The trading has been going well as of late. I placed quite a few trades in this last dip. I've closed two positive positions, and should have 3 more positive on open Thursday and Friday. I would be quite pleased by a 5 win streak.
I've started looking at the past performance on a specific equity and placing priority on those equities that have performed well in the system in the past. I am hoping to eventually code this logic in to a system. If the equity has done well within the system in the past place a larger trade. If the equity has done poorly, either place no trade, or place a smaller trade.
Ideally what I would like to do with any system is create a series of indicators (past performance within any specific system could be one indicator). And use weights of those indicators to determine whether it should be traded or to determine the position size. I am using a package called RightEdge systems right now, (see http://www.rightedgesystems.com/ ) which has created a .NET platform for trading stocks. Unfortunately I'm not quite sure how to build an order manager using there system yet. They have an even that fires each time there is a new bar with a specific symbol. What I really need (for back testing purposes) is an even that fires on a new bar, and then to go over all symbols building up the indicators list for each symbol. I also need to store and access the past performance metric. I then can evaluate all symbols for that bar for the best trades.
I believe this could actually perform quite well for a large number of equities using a variety of dip buying strategies. But I think it will take some amount of time to implement. I also need to have a multiple exit strategy if I use a number of different system entry techniques. Perhaps store a 'system used' variable, and then based off that, send it to the exit manager.
I am rambling now... but it seems like I have an algorithm I would like to use:
1) evaluate all indicators for all symbols (including back test symbols)
2) pass the information to the order manager to determine if an entry should be made
3) for each new bar, if a position is open pass to exit manager. Based off system variable that is stored with the order determine based off the indicator list and rules whether to exit the position.
Simple... right?
Wednesday, July 04, 2007
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