Introducing a New Product - Joe Krutsinger | Trading Systems | E

Joe Krutsinger, CTA
Joe Krutsinger, CTA
Joe Krutsinger is a Commodity Trading Advisor (CTA), registered with the CFTC.
Joe Krutsinger began his futures and options career over thirty-four years ago with Conti
Commodity. He has worked in almost every facet of the trading industry and continues to be a
prolific developer of trading systems. He has developed proprietary trading programs for numerous
clients and brokerage firms. Joe now works directly with clients and brokerage firms designing
custom trading systems. He has been a trading system design consultant since 1989 and consults
with traders on how to develop systems using state of the art system automation software.
Joe was recognized as the Outstanding Senior in Food Systems, Economics, and Management from
Michigan State University in 1973. A featured speaker and teacher at seminars and meetings
worldwide, he co-authored THE COMMODITY COOKBOOK:RECIPES TRADING, LESSONS FROM THE
MASTERS. (This was the 1990 book of the year, the 1990 Super trader's almanac-Calendar Edition).
Joe has also been featured in the Future’s Learning center three video course, TRADING SYSTEMS
101,102, and 103.
Joe Krutsinger’s books include: THE TRADINGSYSTEMS TOOLKIT (was the Fortune Book Club
Selection) and his book, TRADING SYSTEMS-SECRETS, OF THE MASTERS, published by McGraw-Hill
in 1977, has been highly rated. His newest book, TRADING SYSTEM SECRETS, SELECTING A
WINNING SYSTEM, is in paperback. Joe has consulted with world class traders including: Larry
Williams, Jake Bernstein, and Bruce Babcock. Joe owns Block No. 1 for TradeStation (the first
TradeStation ever delivered) and was one of the first beta testers of that professional trading
software platform. He has given over 200 lectures.
His systems have been featured in several journals including TECHNICAL ANALYSIS OF STOCKS AND
COMMODITIES and FUTURES TRUTH
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1st
I want to Tell You What I Want to Tell You
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2nd
I am Going to Tell You
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3rd
I am Going to Tell You What I Told You!
Terms
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Hypothetical / Simulated:
Trades that have not been executed generated by a strategy
WITH the benefit of hindsight
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Blind Walk Forward:
Trades that have not been executed generated by a strategy
WITH the benefit of hindsight,
but whose input values have not been changed since a certain date;
hence the trades, although NOT executed are shown on unseen data
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Real:
Actual trades that have been filled at an exchange
TOOLS TO HELP MANAGE DRAWDOWN
and MAXIMIZE LEVERAGE
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Everyone hates drawdown! But it is an
unavoidable cost of the trading business.
To help identify and deal with this issue, I have
designed custom indicator tools that come as
standard equipment with every trading strategy
I create.
They are engineered to work together in tandem
to help you determine which strategy or market
offers the best potential performance in relation
to the others.
Long-term Goals
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To develop a mathematical and visual technique
to decide which system to trade
When to trade which system,
When to monitor the system
When to monitor in simulated mode
when to trade more or less contracts
All WITHOUT changing the underlying
code of the original system!
Tools
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HOW each of these uniquely customized
tools work on my strategies… And HOW
they can help you decide which system
to trade or which market to trade with
the same system.
Professional traders have a major focus
on DRAWDOWN as well as maximizing
LEVERAGE to as much potential as the
system will provide.
JOEKRUT SWITCHER
IN TRADING
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Tells you the profit or loss your system is
producing for the period of time your
graph is set for.
When the system shows red bars, you
might not want to trade it with real money
at this time.
Green bars indicate that the system is
making a net profit.
J Yen Weekly
4 Week MA Crossover Always In Last 9 Years
J Yen Weekly-4 Week MA Crossover
Always In Last 9 Years
J Yen Weekly-4 Week MA Crossover
Always In Last 3 Years
J Yen Weekly-4 Week MA Crossover
Always In Last 3 Years
J Yen Weekly-
4 Week MA Crossover Code
Buy Monday-
All Data April 1982 to Feb 2010
Buy Monday-
All Data April 1982 to Feb 2010
Buy Monday
June 2008 to Feb 2010
Buy Monday
written July, 1989
Real Time – Real Money
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Joe Krutsinger, CTA
I will review what I have learned from my real-time
fully automated trading account at TradeStation
over the past year.
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Specific topics will include:
• A new way to use optimization and blind
walk-forward tests
• My tips on how to optimize a trading system
• How to pick the best numbers from the tables.
Original Recipe-No Opt: +$7,120
Weekly Opts:+$8,824
Trigger Switcher:+$12,113
Morning Joe Original Tune Blind Walk Forward
April 1, 2009 thru Feb. 19, 2010
Morning Joe Real Time
April 1, 2009 thru Feb. 19, 2010
Real Morning Joe
30 trade Trigger Switcher Moving Average Illustrated
M Joe Using Trigger Switcher
Simulated $12,113 gain on $10k account
82 trades skipped
Trigger SwitcherAn Original Idea
Robustness and Sweet Spotting
Blind Optimization vs. Refresh Optimization
Baseline vs. Client Tweaks
Money Management System
My Free Gifts to you:
[email protected]
JoeKrut Switcher
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JoeKrut Switcher(210) 2195.00 401.40
DEFINITION of JoeKrut Switcher
Calculates the green number as the systems net profit or loss
for the past number of bars specified by the input value. 210
bars (input value) is used to give you the past 30 days of
trading.
Calculates the yellow number as the moving average of the past
number of bars specified.
i.e. in above example, 390.95 is the moving average of the past
210 bars.
Note: For trading the E-mini Russell 2000, you can create a
chart using the symbol @TF to give you an historical idea of the
systems trading i.e. the past 2 or 3 years.
JoeKrut Switcher
EASY LANGUAGE CODE
[LegacyColorValue = true];
Input:Length(210);
Value1=(I_OpenEquity);
Value2=Highest(Value1,Length)[1];
Value3=Value1-Value2;
Value4=(I_OpenEquity)[1];
Value5=Lowest(Value1,Length)[1];
Value6=Value1-Value5;
If Value3>0 then Plot1(I_OpenEquity,"OpenEquity");
If Value6<=0 then begin;
Plot2(Value4,"AsideEquity");
end;
{ Plot2(I_ClosedEquity,"ClosedEquity");}
Plot3(Value5,"EqLow");
Plot4(Value2,"EqHigh");
IF CheckAlert and False Then Alert = TRUE;
{ Suggested uses- If Equity is above its Moving Average,
trade multiple contracts, if Equity is below its Moving Average,
system may be broken, trade one contract or less
Questions? Call 913-334-2202,Copyright, 1989 Joe Krutsinger,
email [email protected], www.joekrut.com }
{**Remember, Green font is ignored by Easy Language program.
It is placed in the code to help you remember certain things.}
JOEKRUT DIFF IN TRADING
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The value of this indicator is to help you determine if this strategy
is making you or losing you money over the last 210 hours
If the value is a white number (no minus sign if front of it) then
you are making an hourly profit of that amount
over the last 210 hours
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When you have multiple system trading, you will want to know
what systems are hot and what systems are cold.
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The JoeKrut Diff value can be calculated by taking the JoeKrut
Switcher profit and dividing it by the JoeKrut Switcher input value
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Looking at the direction and SLOPE of the JoeKrut Diff gives you
an advance “feel” for the direction of system equity
JoeKrut Diff Or Difference Indicator
JoeKrut Diff Or Difference Indicator
JoeKrut Diff (210.00) 0.00-28.50
DEFINITION of JoeKrut Diff
Calculates the difference between today's (210) bar profit/loss Moving Average
and yesterdays (210) bar profit/loss Moving Average; A negative DIFF
spotlights a losing strategy
MEANING OF THE THREE VALUES
1st:This value indicates how many bars back the moving average is using
2nd:The ZERO line is drawn GREEN
3rd:This values indicates how much your system is winning or losing per bar.
On 60 minute bars, this value indicates your hourly profit or loss for
the past (210) hours.
EASY LANGUAGE CODE
JoeKrut Diff
INDICATOR
[LegacyColorValue = true];
Inputs: Length(30);
Value1=(I_OpenEquity);
Value2=Average(Value1,Length)[1];
{Plot1(I_OpenEquity,"OpenEquity");
Plot2(I_ClosedEquity,"ClosedEquity");
Plot3(Value2,"JoeKrut");}
Plot3(0,"Zero Diff");
Plot4(Value2-Value2[1],"JoeKrut Diff");
#BeginAlert
if checkalert and (plot4 < 0) or
(plot4[1] <=0 and plot4>0) then
alert = TRUE;
#End;
{ Suggested uses- If Equity Moving Average is rising, trade multiple contracts,
if Equity Moving Average drops lower than its' previous value, then system may be broken or out of phase,
trade one contract or less, (paper trade, abandon any current position).
Questions? Call 913-334-2202, email [email protected], www.joekrut.com
JoeKrut-Diff (c) Copyright 1999, Joe Krutsinger
**Remember, Green font is ignored by Easy Language program. It is place in the code to help you remember
certain things }
JoeKrut Profit Size
DEFINITION of JoeKrut Profit Size
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Calculates the profit or loss that your system is
producing today (purple value).
MEANING OF THE TWO VALUES
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First: This value indicates your current profit or loss
per contract for this bar’s trading
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Second: This value indicates Zero line
JoeKrut Profit Size
JoeKrut Profit Size
The Purple Line
Original Recipe-No Opt: +$7,120
Weekly Opts:+$8,824
Trigger Switcher:+$12,113
Think Tank
A think tank is an organization,
institute, corporation, group, or
individual that conducts research and
engages in advocacy in areas such as
social policy, political strategy, economy,
science or technology issues, industrial
or business policies, or military advice
Think Tank- ala carte
My job is to provide both the underlying
trading strategy and the day to day
support of the optimization process
Trading.MyFamily.com
An invitation Only site with daily input
and weekly posting of refreshed tsws
Morning Joe
Private Client File Site
Free Stuff
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JoeKrut Switcher
JoeKrut Dif
JoeKrut Profit Size
XLS workbook
Next Steps of Action
Please go to:
eTrackRecords.com
and sign up for free online course or
send me an email at:
[email protected]
Good luck and GREAT Trading!!