I must admit I've been flagging this last week and the trading system challenge took a back seat to the day job. However, aside from watching the Giant Slalom tomorrow it's relatively clear waters ahead for the next few weeks.
I really enjoy taking tips and inspiration from Dr Brett Steenbarger's blog. I can't remember the link, but it was something along these lines that caught my eye. In a previous post, the good doctor shared research that showed that great achievers showed tremendous energy (well duh, you might say), but it stuck a chord with me as I was flagging last week.
Energy/ focus/ commitment of purpose all intertwine to give us that drive to excel. It's available all times, yet tantalizingly out for reach or in hiding a lot of the time. Confidence plays and big role, creating a virtuous circle with all the other good stuff above.
It is certainly easier to read about than do, but I find that at least reflecting on this gives me a boost.
So with this in mind, I've set myself the following challenge:
Complete research on the following ideas by March 20th
1.
Split the Agg M
strategies. A) which are the best trend following indicators? B) Which are the
best MR indicators?
2.
Can these be combined better than the current Agg M model. E.g. is there a better MR component than the -percent rank used.
3.
Bollinger band/
vix based system.
4.
Pairs based vix
system as outlined here. I wonder if this is trade able using futures or spread betting or whether the fees would destroy and edge.
5.
Update PE/10
6.
Evening US forex
system.
7.
UK B/O system. In a recent edition of the magazine I edit, I noted that forex markets tend to be trend following (breakout) biased during the UK morning session (07.00 to 11.00) and mean reverting during the late US session (18.00 to 21.00). I want to see this bias can translate into a robust system.
