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Steve,
Do you know anyone who knows how large a number of ES or S&P
contracts one trader could consistently trade online Globex, and
still get executions near enough to expectations to continue trading
a very large size at short term intervals throughout the day?
How large a size might be possible to trade in these equity index
futures?
Are there sites where discussions or reports of this order of trading
volume would be available?
The largest rumor I have heard came from a trading adviser last year
who wrote some people were trading lines of 400 or 500 contracts; but
he did not elaborate the time frame of their work, how many trades
were being made each day of this size, type of orders, and fill
results.
So far I have not succeeded in finding any sites today with any of
this information.
Time and sales usually do not show any fills of more than 100
quantities, however sizes of 100 + do occur.
Can you point to the direction for more pertinent information?
Thanks,
JT
P.S. Is it true that MB is a preferable platform for large short term
trades.
--- In amibroker@xxxxxxxxxxxxxxx, "CedarCreekTrading" <kernish@xxxx>
wrote:
> >The other question I asked of no one in particular was ... When do
> you know your system has died ? Even with valid thorough testing
> systems sometimes die and systems traders I think have to give some
> thought to want would constitute death to a system and then when the
> results for whatever reason approach that what they are going to do
> next.
>
> Fred,
>
> I've thought a lot about "death of a system" and I believe
technicians point
> to system failure with little regard to the change in supply and
demand
> and/or volatility (in the issue that they are trading). Over-
optimized and
> bad approaches to the markets will always fail (eventually).
>
> Sometimes, really great mechanical approaches can be compromised by
> "forcing" the system on issues that have random walk personalities.
> Well-behaved issues (trading vehicles that exhibit
accumulation/disturbution
> patterns) can return extrodinary profits for long periods of time.
Changes
> in supply and demand can cause a stock or commodity's behavior to
change
> drastically (and render repeated losses).
>
> Good, solid approaches will always work on a universe of "well-
behaved"
> stocks or commodities. You can design objective criteria to pare
> ill-performing issues from any universe. I think most of us can
conjure up
> a few rules about an issues's behavior and remove issues that don't
perform
> to specific standards.
>
> A well-designed system can trade dozens and dozens of issues with
> eye-popping returns. Technicians tend to "force" their
approach "favorite"
> issues (QQQ's, eminis, MSFT). This is not logical. You can trade
> anything...why not trade orderly issues?
>
> That's my thoughts on "death". Patterns change, but good systems
never die.
>
> Take care,
>
> Steve
>
>
> ----- Original Message -----
> From: <fctonetti@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Wednesday, February 19, 2003 1:32 PM
> Subject: [amibroker] Re: System Testing Validity
>
>
> > Steve,
> >
> > I think given the current environment we are in it is POSSIBLY no
> > longer absolutely necessary to be optimizing systems over that
long a
> > time frame. However, pre 2000 IMHO one would have had to look
> > farther back in time then 1983 to see whether or not their system
was
> > viable and again IMHO at this juncture one needs to look farther
back
> > in time then the beginning of 2000 to see whether or not they
have a
> > viable system for exactly the same reason even though it's the
bear
> > that's familiar as opposed to the environment pre 2000.
> >
> > I am not predicting a bull market as beginning tomorrow at 3:30 or
> > that we've already turned the corner etc. only that clearly it
will
> > happen whether it's tomorrow, next week, month, year, decade or
> > whatever, I, like Herman says, could care less. I only want to
know
> > that the systems I develop and trade work well in good markets and
> > bad. If they do fine, if they don't ... NEXT !
> >
> > The other question I asked of no one in particular was ... When do
> > you know your system has died ? Even with valid thorough testing
> > systems sometimes die and systems traders I think have to give
some
> > thought to want would constitute death to a system and then when
the
> > results for whatever reason approach that what they are going to
do
> > next.
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Steve Davis" <sdavis@xxxx>
wrote:
> > > Fred,
> > >
> > > Please keep your insights coming. The subject of system
validity and
> > > robustness is certainly worthy of further discussion. In my
case, I
> > have a
> > > SP500 mechanical trading system optimized with historical data
from
> > 1983 to
> > > the present. My performance numbers during the optimzation
period
> > are
> > > CAR%=16%, MDD%=5.6%. Prior to the optimization period, the
profits
> > and
> > > drawdowns are both larger. Why am I using such a large
optimization
> > period?
> > > Because I am cautious and willing to sacrifice profits for lower
> > drawdowns.
> > > Would appreciate your thoughts on proper system validation
> > techniques. Am i
> > > being too cautious?
> > >
> > > My system performance is poor compared to your 100% CAR with
only
> > 3% MDD.
> > > Your system performance is far outside my reach right now.
> > >
> > > -Steve
> > >
> > > -----Original Message-----
> > > From: Fred <fctonetti@xxxx> [mailto:fctonetti@x...]
> > > Sent: Wednesday, February 19, 2003 2:44 PM
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Subject: [amibroker] Re: The transcendental use of Data: An
> > application
> > >
> > >
> > > So be it ...
> > >
> > > The IDEA I was trying to share was validity of system testing
which
> > > includes out of sample results and why when this isn't done your
> > > likely to find out the hard way. I find it of no particular
> > surprise
> > > that this has no particluar value to discretionary traders, but
then
> > > I also have no idea why discretionary traders need/want tools
like
> > AB.
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Jayson" <jcasavant@xxxx>
wrote:
> > > > Fred,
> > > >
> > > > This is exactly what endears Dimitris to many of us here. He
has
> > > provided
> > > > you all the material needed to run the test your self. He has
> > > presented a
> > > > well thought out argument for why he believes it holds value.
> > There
> > > is no
> > > > hidden code, no magic box just the system as he implemented
it.
> > Run
> > > your own
> > > > tests and decide if the approach suites your own needs. If
after
> > > running the
> > > > system tests, optimized to your specifications and run over
the
> > > time frame
> > > > you deem necessary, you find his system holds no value then
simply
> > > move on.
> > > > If on the other hand you find some tid bit of it that holds
> > promise
> > > in your
> > > > eyes then run with it. Improve upon it and then, please, post
your
> > > > improvements. That is the goal of a group like this, to share
> > ideas
> > > and
> > > > hopefully grow from that sharing. Encouraging rather than
> > > discouraging this
> > > > type of sharing is what keeps active groups productive else
all we
> > > are doing
> > > > is offering free tech support for the product.
> > > >
> > > > Jayson
> > > > -----Original Message-----
> > > > From: Fred <fctonetti@xxxx> [mailto:fctonetti@x...]
> > > > Sent: Wednesday, February 19, 2003 2:18 PM
> > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > Subject: [amibroker] Re: The transcendental use of Data: An
> > > application
> > > >
> > > >
> > > > > Fred, read please my
> > > > > http://groups.yahoo.com/group/amibroker/message/34143
> > > >
> > > > Irrelevant ... You continue to very conveniently skirt the
issue.
> > > >
> > > > What timeframe was this optimization for ?
> > > >
> > > > Show the results of trading the same system using the same
> > > parameters
> > > > for some year long out of sample period prior to that.
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > > Yahoo! Groups Sponsor
> > > > ADVERTISEMENT
> > > >
> > > >
> > > >
> > > >
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