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I love
it when people quote the "great Robins contest of 1987". Even Larry
will tell you that he blew up his account with Robins that year and had to open
another account as Robins really wanted him to do well. Of course,
it was only funny money. Years later, Larry has blown up
several real accounts that he has managed for various punters. He's
a great guy and willing to share just about every idea he has ever had on
trading. A consistent, profitable winner HE IS
NOT. His managed funds and newsletters have complete years
where no profits are achieved. Then, he'll have a 200%
year. If this is for you, great! It's not for the
average person.
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size=2>-----Original Message-----From: jtelang
[mailto:jtelang@xxxxxxxxx]Sent: Sunday, October 19, 2003 10:13
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Objective
functions (was RE: [amibroker] Re: Optimization --
again)Hi Pal,Couple of questions re. Larry if
you don't mind...1. Have you ever been taught by him, via books or
seminars?2. If yes, have you made significant profits from the things he
taught?I've certainly read/heard about him, but at the same time,
have never heard affirmative answers to both of these questions on other
discussion forums on the net. Its entirely possible that people who've
actually made money are not bothering to spell it out, but I'm curious to
know what the source of your belief in him as one of the greatest
traders is (other than his trading competition results and the million
dollar challenge, etc.)BTW, I have no bias about him either way. I've
never interacted with him nor been significantly influenced by his
teachings so far, and so have no opinion either
way.Jitu--- In amibroker@xxxxxxxxxxxxxxx, "palsanand"
<palsanand@xxxx> wrote:> Hi,> > Many recent
contributions suggest using discipline, commitment, > trading skills,
etc., rather than 100% mechanical systems. I think > this will cause
more losers than winners. > > The reason computer trading
systems exist is to capture good ideas > and determine the best way to
apply them. Basically, any idea one > uses can be automated and tested.
Various filters and stops can often > improve a system's 10-yr
performance even after it's released. > Otherwise, one may lose their
skill or luck in selecting trades.> > In Jack Schwager books
(The Market Wizards and the The New Market > Wizards), the author
writes about Ed Seykota, who multiplied his > clients accounts by 2500
times (250,000%) in about 10 years. Then > there's Michael
Marcus, who parlayed a $30,000 initial stake into $80 >
Million. Another famous trader not included in Jack Schwager's books
> is Larry Williams, who won a national trading competition in 1987
by > multiplying $10,000 into over $1,000,000 in 1 year. Each
of these > traders says they use mechanical systems, some almost
exclusively.> > Most traders are very reluctant to reveal
real-time trading income > particulars including myself for obvious
reasons...> > Regards,> > Pal> --- In
amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:> >
LOL ... Okay, if you say so ... Let me know when any of you guys > who
> > believe this START trading mechanical systems with REAL money,
I'll > > be very interested in your real time results.>
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Jayson"
<jcasavant@xxxx> wrote:> > > Fred,> > > I
think market behavior does change because the market itself has >
> changed.> > > 10 years ago your broker told you "Buy GE, put
it under the > > mattress, you> > > will make money".
If you took his advice and bought it on Monday > > only
to> > > watch it fall all week then called him up he would tell
you "We > are > > in this> > > for the long
haul, relax" ...... and you probably did, especially > > since
your> > > trade probably cost you over $100 round trip. 10 years
ago a one > > year or 6> > > month hold was
considered "Short Term" today that is no longer > the > >
case.> > > With online brokerage accounts you can now buy and
sell that same > > chunk of> > > stock for $10 per
side. Your broker isn't selling the stock de > > jour,
instead> > > you are picking it your self. You have access to
hundreds of > > websites,> > > dozens of data providers
and have computer power on your desk > that > > could>
> > have launched a rocket a half a generation ago. And more >
> importantly so do> > > millions of other "Small investors".
Day traders didn't even > exist. > > This> > >
isn't your fathers market, IMO to back test data from 10 or 20 >
> years ago> > > and think that optimizing on that data to
trade today holds > little > > value.> > > The
markets turn on a dime and there is a whole new breed of more >
> nimble> > > traders taking part in the action. The dynamics
and psychology of > > the market> > > is completely
different. It is no longer ruled by the few. Watch > the>
> > buy/sells go through and you see trade after trade of 100-200 or
> > 500 shares.> > > This is not Dean Whiter placing
trades but Joe and Jill six pack. > 5 > > years>
> > ago I used to always wait until the first have hour of trading
> had > > passed> > > before placing a trade to
avoid the built up demand already in > the > > pipe.
Now> > > if I wait more than 10 minutes the train is out of the
station. > > Perhaps it> > > is just a forest/trees
scenario but I think there are fundamental> > > differences
in the way the markets react today versus the recent > >
past......> > > > > > > > >
Regards,> > > Jayson> > > -----Original
Message-----> > > From: Fred [mailto:fctonetti@xxxx]> >
> Sent: Sunday, October 19, 2003 5:38 PM> > > To:
amibroker@xxxxxxxxxxxxxxx> > > Subject: Objective functions (was
RE: [amibroker] Re: > Optimization -> > - again)> >
> > > > > > > There are a lot of questions and
provacative statements in your > > post,> > > only one
of which from my perspective needs an answer/response.> > >
> > > Market behavior will continually change after that
...> > > > > > Change ? from what ? into what ? I
guess this is the part I don't> > > follow. To me there
is nothing new in market behavior now that> > > didn't exist last
month, last year, last decade, last century, but> > > clearly
those that take a short sighted view of history and the> > >
market action that made up that history will clearly never see it.>
> > It's a forest and trees thing ...> > > > >
> --- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill"
<dmerrill@xxxx>> > > wrote:> > > > I'm not
trying to be argumentative, honest (:-)... I'm more > than a>
> > little> > > > sick of saying the same thing over and
over, but I j u s t d > o> > > n '
t g> > > > e t i t .> > >
>> > > > ------------------------------> > >
>> > > > I fail to see the huge difference in principle
between equity> > > feedback and> > > >
backtesting.> > > >> > > > let's start by
assuming that backtesting performance of a system> > > and
its> > > > parameters over some period of past data tells you
something > about> > > its> > > > future
performance. it's not a perfect predictor, but it's the > >
best> > > evidence> > > > we have. does this seem
like a reasonable starting point? what> > > alternative>
> > > is there?> > > >> > > > if
that's true, why is it better to do it only once? what> > >
justification is> > > > there for picking one examination
period over another? clearly> > > market> > > >
behavior will change continually after that. don't we need a > way
> > of> > > working> > > > that looks
at what's been happening and evolves our response?> > >
>> > > > sounds like we examine performance up to some
point and adjust,> > > trade with> > > > the
best-choice system and parameters for a while, then examine > >
and> > > adjust> > > > again later. make sense?
what alternative is there?> > > >> > > > so
then, how often do we re-examine performance history? to put >
it> > > > differently, how long do we ignore any changes in
market > dynamics> > > that may> > > > or
may not have occurred? why would intermittently refusing to > >
look> > > and> > > > respond improve system
performance or reliability?> > > >> > > > if
that needs to be done, why not have the system itself do it, >
as> > > part of> > > > its inherent operation?
why is it better for us as an outside > > agent> > >
to> > > > periodically run some separate tests, reach into the
internals > of> > > the> > > > system,
and change stuff?> > > >> > > > or should we
just continue with the system and parameters we > > choose>
> > at the> > > > beginning? are they somehow more valid
than what we'd choose > > later,> > > using>
> > > the same backtesting methods, but on a different date range
of > > data?> > > >> > > >
------------------------------> > > >> > > > I
realize that even if it seems to make sense logically, this > all
> > a> > > complete> > > > crock if no
systems put together like this even backtest well,> > > never
mind> > > > forward testing.> > > >>
> > > but every time I think about abandoning this line of
research, > it> > > seems like> > > >
the first thing I'd want to do with a new system would be (let >
me> > > guess),> > > > test and possibly adjust
it using data up to some date, then run> > > with it
for> > > > a while after that and see if equity growth is
good. if it is, > I'd> > > want to> > >
> lather, rinse and repeat with other in and out of sample data,
> to> > > make sure> > > > that wasn't
coincidence.> > > >> > > > sounds way too
familiar to be a completely different animal.> > > >>
> > > dave> > > > From: Fred
[mailto:fctonetti@xxxx]> > > >> > >
> That IS what I was trying to say. I suspect because
equity > feed> > > back> > > >
is like looking in a rear view mirror, great for letting us >
know> > > > where we were and how we could have
adjusted the past to make > it> > > >
better, but that's about it.> > > > > > >
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