SA2: 2022 Coaching Archive

  • Ali Moin-Afshari
  • Level: Advanced
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Course overview
Systems Academy 2 Archive of Coaching Sessions for 2022 Enrollment
  • Video time: Est. 80+ hours

About Systems Academy's Recorded Sessions

  • Video recordings of sessions are not edited to give you the same look and feel as you are present in the live session.
  • The archive is organized based on the enrollment year of Systems Academy 2. For example, this archive is for enrollment year 2022 that began in October 2022 running till October 2023.
  • Access to SA2 archive is free for all SA2 students in that year's enrollment. 

Ali Moin-Afshari

Systematic Trader
Ali Moin-Afshari is the founder of Quant Systems and course creator of the Systems Academy program. He has had a successful +20-year career in IT and telecom, working as an architect, consultant, and founder of two IT companies. He began his trading career initially as a side business in 2007 and became a full time trader in 2014. He is a systems expert and has designed,  developed, and programed more than 200 trading systems.

Sessions and Topics Discussed

Session 1: 2022-10-13
  • First session: introduction
  • Program overview
  • Organization
  • Reporting and eMail protocols 
  • Goal setting challenge
  • Q&A
Session 2: 2022-10-20
  • The i1R Concept
  • Trader's equation for scalpers
  • Directional probability
  • Q: Can a system have different entries based on the same concept, such as second legs after a pullback? 
  • Q: When tracking equity curve for different day structures are you putting TTRD days in the TR category? 
  • Q: Should I use iRisk or aRisk for R-multiple data gathering in my back-testing? 
  • Q: Initial results look too good! are they real? 
  • Q: How much historical data to use to test a system? Is 3 years of recent data enough? 
  • Q: Within a system, if I notice a financial instrument or two that do not perform well or hover around 50/50 is that a red flag or is it common? Assuming most instruments test well.
  • Q: How much discretion to allow? 
  • Q: How to incorporate discretion? 
  • Q: How to be systematic but use chart reading skills to your advantage? 
  • Q: Swing vs. Scalp
  • Q: Signal validation: BO might not be enough
  • VIX Spikes as a core system idea
  • Q&A
Session 3: 2022-11-03
  • Q: Measuring Normal (Ryan S.) / Finding Abnormal
  • Rajesh: share experiences about his trading
  • Sam: talk about his work
  • Intraday systems: probability based entry for non-symmetrical second legs
  • Q: Self-analysis, what is involved? (Hui)
  • Review Trade Management: page 24, figure 17 of Ali's "Breakouts and Reversals Research Whitepaper
  • Q&A
Session 4: 2022-11-07
  • Update on SA2 Video Archive
  • Sam to speak (postponed to next session)
  • Show research in Excel
  • Q: Switching goals form day trading to swing on D chart (Ken)
  • Q: Back-testing best practices of PA signals/setups
  • Q: What is the easiest trade in trading ranges?
  • Q: Research for non-programmers: partially covered
  • Hands-on Research: for Reversal/Anti-Trend price action system (for next session)
  • Q&A
Session 5: 2022-11-10
  • Q: Research for non-programmers
  • Q: ATR lookback period (best values)
  • Q: ATR% thresholds
  • Market Regime: Relative Strength
  • Percentage charts (TradeStation)
  • How to find a substitute symbol when you don't have data for the symbol you need
  • Hands-on Research: for Reversal/Anti-Trend price action system
  • Sharing: Brad, Kevin, Abdul, Noah, Noah (as time permits)
  • Q&A
Session 6: 2022-11-17
  • Show example of a good progress report (Kelly)
  • First Principals approach for system design
  • Sharing: Noah, James (as time permits)
  • Hands-on Research: for Reversal/Anti-Trend price action system
  • Q: Order entry & exit trade management examples for climax bars in trading ranges (Ken)
  • Q: Which system to develop first: Low prob stop entry swing/trend following or High prob limit order scalping? (Ken)
  • Q: 2nd legs: if you have any heuristics for telling apart sub legs from complete legs (David)
  • Q: Plot and PlotPB in EL (Hui)
  • Q: Using MA in different timeframes (Hui)
  • Q: iRisk for BO signals (Abdul)
  • Q: Using VIX ranges: for data gathering for back-testing (Abdul)
  • Q: STDev bars (Abdul)
  • Q&A
Session 7: 2022-12-01 
  • Concept Selection / first stage development
  • Q: Earlier entries on smaller time frames? (Ryan)
  • Q: How to use BO Paintbar to create a system? (Ryan)
  • Q: The minimum for entry as a late PB is 1 follow thru bar? (Kevin C)
  • Q: Immediate pause bars are described as small bars, dojis, or opposite bars.  What was your definition for small bar? (Kevin C)
  • Q: Also, am I counting every pause bar after the BO until there is a PB? (Kevin C)
  • Q: The first example from the 11/5 SA2 session shows 5.5 immediate pause bars, yet the leg down had 2 strong bull bars. (Kevin C)
  • Q: When recording R values of immediate and late PBs is that based off the initial R value or the BO+FT R value? (Kevin C)  
  • Q: In your Leg 1 column it shows every entry had just 1 bar in leg 1 yet some of those entries hit 1R target with no PB.  is there something about that column I am missing? (Kevin C)
  • Goal setting vs. trading business plan (Arnaud)?
  • What PF to target for an automated system (Arnaud)?
  • What price data should be used for automated trading? Does only bar close price be considered? Or other possibilities, like midlle price for example (Arnaud). 
  • Sharing dev work with Arnaud. 
  • EL coding examples (Hui).
  • What does (negative) -Z score mean (James)?
  • In cases where there are competing micro-channels, how to prioritize the micro-channel? E.g. 1 st hour of 4/12/2022, there was a microchannel up, with deep pullback, and then a microchannel back in the original direction, but then a big bear day. Some ideas here – Use presence of MIG to determine stronger side ( would not have worked on 4/12/2022); 2 nd is to do something like – when 3 bear bars after microchannel, don’t look for PB entry for MC. Another approach could be to do similar analysis on the next higher timeframe – 15 min chart? For example, if the 15 min has 3 bear bars in MC pullback, likely the MC is no longer in effect. (Rajesh)
  • As part of the trades analysis spreadsheet, I am calculating other things like MFE, MAE in terms of R-multiples. I think doing the same statistical calculation on these fields would help determine appropriate R-multiples in terms of profit target, stop loss? (Rajesh)
  • In the whitepaper when using the two bar IBS as a signal, are the 90% positive trades done trading that as the setup and trigger bar or is that when you wait for a pullback and then enter back in the direction of the IBS signal/trend such as 1 tick above/below H1 or L1? (Travis)
  • How important are weak MIG and should I incorporate those into my indicator? (Travis)
  • Comparing two methods for measuring bar sizes: Statistical vs Average Range
  • Q&A
Session 8: 2022-12-08 
  • Q: Complexity: How to reduce complexity in rules (Hui)
  • Q: Rounding values in code (Hui)
  • Q: 2nd leg entries/exits using MIG (MIcroGap): what is the most consistent way? (Kelly)
  • Q: Which risk value to use: aRisk or iRisk? (Kelly)
  • Q: Is ML necessary and how discretionary systematic trading is different from automated trading (Kelly - reading Zuckerman's book)
  • Q: VIX Range selection for market regime? (Abdul)
  • SQN: Data requirements 100 trades or less? (Logan)
  • Good signals, but what about the rest: stops, exits? (Logan)
  • Sigma Spikes calculation method? Range vs. Change. (James)
  • What is the difference between minor and major patterns like a wedge? Is it the number of bars or size of pattern relative to trend? (Ryan)
  • Is it possible to systematize bar or leg counting, aimed towards identifying h1 and h2(l1 and l2) setups? (Ryan)
  • Q&A
Session 9: 2022-12-15 
  • i1R: Point our why it forces strong Signals Bars in reversals
  • How many variables to use for rule formation? and how to handle it? (Rajesh)
  • MFE, MAE in R-multiple tracker (Rajesh)
  • Q: Best way to use MA and MA Angle? (Travis)
  • Q: Is the 50% pullback more important- should I add this to the data collection and study it as well? (Travis)
  • Q: How important is it that it is a “second leg” vs the leg after a strong leg. For example I think my indicator is identifying strong legs so should I just focus naming that leg 1 and then trade the second leg of that setup as this makes the most sense to me. Or should I try to programmatically identify Leg1, Leg2, Leg3 etc. (Travis)
  • Q: Best way to implement regime filter when using the MA slope? If using multiple lookback periods what are the best to use when trading 5 minute chart without getting too much lag? (Travis)
  • Q: Data gathering for signal analysis (Ryan)
  • Q: Data gathering: how to record R value of wide stops (Abdul)
  • James: talk about his work
  • Q&A
Session 10: 2022-12-22
  • Review the data gathering and testing process: Ali showed his research on directional moves on the open
  • Second legs: PB gets 2nd leg first or the Breakout? (for Travis from last week)
  • Q: My chart looks different than yours? Review Hui's TradeStation Code. (Hui)
  • Q: My concepts do not yield good results? (Logan)
  • Q: How to minimize or remove discretion in decision-making of whether to fade the signal or take it? (Abdul)
  • Q: Tips on optimizing the manual data collection? (Abdul)
  • Q: Bar Dir TS code (Miguel)
  • Kelly: talk about her work 
  • Anti-Trend Systems - Discuss
  • Q&A
Session 11: 2023-01-05
  • Position sizing review
  • Q: Do I forward test first, and then move to optimization, or go ahead and perform some optimization based on findings of the first back-test? (Michael)
  • Q: What to do when two opposing signals form back to back? (Travis)
  • Presentation on DSP (Arnaud)
  • Q: Back-testing data (Kelly)
  • Q: Leg Counting, algo (Abdul, Noah)
  • Q: BarDir Algo: In the PaintBar study you provided what was the rational for the BarDir portion of the code where it is actually a Bull Bar but IBS < 50 and you assign it a value of -1 (BEAR) Direction? (Travis)
  • Q&A
Session 12: 2023-01-12
  • New version 3 of Breakouts PaintBar: code explanation and logic
  • Q: Ryan: swing and BO
  • Arnaud: Update on self-correcting systems research
  • Travis: Update
  • Warren: Est. False Positives + Estimate if R:R is acceptable?
  • Data gathering items documents (Ali)
  • Noah's System: SQN > 5, Expectancy 0.70
  • The logic of H1/H2 and L1/L2 pullbacks and how it relates to Mean Reversion
  • Q&A
Session 13: 2023-01-19
  • New version of Breakouts PaintBar: follow-up
  • What to automate and what not to automate: leg count (Abdul, Travis)
  • Alex: project update: using ML to classify day structure
  • Exponential growth
  • How to use exponential growth calculator in planning for position sizing, system design, and financial goal setting.
  • Core and Turbo, two bucket, position sizing
  • Algorithmic classification of micro channels and how to tune trade management parts of a system using probabilities the pattern classifier determined.
  • Q&A
Session 14: 2023-01-26
  • Update on the new Breakouts PaintBar Ver 4
  • Kelly: project update
  • Abdul: project update and Q
  • Logan: project update
  • Q: Ryan: How to estimate initial 1R risk
  • Q: Arnaud: How do you define the most appropriate scalp size?
  • Q: Arnaud: How to compute scalp size for an automated system?
  • Q: Arnaud: What rules do you use to define a reversal bar?
  • Q: Arnaud: How to code reversals in EL?
  • Q&A
Session 15: 2023-02-02
  • Alex: project update
  • Noah: project update
  • Kevin D: project update
  • Q: Kevin D: EoD Routine Examples
  • Q: Travis: Mechanical trading of 2-3 bar MC results in 50-55% win rates. How to fix it? 
  • Q: Travis: Export to Excel from TradeStation?
  • Q: Travis: Variance PS function to determine uniformity in micro channels?
  • Q: Travis: What other way other than Variance to determine bar uniformity in MCs?
  • Anti-Trend Systems - Discuss
  • Q&A
Session 16: 2023-02-09
  • Logan: Project update
  • Q: Noah: Signal Bar question on Rev + FT: 03/02/2023 vs 06/01/2023
  • Q: Abdul: Is SQN a good metric of ease of execution? 
  • Q: Abdul: What EMAs to use for Mkt Regime? 
  • Q: Arnaud: How would you assess the filter improvement result ? 
  • How to qualify second entry reversals for higher probability of 1:1 payout?
  • Q&A
Session 17: 2023-02-16
  • Alex: project update
  • Noah: project update
  • Q: Noah: How to determine where buyers and sellers are for limit order trading. 
  • Abdul: project update
  • Q: Abdul: documentation
  • Q: Review 2nd Reversals
  • Q: Review breakout entry of an outside bar
  • How to use follow-through after outside bars feature of the AMA_Breakouts_PB indicator for limit order trading on outside bars.
  • Hui: project update
  • Q&A
Session (18): 2023-02-23 
  • Session was cancelled
Session 18: 2023-03-02
  • MultiCharts AMA_Breakouts_PB Ver 5 Code: issue with follow-through bars paint color (Warren)
  • Alex: project update
  • Michael: project update
  • Noah: project update
  • Travis: project update
  • Arnaud: project update
  • Abdul: project update
  • Q: Abdul: In Financial Strategy section ES at VIX 14-24% gets unit of capital $50K, how is this determined? Is it based on 4pt stop and will it change if stop changes? 
  • Q: Ryan: Part time vs full time trader, what is the difference? Is it the time slot that he chooses to trade? or is it that the person chooses to invest all of his time/resources into trading?
  • Q: Ryan: Position sizing for a scalping system. A swing trader may have several opportunities to scale into their winning position. Are there times where a swing trader puts on max position size in the beginning? Is there where entry ranking comes into play?
  • Q: Ryan: How would an advanced scalper take advantage of sizing? Since a scalper is getting out quickly, there seems to be fewer opportunities to scale in per trade.
  • Q&A
Session 19: 2023-03-09 
  • Logan: project update
  • Q: Rajesh: Project review - Second Reversals + Project Update
  • Kelly: project update
  • Q&A
Session 20: 2023-03-16 
  • Logan: Project update
  • Entries based on fading weak reversal signal bars
  • How to take one idea and create two systems from it
  • Q: Kelly: Martingale Position Sizing: Is it OK for high win rate systems? doubling PS with each new signal after a loss?
  • Q: Kelly: Initial vs. Concept testing?
  • Q: Kelly: How to hold long enough? 
  • Dealing with emotions
  • Abdul: Project update
  • Arnaud: Project update
  • Confidence and discipline
  • Q&A
Session 21: 2023-03-23 (TBD) 
  • James: Project update
  • David: project update
  • Noah: project update
  • Logan: Project update
  • Arnaud: Project update 
  • Kelly: Project update 
  • Abdul: Project update
  • Warren: Project update
  • If time permits: Review of trading psychology topics below:
  • Beliefs, charged beliefs, and reprogramming yourself for success
  • Dealing with emotions
  • Confidence and discipline
  • Q&A
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