TradingVisions Releases Delphi II Day Trading & Swing Trading Futures System
TradingVisions Systems, Inc. (www.TradingVisions.com) announced today the release of the Delphi Universal II futures trading system, which day trades the e-mini Russell and swing trades the e-mini Midcap futures contracts. This is a major upgrade that is the result of implementing a new proprietary walk-forward optimization protocol that produces a hypothetical performance record that is nearly equivalent to real-time trading. TradingVisions develops and markets trading strategies that automatically issue buy and sell signals for a variety of futures markets. These systems can be leased or purchased.
Spokane, WA (PRWEB) June 20, 2007 -- TradingVisions Systems, Inc. (www.TradingVisions.com) announced today the release of Delphi II, a completely automated futures trading system that day trades the e-mini Russell futures contract and swing trades the e-mini Midcap contract. The original Delphi Universal strategy was released in October, 2005. Its unique strength is that it trades a wide variety of markets, from intraday index and Forex trading to long term commodity trading. Few systems have such a wide and robust variety of application. Delphi II simplifies the entry and exit logic, and it implements a new proprietary walk-forward optimization protocol that produces a hypothetical performance record that is nearly equivalent to real-time trading.
Delphi II is a trend-following system that utilizes a proprietary channel breakout strategy. It trades both bull and bear market moves, and it can enter on new highs/lows or on retracements from the main trend. Because the equity curves of the two recommended markets (the e-mini Russell and e-mini Midcap futures contracts) have a low .23 correlation, they make an excellent combination. Trading the two in a $25,000 account over the last 6.5 years, the average annual uncompounded return of a single-contract account would have been 60%. In the future, TradingVisions will release versions that trade additional markets.
"It's always exciting to release a system upgrade, but I'm especially enthusiastic about the walk-forward optimization framework that I've used to retool Delphi because it provides a very realistic hypothetical track record and a way of adapting to market changes," states Lincoln Fiske, President and system developer of TradingVisions.
Most trading system developers use the traditional form of backtest optimization, which involves taking all the available past data and running tests of system parameters. Once the best ones are found, these are then used in real-time trading. According to Mr. Fiske, "The first problem with traditional backtesting is that these hypothetical results are idealized, representing trades that by definition result from the adoption of optimal parameters. Unfortunately, markets evolve as participants try to grab profits from each other, so when these backtested parameters are applied to new data, the results are never as good as the idealized performance. Additionally, these backtest-derived parameters are usually static, with no articulated method of adjusting them. Often a market evolves to the point where the original parameters no longer perform, and the system breaks down. Walk-forward optimization helps solve both of these problems."
Walk-forward optimization (WFO) starts with a period of data, for example the five years from January 1, 1996 to December 31, 2000. This period is called the study period, and its data is considered "in-sample," since it will be used to determine the optimal parameters. Using analysis software such as TradeStation®, the best system parameters are determined by testing many different system variables and values. Then the system, using the derived optimal parameter values, is applied to 2001 data. This year of data is the application period, and its data is "out-of-sample," since it was not used to derive the ideal parameters. These 2001 results become the first year of the hypothetical performance record for the system. As Mr. Fiske states, "In this example, the trading results for 2001 are far more valuable than those from 1996-2000 because they are much more realistic. Had we done our optimization on January 1, 2001, we could actually have traded that year with that optimal parameter set. This type of hypothetical result is therefore the closest we can get to real-time results."
The next step in WFO is to walk the data forward by adding the 2001 data and dropping the 1996 data to form a new study period from 1997-2001, and the system is optimized over this data to determine the best parameters for this period. Typically the "best" parameters will have changed somewhat from the original ones, and these new values are applied to the 2002 data. This new year of results is added to 2001, extending the performance record to two years. The process continues forward, and each new year of out-of-sample results is added to the record. "At the end of the walk-forward optimization routine, we have a powerful performance record of several years of trades that could actually have been taken," explains Mr. Fiske. "This is a realistic record of trades, not an idealized mirage, and it provides a much more valid basis for measuring the potential of a system's performance. This is the power of WFO, that it can give us years of realistic results, allowing us to evaluate a system by efficiently simulating real-time trading. The Delphi II performance reports published at the TradingVisions site are entirely out-of-sample, and they show consistent and high profitability."
"Because of walk-forward optimization, Delphi II has the second advantage of being adaptive," Mr. Fiske continues. "Each year by January 5th I will publish the new parameters that incorporate testing on the previous year's data. In this way, Delphi II will be able to make adjustments to market changes."
Delphi II is simple to use. Investors have the option of either purchasing it and trading it themselves (Delphi II runs on the TradeStation® platform) or leasing it for $50 per month per contract. Delphi II can be traded at the client's existing futures brokerage either directly by the client, or for the client through a broker-assist program. With the broker-assist option, the client simply completes the TradingVisions lease agreement and directs the broker to trade Delphi II for the client's account; no prior experience, software, or monitoring is required.
About TradingVisions Systems, Inc. and Lincoln Fiske:
TradingVisions develops and markets trading strategies that automatically issue buy and sell signals for a variety of futures markets.
Lincoln Fiske is a full-time futures trading system developer who founded TradingVisions, Inc. in 2003. An educator for over 20 years, Mr. Fiske has long been interested in the markets, and he began developing his own systems in the mid-1990's, first making them available to the public in 1999. His approach to the markets is conservative, and he believes strongly in the ideal of trading a portfolio of systems, time-frames, and markets and in the need for strategies to prove their robustness by application to several markets.
Contact Information:
Lincoln Fiske
TradingVisions Systems, Inc.
1-800-878-1983 or 1-509-466-8435
www.TradingVisions.com
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