the answers

Answers on questions.

I now want to switch from index trading, for trading stocks and futures.
Mindful of your indulgence towards beginners and perhaps a desire to help in the first steps, decided to ask you for help.
Perhaps some of the questions will be completely stupid., well, excuse me.. ))

1) Based on my practice, advise where is the most correct place to set the stop? Why?
(for me this is not a solvable task)

The stop will depend on the idea of ​​your system. There are no generic methods.

2) Written by: Margin requirements (Initial 2970$/ Maintenance margin 2200$)
What's the difference between “initial” And “Supports” by margin? If I have 1000$, how many lots can I buy at their current price 0,9162 (австр.дол.).

I.e, originally, to buy one contract, you must have on your account 2970 Dollars. While holding a position, the account should not fall below 2200 Dollars. If you have only 1000 Dollars, you will not be able to buy any contracts.

3) In case of expiration of the contract, my position is closed at the current price? Is it worth keeping?

Yes, closes at the current price, if the broker does not support delivery, and in this case, the date will be different — before the expiration of the contract.. You can switch to the next month's contract in advance or on the same day, that is, sell this one and buy the next.

4) Written by: Commission 6$ for the lot. Min.kom. 10$.
Does this mean what the 1 lot, whose current price 0,9162$ on the exchange, I cry 6$ Commission? This is how I will pay off???

Not, if min.kom 10 Dollars, you will pay at least 10 Dollars. It really isn't that much, since only one tick of the full AUD contract, if I'm not mistaken, 12,5 Dollars.

5) Not sure, Did you know, all shares are adjusted on the NYSE? After last week's rise, I can't find any paper, what would fall, although at other times they walk mostly differently.
That's why you trade futures?

Not, most of my trade is stocks. Certainly, they are correlated, however, like all stock markets in the world.

Answers to Palych's questions

Yuri, when you had a press conference, You said you can ask questions right here.

Yes, certainly.

“I will have a question about testing. Describe, if not difficult, testing and optimization process in a few sentences. In the literature, it is recommended to divide the entire testing period into several intervals and test the system separately at each of them..

An idea comes to mind, the program encodes inputs, exits, test starts, analyzes the results. The literature recommends correctly. For example, parameters for the system are selected on the interval 2000-2007 of the year, and then if the results are good, the site is tested on the interval 2007-2010 of the year. If negative results are obtained in this interval, then the parameters were just adjusted and the system does not inspire confidence. If on this interval the results are just as good, that is, the hope that the system will work in the future. The testing interval should include various market conditions — bearish, bull markets, saw, high, low volatility. Then you need to check transactions manually, at least deals 50. Often, after such a check, it turns out that the system looks quite cunningly into the future due to the peculiarities of a particular testing program..

See also. How do you test the inputs, feet, exits. All separately and then only combine into the system. Or else first “come up with” system and then test it entirely.

Бывает по разному, depending on the idea. For example, if we catch an instant price change, then the exit should be immediately when the movement is exhausted, since the idea of ​​the system — моментум. If the idea — catch big movements completely, then trailing exits.
BUT–a-a understood, You probably mean to test the outputs for random inputs and inputs for random outputs.? Not, I very rarely do this and only for the purpose of specialized research. And in general, I immediately test the system completely, where the inputs and outputs correspond to the idea of ​​the system.

How do you evaluate the test results and how do you compare the systems with each other based on the results of such testing.

First of all, I look at the equity of the tested system and you can see everything from it.. It should be smooth, without large drawdowns. From the coefficients, I watch everything that is possible, but if you arrange them in order of importance, then it will be like this:

Recovery factor
Коэффициент Шарпа (for portfolios)
Average profit per trade
Profit factor

I don't like it when the ratio of winning / losing trades is less 40%. AND, respectively, when the size of the average losing trade significantly exceeds the value of the average winning trade.

There is such a book – R. Colby “Encyclopedia of technical market indicators”. Paid attention to her? There the author briefly describes the testing procedure., and then gives the results of testing various systems and indicators in the MetaStock program.

Yes, but long ago, so I don't really remember. If I'm not mistaken, it just tests different indicators one by one? I also tested all available indicators in due time.. But it's better to combine them — alone as filters, others as a trigger. But every day the markets are becoming more efficient and traditional indicator systems are becoming, vice versa, неэффективными :)

He also describes the testing procedure and indicators in his book. “Computer analysis of futures markets” C. Lebeau.

Yes, remember, I listened to this book on headphones while jogging in the park about four years ago. I liked her — the author writes truthfully, does not promise mountains of gold.

Already studied everything that is possible. And from which side to approach testing, I did not fully understand.

Well i guess, if from the very beginning, then you just need to take ready-made public systems and study them a little at different markets, and there your ideas will appear.

Press conference

Here, it turns out they write to me in private messages, and also some emails got into email somehow, I didn't even notice, as I rarely check. Therefore, I will try to answer some questions here., especially since many questions are repeated.

what literature on the topic was studied and what from read, in your opinion, deserves special attention;

I read a lot of literature, especially in the beginning — almost everything that came across, some literature, Really, diagonally or just flipped. But one of the first from which I learned what markets are like and how it all happens — Parshikov and Tvardovsky & quot; Secrets of stock trading" — just got caught one of the first, quite informative and to the point. Think, for beginners, all the books that describe the initial information deserve attention. But the books, where the guaranteed income is declared after reading, I think, can harm and create false illusions for beginners.

I dug a small system (true in Ami but the code is flawlessly simple), wrote under the Russian futures, but it would be interesting to see the results on the bourgeois futures. Could you, if there is time and desire of course, look at this case, how would it work there

Not, I didn't manage to make friends with Amibroker, that's why I already forgot how to do what there. And I never knew the syntax of the language, therefore I will hardly help in this matter. Try to ask on the spider — there a whole section is reserved for the Amibroker.

Are you related to the broker JCTradinggroup?

Not, никакого. I was surprised at this coincidence when they appeared here.. Сначала думал, maybe joking. But no.. :)

– did they trade on the Russian FR (MICEX, FORTS),And, if not, then why;

Yes, certainly. I started with forex and a month later I went to Guta-bank (now VTB-24) draw up documents for opening an account on the Russian stock exchanges. But since I was a non-resident, then quite high taxes were — 33%. I also did not like that every month I had to carry a signed piece of paper confirming transactions to the bank. As soon as you don't bring a piece of paper — chopping off trade and portfolio. I got tired of it quickly and became a long-term investor, who I still am. :)

– where did you start trading: selection of markets, tools, system, deposit amount;

I started with forex at the end 2004 of the year, then a month later the MICEX, and almost simultaneously opened the first account in the USA and gradually the focus shifted to American stocks. Initially had no idea about markets at all, did not know how a stock differs from a bond, but I'm very glad that there weren't even then seminars and videos for day traders, so I just didn't know about this trading style, а то бы, чувствую, I would lose a lot of money. Having opened an account in the USA, I began to search on the Internet for what kind of companies there are in the USA — I knew one — Microsoft and bought it right away. Then I found Bank of America — well I think, if the bank is cool — also bought. In general, I bought according to this principle. Kept losses and cut profits. It was lucky that it was not a bear market and ended the first year in positive territory, but this year has already more or less figured out with shares, but still did not understand what futures and options are. I studied everything that could be studied and tried to trade everything that could be traded and in the second year of trading I got a huge minus in grain futures, but forex and stocks gave a common plus. Then it so happened that I stumbled upon the right path that changed everything. — specialized programs for creating trading systems. From that moment on, a completely new stage began..

what is your algorithm for creating a trading system;

Differently every time, but more often by inspiration. Sometimes ideas come, when I read literature, forums. Sometimes you can just test other people's systems, since I have no illusions about my exclusivity and I am sure that there are systems better than mine, why not use. I just bought systems a couple of times, which seemed to me worthy of attention. So there is no algorithm — by inspiration :)

at the moment you have some kind of off-line employment, well, let's say a company on those or other shares?where do you go to work for a salary??well, or completely and completely went into trading?

Not, there is no other employment for a long time, for years 6. That is, I am fully engaged only in speculation on stock exchanges.. True, in the summer, roller skates take a lot of time when the weather is good.

in general, if not a secret, give yourself some help about how you came into this business?In principle, you are already normal, you could have found the 90s in their most interesting climax))

Yes, 90-e years I found. Then he lived in Lithuania. Just in 91, he quit his job in his specialty after college and went to trade, first changed the currency, then various little things. When did the internet appear (approximately at 97 year), began to earn there with affiliate programs — first for clicks on banners, then with a percentage of sales on American sites. Littered the whole Internet with commercial sites in English, every day I sculpted a few pieces on free servers, then I began to buy my domains too — for many queries in search engines, sites appeared on the first pages, which brought a lot of traffic for several years. Then something changed and the search engines banned the sites, considering it spam or just their algorithm has changed, but by this time I had already moved on to speculate on the stock exchanges. That's how it came :)

here you go, the main questions were. If you haven't answered anyone, write to blog, otherwise I may not even notice in the mail among the daily spam.

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