dozen. Above are the system components and although there's not a lot of coding sophistication displayed in these various approaches to market dynamics, I'll be adding a number of performance merits as the matrix gets fleshed out in order to judge the relative returns of each system. I find these systems satisfy my needs and provide the level of risk management control that I require to in order sleep at night and rest assured that my capital is never at more than minimal exposure. Now that's just my (strong) bias towards the markets and other traders may have much different goals and objectives. These systems will never make a million dollars with a $10K investment, but they may help you craft your own trading to generate a steady revenue stream with relatively low exposure. I've used a 16 month rolling lookback period to test the systems and will continue with this time frame in subsequent updates.
As I've mentioned in previous posts, there are a more than a few ways to use these systems: as momentum indicators for option spreads or outright directional plays, in tandem (like Gravy Train) to further buffer risk exposure, as short term fractal indicators for daytraders to help gauge the probabilities to fading rallies versus buying dips, etc. . . . you get the idea.
Trading ain't easy. Anyone that says otherwise is a liar. And after 24 years of trading I've got to join the chorus and voice my opinion that these are some of the toughest markets to trade I've ever experienced, so new traders have kind of a double whammy working against them.
Nevertheless, for those of you who are gluttons for punishment, it's my hope that these systems will stimulate you to think about the markets from a variety of perspectives and give you ideas on how to lower your risk exposure and increase your bottom line. The usual caveat applies . . . you alone are responsible for your trading/investment decisions, and I really won't feel bad if you completely ignore my market spin and use any other approach to trading. Different strokes for different folks. Go get 'em.

5 comments:

bf said...

Can you explain the column headings? Also, what is the time period for the results you posted in the table? I have an rsi system i want to compare with what you posted.

Thanks!

bzbtrader said...

bf,
Long/Short are the system positions.
LX,SX are the exit types.
FX is fixed bars with the # of fixed bars.
VAR denotes a variable exit with the optimized #.
Trades is the number of trades within a 16 month rolling backtest period.
%REL is total relative return.
Hope that helps.
This post was meant as a heads up, not a finished product and the expanded system metrics will be defined when the display format is finalized.

bill said...

Hi bzb,

will it be possible for you to publish whether this systems are trigering long or short entry on a daily basis. i am still trying to code this systems in ninja trader.

thanks
bill

bzbtrader said...

bill,
As I indicated to bf above, this is just a heads up post. When I eventual go hot with the Qs dirty dozen, the buy & sell, projected days to exit and rolling portfolio performance will be displayed and updated on a regular basis.

Cucca said...

"And after 24 years of trading I've got to join the chorus and voice my opinion that these are some of the toughest markets to trade I've ever experienced, so new traders have kind of a double whammy working against them."
Actually, IF THEY SURVIVE THIS PERIOD, I figure they will be well suited to make some decent money when things get back to being a little less unmangeable.