"Trading System" Posts
Sharpe Ratio and Sortino Ratio Calculator for Day Trading Strategies
By Lawrence
After I explained in the article, How to Calculate Sharpe Ratio and Sortino Ratio Correctly on Day Trading Strategies, many readers have asked for example on how to calculate the Sharpe Ratio themselves given that all platforms are not reporting the correct values when developing day trading strategies without position sizing. So here it is, […]
Why Do Laurence Connors Market Breadth Trading Strategies Stopped Working?
By Lawrence
The interest of using market breadth to time the markets can be attributed to one person, Laurence Connors, thanks to his influence book Investment Secrets of a Hedge Fund Manager. The book was published back in year 1995. The strategies explained in the book are revolutionary because they are all complete mechanical trading strategies that […]
A Comparison of Hardware Performance on TradeStation Optimization of a Mechanical Day Trading Strategy
By Lawrence
In the process of reorganizing my computers for faster turnaround time, I ended up with Tradestation installed across three computers. The thought of comparing the optimization speed on these machines just popped up. So I jumped in getting that done. Here are the performance results and a bonus comparison against NinjaTrader and MultiCharts doing exactly […]
What We Can Learn from a Simple Yet Robust Mechanical VIX Based Swing Trading Strategy
By Lawrence
Many traders love to know how to utilize various market breadth statistics to improve their trading. However, majority of the narratives out there are all guess work based on visual inspection and speculation on how a market breadth statistics can be interpreted. Unless you have in-depth knowledge about market breadth, it is difficult to tell […]
Defensive Money Management Explained: How to Evaluate a Trading Strategy (or Your Edge) Objectively
By Lawrence
One of the fundamental questions that we have to ask ourselves when we see a profitable trading strategy is that whether the strategy will reform well in the future. All kinds of testing are invented from walk-forward testing to Monte Carlo simulation for the sake of giving us an idea how good (or bad) the […]
What’s Next for the Site,Money Management Requests and How am I Doing
By Lawrence
To answer a number of questions all along similar line of thoughts, here are my answers. My current spam to actual email ratio is about 15 to 1. My spam filter could only catch 50% of the spam mail. The actual number of emails that I need to response to personally is now about 50 […]
The Real Secret of Trend in Day Trading: Finding the Point of No Return
By Lawrence
We often hear traders talking about trend – trend is your friend, do not fight the trend, etc. Yet we seldom hear a room full of traders agree upon what the current trend is. This casual observation leads many people to believe price based analysis (I hate the term technical analysis) is not really that […]
Update on Quid Piker the British Pound Trading System
By Lawrence
It has been a year since I published the Quid Piker trading system for British Pound. I guess it is a good time to review the model and discuss about forward expectations of trading systems. Update on Performance Following is the net pip gains chart updated up to Jun 30, 2015. As explained in the […]
Kevin Slavin: Market Trading Systems Need To Be Rebuilt For Humans
By Lawrence
The problem Kevin Slavin described here is very real. Humans are indeed getting clueless on how these bot driven markets are doing. His suggestions, interestingly, is exactly what I am trying to accomplish with the development of the Real-Time Trading Assistant, a tool I have created to deliver meanings and context about the markets in […]
Overnight Bias: Emini Night Owl Long Play
By Lawrence
Emini Night Owl Long Play trading system is designed to take advantage of the overnight range expansion behaviour mentioned in the Emini S&P Afterhours Behaviour series. This model has strict control on risk and performed very well over the past 10 years. It is one of those hidden gems one has to look very hard […]
