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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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mAXover PosSizing chart
Moving Average Is More Than What You Think - Part 4

The trading system presented in Formula 301 #3 Intraday Moving Average Crossover with Position Sizing is a moving average based trading system that works year after year. Following is a reprint of that article. Many users are very intereste ...

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Classic Daytrading chart
Classic Day Trade Modelling

Before we have access to intraday day data, how do we test trading systems that last only a day? Long time ago, thats all we have access to, and I think it is a good idea for our readers to see how traders utilize classic bias without the help of ...

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Trading System 101 - Part 3 Practical Considerations

Many traders spent weeks, even months to create their perfect trading models. Happy with the results they see in their backtesting, and tracked the real-time performance for certain period of time, they are ready to take the leap of faith to trade th ...

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AIM chart
Advance Issues Momentum - An Update

I have written an article called Advance Issues Momentum published in the Technical Analysis of Stocks and Commodities magazine, August 2004 issue. Here is an update about this interesting indicator. The Concept Advance Issues Momentum is a ...

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oddball system chart
Oddball System - An Update

OddBall is created by Mark Brown, and was featured in Active Trader magazine. It is a trading system designed for trading the S&P index future (or the emini counterpart). The signal generation of Oddball does not depend on the price data itself. Inst ...

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In Early Stage Of System Development, Avoid Position Sizing

Many beginners in trading system development like to play with position sizing scheme. It feels great when you get a great equity curve with spectacular performance by simply twisting what position sizing rules to use and experiment with various sizi ...

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Stoch Mid Point Rev Time Setup
Daytrading The Emini - An Update (Stochastic Midpoint Reversal System)

Back in August 2003, I have an article called Daytrading The E-mini published in the Technical Analysis of Stocks & Commodities magazine. It described a technique called Data Reduction that improves certain type of indicator performance drastical ...

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You Need More Than A Single Setup

Trading for a living requires a lot of discipline. It also requires a lot of streets smart if you trade discretionarily. One thing that many beginners missed is a basic concept of having multiple setups learned and practiced correctly. Pure comm ...

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ARCSL01 equity
Moving Average Is More Than What You Think - Part 3

Some readers are very forthcoming, they simply email me and complained to me for wasting their time in talking about moving average as something that is useful at all. I replied through email asking for their patience and wrapped up this third instal ...

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AIP1 Inverse Equity
Advance Issues Pattern 2

After demonstating a pure daytrading short signals in Advance Issues Pattern 1, we are going to look at the data to see if we can figure out a daytrading pattern that works from the long side. Since year 2000, the S&P 500 is in a major downtrend, is ...

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