This week, we’ll explore several ideas on system development, particularly on the multiple entry and exit ideas that might be a powerful tool to be implemented into the currently used trading system. Not really a new one, actually. The technique has been implemented in several development project by several other fellow quantitative traders, but has never been used in a proper way, imho. Some robots with ‘grid’ approach are usually ignoring the most important thing in system development, which is the risk-management and risk-limiting function. I have seen many ‘grid’ system that perform well in all trades but then suddenly wipe out the account in a single occasion. It’s like having the lion in a well-built cage but the lock is unlocked.
And now, Aditya K, a fellow quants, he is a very young boy (but not as young as my fellow in the picture, lol), has shown me his trading performance using this technique in a counter-trend approach, which generally is ‘gridding’ a counter-trend trades off (a suspected to be) an exhaustion condition of a move on a short to mid term time frame. But it seems like he has never been exploring the use of some volatility-measurement tools and other essential filtering aspects which in my experience are very significant in improving the performance of systems.
Meanwhile, the currently used system, called the Ri-VER (ver vy.6c), has been performing well this month. Its been trading well on the accounts and made a 3% gain on them. I hope the market will provide us with another great months ahead. Yeah, good luck to us. 🙂