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Pal,
It might be an epiphany for some...but, contrary
opinion (bullish consensus) has been publicly published since the 60's.
"Urban legends" are prevalent throughout the trading world. One of the
silliest notions is:
One of the problems with mechanical systems is
that as soon as traders discover a mechancial system, it would be destroyed when
it has sufficient users, because it would pretty soon be discounted by the
market.
Pure fiction. What
exactly is sufficient users? Ten people on this forum? Ten or twenty
hedge funds? Janus and Investco or Janus, Investco, Fidelity and twenty
foreign banks? Egomaniacs might buy into the this premise (maybe even
seminar/system sellers...trying to make you believe that the crap they are
selliing is unique...like contrary opinion). If Larry can convince you of
this, Larry can convince you of anything.
Larry doesn't reveal all of his methods in his
books either... Maybe he will at one of his seminars,
I bet if you plunk your money down...Larry will squeal
like a pig or bark like a dog. Don't worry, he'll be back in your town
soon. You'll get a chance to pay three grand (or more) to hear his pearls
of wisdom. There are people on this forum who know Larry socially and
professionally. Do you really want people to take his pants down in
public? If you insist on defining this marketing genius as a "great
trader", you will have to put up with people that have seen the "dog and
pony show" for the past 25 years. Some of it isn't very
pretty.
Take care,
Steve
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
palsanand
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, October 19, 2003 9:07
PM
Subject: Objective functions (was RE:
[amibroker] Re: Optimization -- again)
Hi,I have purchased his Batting 800 Money Tree
module for the Navigator for Windows from gfds.com in the year 2000.
It has some Profitable Day Trading Patterns which Larry has come up
with. It also includes a tool called the Target Shooter which is
very useful when combined with Gann 6 bar swing points in placing profit
breakout target limits and trend-change pullback limits on your
order. He compares trading game to a baseball game...On
Pg.-126 of his "The Definitive Guide to Futures Trading Volume II," Larry
discusses his Overnight Formula to determine whether to liquidate
positions at close on a day-trade or next day's open.. I won't repeat this
formula here..Often you must operate on Contrary opinion, that is,
against the advice, opinion and stated beliefs of the Majority of the
"experts". The only reason prices move is because of an imbalance
between buyers and sellers. That's why "contrary opinion"
works. If everyone thinks a stock is going up, that is because they
all hold long positions on it. Since there are few buyers at the
current price, it takes very few sellers to drive it down.I was
fortunate that some years ago I obtained a copy of Larry's 1987 Robbins
Monthly Commodity Statement Activity and Open Positions reports detailing
his contest results. Unfortunately, these reports had essential
information blocked out whether Larry had bought or sold and the number of
contracts traded. Lack of this data made everything else useless. All that
was available was the liquidation date, the futures contract traded, and
the results, i.e., the dollar debit or credit. Larry doesn't
reveal all of his methods in his books either... Maybe he will at one of
his seminars, if he hasn't already made it public. One of the problems
with mechanical systems is that as soon as traders discover a mechancial
system, it would be destroyed when it has sufficient users, because it
would pretty soon be discounted by the market. Larry knows this
probably better than anybody
else....Regards,Pal--- In
amibroker@xxxxxxxxxxxxxxx, "jtelang" <jtelang@xxxx> wrote:> 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.> > > > > > > >
> > > > Yahoo! Groups
Sponsor> > >
>
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