Tuesday, March 3, 2009

EA Development by Component

Okay, I've got a few EA components under my belt now.

First, I've made myself a trivial system to determine potential entry points. Basically, this system raises a signal when the price is above or below a moving average for some period of time and then crosses over. Remember, I'm only concerned about making an easy to manage framework at this point.

Second, signals raised above are tossed into a queue pending execution. A simple queue manager currently checks whether or not the price has moved lower or higher, as appropriate, and raises what should be considered a true signal if so.

While this seems trivial, I can assure you that it isn't.

Third, I have a position closing module with the job of letting my winners run. While counter-trend trades don't generally run well it can be extremely valuable to let a position accrue for a significant trend lasting one or more days.

This weekend I'll probably try to improve my code, test various strategies in each component, and come up with something that works. Again, I have to stress that if I do find something that works, I won't be telling you about it or selling it to you. I'll be bragging about it and keeping it to myself!

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