The Systems

DISC 

DISC is the abbreviation used when posting a discretionary trade.

Discretionary trades are trades that aren’t from any validated, tested, vetted trading system.   The trades could be based any of a number of observations about market action.


ESBP21

ESBP21 stands for ES (SP500 e-mini) Bias Predictor, version 21.  It’s an involved system, that calculates the profit factor for a large range of risk/reward combinations, for 8 moderately correlated futures and ETF markets, every minute.   For each market, using the summed tally of 5 (loosely correlated) sub-systems each, a “heat map” is developed of the profit factors of a large matrix of risk/reward ratios, for each (time stop) horizon in minute increments from 20 minutes to 2 hours out.  All the heat maps are combined into one using some novel weighting, to arrive at a single best “Bias Prediction” (a risk/reward combo) that (1) several markets concur is likely to be profitable, and (2) surrounded by other biases which are similarly profitable.   An algorithm calculates the “quality” of each bias in the matrix, and if there is a particular bias with a “quality” that is above a threshold, a trade is triggered for the bias with the best “quality” ranking.  (Note  – the quality is being calculated both for all risk/reward combinations, as well as all tracked time horizons, so in effect the software is finding an optimal cluster of profitability, and the nexus of that cluster, in a 3-dimensional space.)  All risks and reward excursions are based on an aggregate of recent volatilities.

The system was created using about 8 years of in-sample historical data.  After initial development, comparable results were found with 2 sets of non-overlapping out-of-sample data.

The system can trigger trades from 10:30 to 15:30 US Eastern Time.   All trades have a time stop at the end of the trading day.


TFMomo07

TFMomo07 stands for TF (Russel e-mini) Momentum, version 7.  It is a system which trades the Russell futures emini, TF.   It’s a “system of systems,” in that it consists of a number of individual trading sub-systems, the results of which are tallied together, to create an overall trading signal.  The sub-systems attempt to predict momentum of TF.   As of this writing, about a dozen subsystems exist.  Most are pattern systems, but there are also momentum systems, an OB/OS system, a time-of-day system, a system based on market internals, and a system designed to follow certain “indicator” stocks which, that day, appear to presage the overall market bias.   The sub-systems are disparate in terms of design, and fairly uncorrelated in terms of daily and weekly returns.

The system was created using about 8 years of in-sample historical data.  After initial development, comparable results were found with 2 sets of non-overlapping out-of-sample data.

The system can trigger trades from 10:30 to 15:30 US Eastern Time.   All trades have a time stop at the end of the trading day.

Stop and profit excursions are volatility based, and take into account both aspects of the prior several days’ ranges, as well as the so-far-today range.