Category Archives: Trading System Design

Automatic Generation of Trading Algo Code in Price Action Lab Software

The new system code feature of Price Action Lab significantly improves the code generation capabilities of the software by allowing trading algo generation from any number of price patterns, long, short or both. Share

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Are Historical Data Prior to 2009 Obsolete for Developing Trading Systems?

I investigate the validity of claims that data prior to 2009 are obsolete for the purpose of trading system development. It is shown that a high proportion of profitable price patterns in more recent daily data maintain their profitability in past data. … Continue reading

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Developing Trading Systems Based on a Large Number of Price Patterns

Suppose that you have a large number of price patterns that you have tested and decided to trade. How do you develop a trading system based on them?  Apparently, there are many ways of doing this that offer increased flexibility … Continue reading

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Why You Should Avoid Purchasing a Trading System

You should avoid purchasing a trading system because there is usually no way of knowing how it was developed. There are many “trading system outfits” that use data-mining to generate systems they claim are robust. However, depending on how this is done, … Continue reading

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Fooled by Persisting Market Conditions

This blog is related to the previous blog on the RSI(2) but also conveys a much more general message about the impact of persisting market conditions and how they can fool trading system developers. In the case of the RSI(2) it … Continue reading

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Profiting From the Losers

Trading system developers usually look for profitable algos that stay profitable but one could instead look for profitable algos that have high probability of turning unprofitable and then trade against them during a period of mean-reversion. Share

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How I Beat the Market Over the Past Six Months

This is a brief account of how I managed to beat the S&P 500 buy-and-hold return over the past six months, the mistakes I made and why I will not do it again this way. Share

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