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Trading System Concepts and Design


Trading models are created so that the so called human factor can be minimized. Most of the time, production trading models are utilized by firms like hedge funds and larger institutions. Retail traders having access to backtesting tools like TradeStation and other trading platforms can build their own trading systems easily but rarely do they successfully deploy any models to trade their own money.

Over the years I have helped many hedge funds and pro traders developing, refining and maintaining trading models. The sharp contrast between professionals and the retail traders in understanding what trading systems are driving me insane sometimes.

Here is a partial list of articles I have written on building trading system over the years. I have organized the material below into several sections so that it would be easier to find them. Whenever I can locate the rest of the articles I have written will add them here.


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alphabetical order | posting date

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Seeking Alpha - Bankable ETF Strategy: Festina Lente

Article published at Seeking Alpha, Bankable ETF Strategy: Festina Lente ...

No comment yet


Seeking Alpha - Bankable ETF Strategy: Simpleton Counter-Trend

Article published at Seeking Alpha, Bankable ETF Strategy: Simpleton Counter-Trend ...

One comment


Seeking Alpha - Bankable ETF Strategy: Double Up

My first article published at Seeking Alpha - Bankable ETF Strategy: Double Up My plan is to publish a series on swing based timing models there for swing traders. Enjoy! ...

3 comments


Defensive Money Management Explained (Part 6) - The Crash and Burn of a Winning Trading Model

Part 6 of the series - The crash and burn of a winning trading model ...

2 comments


Quantum Mechanics and HFT

Quantum Mechanics sounds like it has nothing to do with High-Frequency Trading (HFT) except the fact that they both have sound bites coming from an alien planet. However, if you examine the concept of HFT closely, you would be surprise that some prin ...

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Lunar Cycle - Long Only Model  member only

I have one of my guys worked on this and here is the result of a trading system based on lunar cycle that looks like it works. ...

2 comments


ES 5-min QE Buy_20110617_154157
Impact of Quantitative Easing on Stock Market Indices

Everyone on the street talks about Quantitative Erasing and that it is messing up the markets, causing inflations, etc. Can we really identify the characteristic change in the S&P that distinctly separate its behaviour from its normal self, or, is th ...

One comment


Misunderstanding of Trading System Designs

Most retail traders misunderstand that trading systems are created by ad hoc grinding in trying out all kinds of rules to see if a system is profitable (or whatever metric you like to use as the performance yardstick). Here is a short summary of the ...

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Black Swan 2 - A Simple End of Day ETF Strategy That Works  member only

Some time ago I wrote an article titled The Black Swan that explains the fundamental problem with buy-and-hold strategy when applied onto stock market. This time we are going to take a look at the first of several strategies that can beat buy-and-hold strategy hands down in terms of better risk control and capital deployment.

...

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Performance Sensitivity

For most traders, when tracking their own performances, or measuring the performance of trading systems, a tendency is to look for almost perfect improvement over time. We always want the performances to get better, stay in top shape, etc. In reality ...

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