The whole process of compiling a successful EA and the matters needing attention


From the perspective of system trading. Compared with the bottom-up trading strategy, the top-down trading strategy has the following advantages:

1. It is helpful to grasp the relationship between local frustration and global failure.
2. It is conducive to the risk control of trading system.
3. It is conducive to the maintenance and modification of trading system.
The modification of trading system caused by the deviation of trading system from market characteristics mainly includes the following situations:
1. The parameter value of trading system needs to be modified.
2. Some rules of the trading system need to be added or deleted.
3. Amendments caused by changes in investment market rules.

Screening of trading system

Not any stock, foreign exchange and futures contracts can be traded by the system. As the trading object of the system, stock, foreign exchange and futures contracts must be tested in the following aspects to determine whether they are tradable.

1. Check whether there is sufficient liquidity.
(1) The level of liquidity is directly related to the transaction cost, and the decrease of liquidity will lead to the increase of transaction cost.
(2) The level of liquidity is directly related to the selection range of trading methods.
(3) Liquidity is directly related to the efficiency of risk management.
The liquidity of the spread market mainly includes the following observations:
(1) Check the continuity of price movements.
(2) Check the size of the bid ask spread.
(3) Check the volume.
2. Check whether there is a long enough transaction history.
(1) Check the data length of futures contract.
(2) Stock data length check.
3. Check whether there is sufficient information source.
4. Check whether there are enough market participants.

(3) The formulation of trading strategy

The formulaization of trading strategy is to transform the idea of trading strategy into precise mathematical formula or computer language formula, so as to make it a formula system that can be recognized and verified by computer.

The formulaic process of trading strategy can refer to the following basic steps:
1. Defining trading rules: finalization of trading strategy.
2. Define transaction rule variables and parameters: quantitative trading strategy.
3. Write computer program.

Inspection contents of trading system

(1) Net profit

1. Any trading system with negative net profit cannot be used as a trading system.
2. The larger the net profit, the better.

(2) Maximum stress trading and maximum loss Trading

The maximum profit transaction and the maximum loss transaction refer to the maximum profit amount and the largest loss amount in the completed transaction sample. Maximum profit and maximum loss provide important system quality information to system researchers and users. If the gap between maximum profit and average profit is too large, the maximum profit should be regarded as an accidental event.

If we doubt the stability of the system, it should be the largest proportion of the total profitability. If the difference between the maximum loss and the average loss is too large, the risk control ability of the system should be further checked to ensure that the system has sufficient ability to resist the impact of huge emergencies. If there are individual huge profits and individual huge losses in the system inspection, researchers can deduct individual huge profits and retain individual huge losses to observe whether the system is still profitable under such conditions. If the system can still make profits under the re set conditions, the trust degree of the system can be greatly improved. On the contrary, if the system can not be alluring under the reset conditions, the system is not a trustworthy trading system.

(3) The number of times of maximum continuous profit and maximum number of continuous loss

The maximum continuous profit times and the maximum continuous loss times are extremely important information resources for experienced system operators. It provides a very important basis for the risk control of the system.

(4) Maximum loss margin of investment principal

The maximum loss margin of investment principal refers to the difference between peak and valley of investment capital. This information is particularly important for futures investors, who can control the amount of investment to ensure adequate trading reserves.

(5) Total transactions

The total number of transactions refers to the total number of profit and loss transactions in the evaluation period of the trading system. From a statistical point of view, in order to ensure the validity of statistical test, the total number of transactions should not be less than 30.

(6) Profit times ratio loss times ratio

The profit times ratio refers to the ratio of the number of profitable transactions (after deducting transaction costs) to the total number of transactions. The ratio of loss times refers to the ratio of the number of loss making transactions (after deducting transaction costs) to the total number of transactions. This ratio is the main indicator reflecting the investment philosophy on which the trading system is based.

(7) Ratio of average profit to average loss

This ratio refers to the ratio after deducting transaction costs. This is a relative scale. The appropriateness of the ratio depends on the ratio of the times of profit mentioned above. However, in general, the ratio of average profit to average loss should be higher than 1:1. As the ratio of profit times of trading system decreases, the ratio must be increased accordingly.

The test of trading system can also include other contents, which can be set by researchers according to their needs, such as profit margin analysis, so as to further investigate the system's resistance to the worst environment, and so on.

Design process of trading system

Flow chart of trading system

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