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Sunday, August 27, 2006

TRADINGSYSTEMS AND THEORY

You may have wondered why I didnot update my blog regularly this summer. The resaon is quite boring: I went back to my study to work on several aspects on my tradingsystem.

I have to admit I worked at this for quite a long time before but the last months I focussed on some of them. Trading is a live time endeavour and by no means you will get all the answers but trying to see where u can go is a challenge by itself.

The things of my interest are:

  • 1. Can something be said about drawdowns and losses for a given tradingsystem?

  • 2. Can you expect bigger losses than your backtesting and actual trading results shows?

  • 3. What is the nature of my return distribution?

  • 4. How do you know if a tradingsystem gives better results than random?

  • 5. Is there a better measure for trading performance than the Sharpe Ratio?

  • 6. What effect does stops and targets have on my tradingsystems?

  • 7. What effect does autocorrelation and trade dependancies have on my tradingsystem?

  • 8. Is it possible and if so ,how, to maximise my trading in terms of risk and return by combining different tradingsystems?


  • As you can see, quite a lot of questions to be answered and a lot of theoretical work so it is not surprising that I was surprised pleasantly by an article in Traders of september about a traders tournement which is held every year in Europe and organised by Emilio Tomasini (www.toptradercup.com).
    Asking myself if I would try to. But how are the rules of the game, eg, how do they measure somones performances?