Download Systems Trading Betting PDF

TitleSystems Trading Betting
File Size2.5 MB
Total Pages282
Table of Contents
                            Contents
Acknowledgements
Preface
Introduction
1. Trading Systems
2. Why Choose Spread Betting?
3. Trading Resources
4. How To Select Instruments
5. Money And Account Management
6. Black Box Systems
7. Strategy Development - Introduction
8. Strategy Development - Trade Entry
9. Strategy Development - Trade Exits
10. Strategy Development - Adding Filters
11. Strategy Development - Moving Average Example
12. Strategy Backtesting
13. Strategy Optimisation
14. Strategy Development - Putting It All Together
15. Detailed Results Analysis
16. Real-Time Strategy Testing
17. Real-Time Strategy Execution
18. Full Automation
Appendix - Further Strategy Examples
Glossary
Index
                        
Document Text Contents
Page 1

SyStemS
tradinG
For

Spread
BettinG

Gary Ford

Hh

An end-to-end guide for developing

spread betting systems

This is the first book on developing and back-testing systems trading
strategies to be used whilst spread betting. The book details the cycle of
choosing instruments, designing strategies, back-testing and the real-time
trading of those systems and includes many real-life examples.

This book details an end-to-end approach covering all of the aspects required
to implement and maintain a trading system. The focus of the text is the
independent trader, providing them with the information they need to use
readily available tools to develop and trade a professional system.

The book starts by arguing the case for the use of trading systems and spread
betting and moves on to look at the details of selecting instruments,
choosing the most appropriate spread betting firm and the right trading
software and platform.

Ford looks at money & account management and black box systems then
describes in in detail the processes involved in the development of a strategy,
including back-testing and optimisation.

This book is a must-read for anyone looking to develop a systematic
approach to their trading and take their spread betting to another level.

Gary Ford is a successful investor who tired of spending each day following
market moves and searched for a way to remove the constant monitoring
and emotion from his trading. Over the years Gary has developed several
discretionary trading techniques but prefers the simplicity and effectiveness
of systems trading.

Before becoming immersed in the world of trading, Gary obtained an
honours degree in Computer Systems Engineering, the achievement of IET
Chartered Engineer and spent over a decade designing, deploying and
testing mission-critical IT platforms.

"Creating and following a strategy can give a trader the
edge they need to be successful in the markets."

Harriman HouseHh
£39.00

ISBN 978-1905641734

9 781905 641734

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systemsforSB_fullcover:Layout 1 31/10/2008 15:31 Page 1

Page 2

Systems Trading for
Spread Betting

An end-to-end guide for developing
spread betting systems

Gary Ford

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Page 141

Systems Trading for Spread Betting

130

Table 12.1 Performance Metrics available in NinjaTrader and their respective descriptions

Metric Description

Total Net Profit Gross profit – gross loss

Gross Profit Total winning trades including commission

Gross Loss Total losing trades including commission

Commission Total commission

Profit Factor Net profit / net losses

Cumulated Profit Compounded profit over performance reporting period

Maximum Drawdown The maximum amount of drawdown

Sharpe Ratio
Profit per months – risk free return / standard deviation of monthly
profits

Date/Time Range Start and end times and dates of the performance reporting period

Total number of trades Total number of trades taken

Percent Profitable Percentage of total trades that are profitable

Number of winning trades Total number of winning trades

Number of losing trades Total number of losing trades

Average trade Average profit for all trades

Average winning trade Average profit for all winning trades

Average losing trade The average loss for all losing trades

Ratio of Avg. Win/Avg. Loss Win/loss ratio

Max consecutive winners The maximum number of consecutive winning trades

Max consecutive losers The maximum number of consecutive losing trades

Largest winning trade The largest winning trade

Largest losing trade The largest losing trade

Number of trades per day
Total number of trades divided by total number of days in the
performance reporting period

Avg. time in market The average time in days that each trade is in the market

Avg. bars in trade Avg. bars in trade

Profit per month Profit per month

Max. time to recover
The maximum time in days that it takes to recover from a
drawdown, ie, to get back to break-even

Average MAE
Average maximum adverse excursion which represents the worst
loss level a trade reached

Average MFE
Average maximum favourable excursion which represents the best
profit level a trade reached

Average ETD The average End Trade Drawdown

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Page 142

Strategy Backtesting

131

Possible metrics to observe

When creating a trading system for the first time it is easy to focus on the total net
profit and the percentage profitable figures.

Total net profit

Total net profit is the sum of all of the losing trades (gross losses) subtracted from the
sum of all of the winning trades (gross profits). Sometimes this can be an ego-boosting
figure, although I would recommend that it is only used as a guide because the actual
figures obtained, when the strategy is run real-time, can be very different. It should
also be noted that strategies created using the wizard do not have access to any money
management facilities, so you will be unable to position size your trades correctly
based on available account capital.

Percentage profitable

Percentage profitable can also be a misleading figure. Whilst it is highly desirable to
have a strategy with a high probability of success, using a proper money management
approach can allow the trader to have a low percentage of profitable trades and yet
still return an overall profit. Typically a trend following strategy will have a high
percentage of losing trades which are stopped out or closed for a small loss, and a
small percentage of large successful trades.

Better metrics to observe

This section details the performance metrics that I focus on during the results analysis
phase of backtesting. A key point to make is that not one single metric should be
looked at in isolation as each one has their benefits and drawbacks. It is also rare to
find a system that exhibits healthy values for each of the performance metrics. Many
systems will have positive results in certain areas, but then experience poor statistics
for another metric. Compromise and discretion play a large part in choosing the final
strategy to trade with.

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Page 282

SyStemS
tradinG
For

Spread
BettinG

Gary Ford

Hh

An end-to-end guide for developing

spread betting systems

This is the first book on developing and back-testing systems trading
strategies to be used whilst spread betting. The book details the cycle of
choosing instruments, designing strategies, back-testing and the real-time
trading of those systems and includes many real-life examples.

This book details an end-to-end approach covering all of the aspects required
to implement and maintain a trading system. The focus of the text is the
independent trader, providing them with the information they need to use
readily available tools to develop and trade a professional system.

The book starts by arguing the case for the use of trading systems and spread
betting and moves on to look at the details of selecting instruments,
choosing the most appropriate spread betting firm and the right trading
software and platform.

Ford looks at money & account management and black box systems then
describes in in detail the processes involved in the development of a strategy,
including back-testing and optimisation.

This book is a must-read for anyone looking to develop a systematic
approach to their trading and take their spread betting to another level.

Gary Ford is a successful investor who tired of spending each day following
market moves and searched for a way to remove the constant monitoring
and emotion from his trading. Over the years Gary has developed several
discretionary trading techniques but prefers the simplicity and effectiveness
of systems trading.

Before becoming immersed in the world of trading, Gary obtained an
honours degree in Computer Systems Engineering, the achievement of IET
Chartered Engineer and spent over a decade designing, deploying and
testing mission-critical IT platforms.

"Creating and following a strategy can give a trader the
edge they need to be successful in the markets."

Harriman HouseHh
£39.00

ISBN 978-1905641734

9 781905 641734

S
y

S
t

e
m

S
t

r
a

d
in

G
F

o
r

S
p

r
e
a

d
B

e
t

t
in

G
G

a
r
y F

o
r
d

Hh

Gary Ford

systemsforSB_fullcover:Layout 1 31/10/2008 15:31 Page 1

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