From Idea to Automation
This series will walk through the formulation of a trading idea, the development of a trading system, backtesting, refinement and optimization of the system, and automation (charts submitting trades directly to brokerage and managing trades). Videos will be posted to this page as they are produced. If you have any feedback or suggestions, open a support ticket.
- Video 1: Idea Through Trading System (26 minutes) June 18, 2010 In this first video, we formulate our trading idea (Fading the VWAP Bands), develop it into a trading system, add the system to a chart and perform our first backtest. I also discuss why I'm doing this, why this system was chosen, and what I intend to accomplish with this video series. System Definition - This link provides the system definition for the system that resulted from the work done in Video 1.
- Video 2: System Refinement and Optimization: Part I (31 minutes) June 22, 2010 In this second video, we took a closer look at the backtest reports and identified key statistics to keep an eye on during our refinement of the system. We re-coded the system to allow for optimization. We performed our first optimization in which we found the optimal targets and stops. System Definition - This link provides the system definition for the system that resulted from the work done in Video 2.
- Video 3: System Refinement and Optimization: Part II (27 minutes) June 25, 2010 In this third video, we continue to refine and optimize the system. We were able to substantially increase the profit per contract with some changes suggested by users. The band magnitude was optimized and code was added to prevent trading during the first hour and to prevent trading during trend days. System Definition - This link provides the system definition for the system that resulted from the work done in Video 3.
- Video 4: Scaling Out: Adding a Second Target (15 minutes) June 28, 2010 In this fourth video, we continue to refine and optimize the system by adding a second target at 5 points to lock in profit. This change increased our ratio of winning trades to losing trades substantially. System Definition - This link provides the system definition for the system that resulted from the work done in Video 4.
- Video 5: Tightening Stops: Locking In Profits (18 minutes) July 2, 2010 In this fifth video, we look at moving our stop up to break even after hitting our initial 5 point target in order to lock in profits. The option of adding to our position instead of exiting when prices comes back to our entry price was discussed. We concluded by discussing some enhancements to the VWAP indicator that should benefit our system as well as how we plan on moving forward. System Definition - This link provides the system definition for the system that resulted from the work done in Video 5.
- Video 6: Reality Check (21 minutes) July 15, 2010 In this sixth video, we put the system we've developed through a reality check to see if it stands the test of time. We also put our system through a Realization process (walk forward optimization). System Definition - This link provides the system definition for the system that resulted from the work done in Video 6.