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

Ali Moin-Afshari

Systematic Trader

ABOUT ALI

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

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

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

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

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

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

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

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

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

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