Yes, the material in the books gives you a good insight in what is required for developing an automated system. Problem is that you can't use the example systems from the books. They are normally not profitable, even though they appear so at a first glance.

System ideas come from thinking about which type of market inefficiency - cycles, season, gaps, trends etc. - could be exploited, and then using available tools for detecting this inefficiency in a price curve and generating trade signals. There are many different inefficiencies and any of them can be detected in many different ways, so there's an unlimited number of profitable strategies that could be developed.

Hi jcl,

yes, I am coming round to it. I think my unease has been partly with some of the systems that I come across, rather than the procedure itself; these do not provide any "model" for the market, but put up degrees of freedom which end up somehow working with a backtest set. The absence of clear rationale makes this appear rather fickle and contingent (so I need a fast MA period of 9 for 2006 but 17 for 2007, yeah, that will do...). Obvious "quantitative" algorithms like cointegrated pairs trading or Markov switching time series models do attempt a direct representation of what is happening, which somehow makes me trust them more. This may be wrong in the first place as some of the classical models postulated in finance are really pretty rubbish (Markowitz: we consider normal returns and investor utilities only, we neglect estimation and model risk... -- Black-Scholes: normal increments, no transaction costs, static vols in time and across strikes, complete markets meaning the options being priced are effectively redundant) and a strong intuition that has held true in the past (as a "stylised fact") is likely worth at least as much as a starting point, objectively speaking.

In fact, thinking about Markowitz in particular, I don't really see in what ways the standard process is any more rigorous that that described in the various books we have mentioned. I do think that the boundary between working on a system / "optimising it" and "throwing a lot of mud at a wall in the hope that some of it will stick" is fluid, there will be no magic statistic telling us when we cross it, and I suspect that always remaining aware of this is the main skill to develop. I am writing this after rereading the section on Luxor MAE/MFE in J+T which I think is absolutely superb, but which could easy turn into one such overfitting exercise if tackled from the wrong angle or in the wrong way.

Anyway, I am sort of rambling now so I'll stop; thanks for the insights so far.

Is the common MTF approach which is a lower TF entry trigger based on a longer TF
really right or profitable?

I am trying to make this type of a system.

The study by Aronson found that those systems are unprofitable with all usual assets.

It might be different when complex additional filters are used or the time period is adapted to the price curve spectrum.

Thanks, I will keep trying.

I also trying to catch major big move from a lower TF.
Usually if we want to make big pips we will go to higher.

However one of the famous fx bot, FGB can do that. It seems to use only 15min TF. Risk is smaller yet profit bigger.
http://www.myfxbook.com/members/fxgrowthbot/forex-growth-bot/71611

I don't know if it is right approach,
do you have any practical advice to catch big move from only lower like 15min?

From what I see from the equity curve of that bot, it has very steep drawdowns. This does not look like a normal strategy. It more looks like a grid trading system.

There is also one hint in the fxBook stats that this bot might be scam and its profit might be fake. Can you find it?

People really believe this bot and I don't know what is that hint.
Why do you think it has low profit? It is one of the top earners in myfxbook.
What bots do you think is great and real?

The hint that I mean is the $250 initial capital in the account. If people want to sell scam robots, they open a large number of fxBook accounts, each one with a very small money amount. Then they let variants of their robot trade on every account. Most will wipe out the account sooner or later, but a few will survive. This has nothing to do with the quality of their robots, it's just statistics. The best account is then advertised as the live result from their robot. Because they opened the accounts with only $250, fxBook gives them a crazy gain rate such as 1700%.

The real annual gain, as you see from the equity curve, is in the 40% range. This is very low profit in relation to the drawdown risk. Anyone trading this robot since 2012 had lost his money. Even simple strategies from the Zorro tutorial can do better than that.

We have looked into a couple of bots, and although it is of course possible for a robots to produce good profit, we found none so far. This might be related to the robot buyer scene.

>>the time period is adapted to the price curve spectrum.

How can I do this in Zorro?

What do you think this new scalping robot?
It will be work or not scam on life trade?

http://www.powerful-scalping.tk/