时间是检验真理的唯一标准，C2是甄别老大的最佳试金石

yager

我最近试验EOD系统，发现70年代之前的市场行为和之后的明显不一样，不清楚为什么，但就是不一样，不能两边赚钱。

CoolMax

原帖由 yager 于 2008-12-22 01:36 AM 发表 谁亏钱呢？胡同里有亏钱的吗？出来吱一声。

 

胡同里没有亏钱，那一定是你的程序交易亏钱了！

yager

老大你是真英雄！

CoolMax

原帖由 yager 于 2008-12-22 01:37 AM 发表 我最近试验EOD系统，发现70年代之前的市场行为和之后的明显不一样，不清楚为什么，但就是不一样，不能两边赚钱。

 

Backtest，顶多从今年年初开始就好了。

zero

The system need adapt to market conditions, the VIX in year 2008 is very high, many systems work this year will not work in 1-2 year

yager

可能不太够，一般是不同时间段测，拉长时间测，换不同sector的股票测，有的是用非美股测，比如用HSI测试在SPX上优化的系统。intermarket validation也很重要。

yager

你是想的还是测过或者见别人测过？VIX如何反映到系统中呢？

NaturalLaw

原帖由 yager 于 2008-12-22 01:43 发表 你是想的还是测过或者见别人测过？VIX如何反映到系统中呢？

只要能明确界定好止损点，就成功了一多半。

止损点设定必须明确，不能模陵两可。

zero

I guess so. In year 2008 the moving of SP500 can be as big as the moving for weeks in year 2005. So in year 2008 trending or volatility systems work better for future DT, but in year 2005 oscillation or scalp systems may work better [ 本帖最后由 zero 于 2008-12-22 01:54 编辑 ]

yager

老大说的有道理。止损点是比较关键的，这是决定盈亏比的问题，好的止损点可能把一个小亏变成盈利，不好的止损点也可能把一个小亏变成大亏。

yager

不好说。有时候想的东西真的run起来就变成另外一个样子了。比如很多technical indicators。

zero

you are right,

Dahutu

Thanks for your kind words, but I am not really an expert..There are so many HH here in Hutong. I am actually a newbie in system trading. I do have some faith in one of the systems I developed this June with data back tested to June of 2006 and forward tested the system from this June to now. The performance has been satisfactory so far. There are several things preventing me putting a system in C2. Firstly, I am still in China and the internet connection to IB is spotty. So I am actually doing some manual day trading everyday and can make some small consistent profit everyday. there is no way I can manually input my trading in C2. secondly, I am of engineering background and not expert in programming, so I will have to get things done in a much slower pace than many other HH here on board...
The system I am mentioning here is the same as what I posted in 168
http://www.trader1688.com/bb/viewtopic.php?f=16&t=17750
[ 本帖最后由 Dahutu 于 2008-12-22 02:08 编辑 ]

yager

老大，有工具可以把IB的操作同步到C2上面，可以自己搞一个test system试运行，先不要让别人看。希望老大回到美国之后能有更好的结果。

Brainteaser

别把最好的system 放到那个web去. 都被内部人学去了, 那个地方就是玩玩的, 随便放个MA crossing 之类的system 就可以了.

zero

Welcome Lao Da's return. I guess you can have system running in local, but send order to C2. So you will not release system secretes to C2
[ 本帖最后由 zero 于 2008-12-22 02:15 编辑 ]

yager

那上面不能编程，只是从外部传输交易指令，不存在这个问题。最大不了他们免费无脑跟。

Dahutu

You are a true HH with a clear path climbing to the top as a HH, I have heard from Chuxue about you...Saw your post about the system you developed, I wish you a great success with that... I would be interested in the tools you mentioned, I will certainly put more efforts in trading after I am back in US.

Brainteaser

那如何system demo啊? 算啦偶先有空看过再说了,不然问的问题挺弱智的.

yager

老大过奖了，我只是个瞎吹牛的小青蛙，别人说的都夸大了。你才是高手。祝老大节日愉快！