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--- 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?
>
> Jitu
Jitu,
Larry Williams stated that "Walk Forward Tested System is Better
than the Best Optimized One".
I agree with this completely, to the effect that I recently dropped
over 120 optimized/re-optimized(every 4 days) systems. I arrived at
a set of parameters and algorithm based on logic, experience and
sound trading principles that will never be subject to change. I
then verified the detected signals with a few OB/OS conditions and
then use a time window (10 days) to search for a buy/sell signal. I
then interpret the signal as to whether it is a breakout or trend-
change pullback to aid me in placing the limits on my order (only
for reversal signals not continuation signals). I do optimized my
entry points (MOO or Low Of Day/High Of Day) depending on the
strength of the signal. As I perfect my system more, I do not even
have to do this optimization of entry points...
My position sizing methodology is even more simple:
Available_Equity = 0.42*Usable_Margin. Then I divide the
Available_Equity equally among the positions I intend to trade
(diversification). I use an even more simple stopping methodology:
3BSMA for the next session after entry. No stops on day of entry.
I do use a mental stop which is about 1 full point above/below entry
only on the day of entry.
Return so far, 57.9% in 4 days of real-time trading (walk-forward
test). This is with 100:1 levearage. It could have been more, if I
had not been prematurely limited out. So I modified my trades not
to have limits for trending markets and instead wait for a reversing
signal or get stopped out by the 3BSMA stop.
Bottomline is I threw out optimization/re-optimization of Entry/Exit
Trading Signal Systems out of the window, just as Larry Williams
advised and he is the only one who advised me that....
Regards,
Pal
>
> --- 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@x...]
> > > > 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@x...]
> > > > >
> > > > > 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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