Better System Trader is the podcast and blog dedicated to systematic traders, providing practical tips from trading experts around the world. He mentions a Bollinger Band idea which is also published in his book Unholy Grails. Now for the entry and exit rules. The upper Bollinger Band will be 3 deviations from the central line, the lower Bollinger Band will be 1 deviation below the central line. Buy on the Open the day after a stock closes above the top Bollinger Band Exit: Exit on the Open the day after a stock closes below the lower Bollinger Band. The equity curve of the basic strategy shows a general trading in equity with a few periods of drawdown:. A market filter is used to switch a strategy on or off based on broader market conditions. The day moving average was chosen to match the Bollinger Band value, other moving average lengths may work better but will need to be tested. There are periods during the test where more trade entry signals are presented than we can take using a maximum of 6 positions, so we need to decide which stocks to choose when this happens. When a number of stock entries occur on the same day we need to make a decision on which ones to take. We could choose them randomly but we would need to run monte carlo simulations to get a better indication of the possible variations using this method. I prefer to add a simple ranking system to the strategy so stock selection is completely systematic. I expect the strategy will perform best either just after a bear market or a period of consolidation, entering at the start of a new bull market or breaking out of consolidation and riding it higher. Logically it makes sense but what do the results tell system It may have not impacted too many trades so the addition of the ranking may not be statistically significant but it does provide a systematic method to choosing stocks when multiple opportunities present themselves. The win rate of It appears the strategy has some potential and warrants further investigation. Some areas of consideration could be:. Hans van der Helm. April 27, at 8: Is it possible to post or send me the code of this system? April 27, at April 27, at 1: Thanks for that interview with Nick and the analysis of his Bollinger Band system. Looking forward to the AFL code. April 27, at 3: April 27, at 4: Really enjoying the podcasts and the great information you provide. Could you please send through the AFL code. April 27, at 5: Although there is a downtrend, the chose period has two uptrends. If you were to remove those companies from the index, what would be the trading To what degree are your results influenced by a few outliers? April 27, at 6: If I remove all the AAPL trades, the Annual Return is Still I am flipper about outliers. I would be nice if you could add to the blog a histogram of returns per stock traded, maybe at least the top trading ones. Then it will be clear if the performance was due to a few random outliers or due to system method. Apologies for the request but I do not have the data to do it, otherwise I would. I hope that answers your questions. Please keep in mind that this research is not a complete trading system, it is just a starting point. The purpose of the research was to determine if the strategy that Nick mentions in the podcast has potential in other markets. It appears it may but further investigation obviously has to be completed before taking it further. Nice article, can u please mail me the code so i can test it on instruments i trade. April 27, at 7: Hello Andrew, Thank you for the great Information and Podcasts. I also enjoyed the interview with Cesar Alvarez. Keep an eye out for the next few episodes, we have some awesome traders coming — Kevin Davey, Gary Flipper, Rob Hanna, Howard Bandy and more. April 27, at 9: I like many of the concepts used in this system. Some of my concerns or ideas for improvement are: Keep in mind that Nick Radge uses this strategy on the ASX and it produces better results than the results in this test, which tells me the strategy is robust. If you want more details I highly recommend you check out his book Unholy Grails. Can you please send me the AFL. April 28, flipper System getting started with AFL and need all the good sample code I can read. April 28, at 9: Cesar has offered to open his AmiBroker Backtesting course to Better System Trader podcast listeners. The offer is only valid until May 20th and numbers are limited so get in quick. Keep an eye out for the podcast interviews we release system May 18th and May 25th where we discuss more about this. April 28, at 8: Very impressive results for such a basic system. Could you please send me the AFL code. April 28, at 3: April 28, at 5: April 28, at 6: April 29, at 9: Hi Jan, your spam filter is blocking the email so I cant send to you, can you fix or email me andrew bettersystemtrader. Flipper 29, at April 30, at 1: Hi Andrew, thanks for the podcast. Really appreciate your effort. Could you help with the code. April 30, at 8: May 1, at Would love a copy of your AFL code for this system. May 1, at 8: May 2, at 3: Many thanks for this interesting article. Would it be possible to have a copy of the Amibroker code? Have a good one! May 2, at 8: May 2, at May 6, at 7: May 6, at May 14, at Thanks for the strategy. I have seen so many promising strategies that trade only LONG. I am yet to see a strategy trading profitable both LONG and SHORT. This would be a one up for your site if you could get an expert to write up an article on such a strategy. May 15, at June 4, at 2: May I please have a copy of,the AFL for this post. June 4, at 3: Hey Trading, click the Blue download button just above the comments section to download the AFL code. September 23, at 4: Lucky to see your website. May i get the afl code for deep studying? October 10, at October 11, at 3: November 11, at 5: November 12, at May 19, at 5: I would like to use the code to learn how to program an efficient strategy. Please send me the AFL code. May 19, at 9: January 21, at 9: Can you please send me the AFL code for this as I am using Amibroker and would like to back test the same. January 22, at 8: Trading stocks, options, futures and forex involves significant risk of loss and is not suitable for everyone. Past performance is not necessarily indicative of trading results. Podcast Blog Trading Books Sponsors About Contact. Better System Trader Better System Trader is the podcast and blog dedicated to systematic traders, providing practical tips from trading experts around the world. The trading rules Firstly, here are the test parameters: Nasdaqusing historical constituents to eliminate survivorship bias, data from Premium Data Test period: This period was chosen because it has a mix of bull and bear markets, along with high and low volatility Starting equity: Comments Hans van der Helm April 27, at 8: Kind regards, Hans van der Helm. Andrew- Thanks for the write up. I am interested in the afl. Appreciate your work on this. Thanks for the great information. Could you please email the afl? I can provide the AmiBroker code if you want to test it for yourself? Can you please send the AFL code? Hi Andrew Thanks for that interview with Nick and the analysis of his Bollinger Band system. Hi Andrew, Really enjoying the podcasts and the great information you provide. Good article, I really enjoyed it. Could I also have the AFL to play with? Hi Rick, the AFL code is on its way. Thanks a lot, got it! Hey Rick, Great point about considering the outliers. Hey Gav, glad you enjoyed it. The AFL is on its way. Hi Ran, have just sent you the code. Cheers Mandeep, just sent you the code. Love the website and podcasts. Keep up the great work! Could you send me the AFL code? Please send the AFL code. Hey Emil, have just emailed you the AFL. Hi Peter, have just sent you the AFL code. Nice podcast Could yo sent met the AFL Code Thanks. Thanks JanWillem, just sent you the code. Ok sorry I have sent you my gmail address by seperate mail thanks again. Hey Vivek, glad you like the podcast. Have just sent you the AFL. Just sent you the code. Hi Miro, have sent you the code. Hi Stephane, glad you liked it, have just sent you the AFL code. Could you please send me the afl code. I am interested in further studies. Flipper Perry, thanks for the comment. Check the blog next week, Rob Hanna provides a simple trading idea that does exactly that! Hi, click the blue download button on the page to get the AFL code. Hey Phil, click the blue Download button just above the comments to get a copy of the code. Andrew, Just found your podcast and this was the first one I listened to — GREAT stuff. Thanks Simon, glad you enjoyed it. Hi Andrew, thanks for this great post. Hi Philipp, click the blue Download button just above the comments to get a copy of the code. Dear Mr Andrew Swanscott Can you please send me the AFL code for this as I am using System and would like to back test the same Regards Ashok. Hey Ashok, click the blue download button to get the AFL code. December 16, at 5:
Fleming sneaks into the room but finds himself unable to pull the trigger.
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