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Fred,
Thankyou very much.
I was hoping you would give us an indication of the range where
you 'normally' operate, and where you think we can go sometimes.
That's the most authorative and open answer, on "how much", I have
seen in my 2 years in the forum.
Presumably if you weren't doing 'walk forward adjustment/tuning' of
your system then, and you are know, then you must have found that
works better than what you did back in those days.
In that case, my estimation of what WF tuning can do for a system is
a long way off the mark, and not correct (I figured that around 30%
was the limit for that approach and maybe 50% for the top guns - raw
non-leveraged that is).
Re your system:
Thanks for the offer but I'm O.K and I have a rule only to use what I
can figure for myself anyway.
Plus I have another rule about efficient use of time so I won't take
up yours, or mine, on old leads.
Re selling systems:
I have thought about doing it myself and basically came to the
conclusion that I would only do it after I retire from trading, would
limit it to 100 people, charge $10000 per head and filter the
interested for aptitude (run a website with free basic training that
they have to pass before they can subscribe to the pay per view
section of the site).
People would probably think that $10k was over the top but that is a
dirt cheap price to turn someone with 100K into a millionaire within
a few years.
Now I have virtually gone off that idea altogether.
Reasons:
- trading is a high performance event and it takes so much
energy/focus that at the end I will be tired of it and not have the
energy for students
- very few people have the aptitude for super trading performance and
if they did would make it on their own anyway
- I don't have the patience for the complaints/whinging/volume of
emails that would be bound to occur
- you can't put all of those years of experience into a can
- our style ends up becoming so personal that you can't graft it onto
someone else
- if I am that good I won't need the money and can just help others
out here and there via forums like this
- very few people actually listen to what they are being taught
anyway (a lot of them would go out/do something that I didn't
advocate/lose their money and blame me)
- etc
Re Why don't traders, who get more than 30% plus go and work for a
Fund?
- they don't need the money
- I spent years working for an institution and 'retired' to work for
myself, from home, instead
- once you get there you will find they will try to make you change
your methods, no matter what they say before hand (there will be
institutional rules)
- the clients of the Funds don't have tolerance for drawdown and pull
their money (pressure is heaped on the trader)
- I couldn't possibly do it as I have a rule not to tell other
traders what I am doing (at the core) OR listen to their ideas about
what I should be doing (it messes with my head) adn they won't put
you on unless you tell them all about it and then go into meetings
where they kick your ideas around.
> with less than 3% DD's trading the long side only as there was
>nothing to
> trade on the short side
I think there are always short opportunities around, in any market.
Perhaps your 'rules for what consitutes a playable short' were a bit
tight in those days ....
counter trends can be traded but they are not as deep or prolonged?
Re market makers etc
I have thought for a while that sharing info with the retail traders
in the AB forum wasn't what I had to fear but rather the 'insiders'
who will get infront of your trades OR who are milking the edge off
well known plays before the retailers can get at them.
On the plus side ...nature abhors a vacuum so if they are milking it
another edge will appear somewhere else.
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, Fred Tonetti <ftonetti@xxx> wrote:
>
> Possible ? . Sure . I never said it wasn't possible . I only said
systems
> like this are not for sale .
>
>
>
> Personally I had a bunch of years from mid 98 - mid 03 when I made
250+%
> with less than 3% DD's trading the long side only as there was
nothing to
> trade on the short side .
>
>
>
> The OOS equity curve looks pretty much exactly like the IS i.e. to
the point
> where you wouldn't be able to tell from looking at an equity curve
which
> part of it was IS and which was OOS .
>
>
>
> If you are interested in what this system was about I'll be happy
to provide
> that information which you can backtest on past data as it is
extremely
> unlikely that similar methodologies will ever be viable again.
>
>
>
> This was on 50% margin and if the short side were possible would
have put
> one in more or less the 1000% CAR range i.e. .
>
>
>
> ~ 1.25% / Week ( Long Side Only ) ~ 2.5% / Week ( Long Side Only on
Margin )
> ~ 250+% / Year ( Long Side ) ~ 5% / Week ( Long & Short on Margin )
~ 1000+%
> / Year ( 1.05 ^ 52 )
>
>
>
> But that was in the neighborhood of about the largest market
inefficiency
> possible and for the super greedy even that wasn't enough as they
found
> illegal ways to trade systems like this after hours which
eventually brought
> attention form folks like Elliot Spitzer (LOL) who had those who
were
> trading illegally busted and applied enough band-aides to make
methodologies
> like this no longer viable even within the scope of what was legal .
>
>
>
> So again . possible ? . sure . The real question is . If you had a
system
> like this would you or anyone else for that matter sell it ? .
Besides the
> fact that the more people who knew about it the less likely it
would be
> profitable, how much is a system like that worth ? .
>
>
>
> Let's see . with $1 mm to trade a system with returns like this
over a 5
> year period results in . $1 mm * 2.5 ^ 5 ~ $ 100 mm .
>
>
>
> So what's it worth ? . How much do you sell a system like this for
knowing
> that after you sell some number of copies of it and the system
users are
> making real money with it that by definition if the market
(Traders / Market
> Makers) don't adjust to make this strategy no longer feasible that
some
> entity will be coming along to change the rules so that this is
still the
> case and as a result will also keep you from employing this
methodology.
>
>
>
> As a result most systems that are for sale did work SOMETIME . but
most
> likely not any more . for the reasons listed above and most likely
others as
> well .
>
>
>
> _____
>
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf
> Of brian_z111
> Sent: Saturday, August 09, 2008 10:33 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Anyone actually making money?
>
>
>
> Fred,
>
> > (let's see) an audited brokerage statement for the last 10
years .
> >Everything else >is some
> > form of fish story which gets better and better as time goes by .
>
> O.K Let's keep it real.
>
> "I had a dream" (ABBA) is one thing.
>
> Implementing it is another.
>
> Do you think it is at all possible for a trader to do 1000%PA as
> claimed at the Robbins-Trading.com World Cup site (Larry Williams,
> and others, are on THAT record as having done it???)?
>
> (I understand they claim the RTWC is auditied but I have no way to
> personally prove that).
>
> Theoretically:
>
> 0.5% ave net gain per day - intraday trading - trade 200/250 days
of
> the year == 100% PA
>
> leveraged 10* (this is possible outside of USA - not sure about
> inside)
>
> This is boom and bust for sure (Larry Williams was a boom and bust
> trader???)
>
> The trick would be to fence in the leveraging risk?
>
> I don't know about you but if I aimed for 1000%PA then I might end
up
> finding easy ways to get 100% PA and I wouldn't be unhappy about
that
> (I would still keep on trying to find ways to do four figures).
>
> What do you think?
>
> Do you think it is BS or what?
>
> brian_z
>
> --- In amibroker@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
ps.com, Fred
> Tonetti <ftonetti@> wrote:
> >
> > Almost anyone can write a system that can produce 30% CAR in
> sample .
> >
> >
> >
> > "Entry tests" are better geared to something like . Show me your
> year end
> > audited brokerage statement for the last 10 years . Everything
else
> is some
> > form of fish story which gets better and better as time goes by .
> >
> >
> >
> > _____
> >
> > From: amibroker@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
ps.com
> [mailto:amibroker@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
ps.com]
> On Behalf
> > Of brian_z111
> > Sent: Thursday, August 07, 2008 8:21 PM
> > To: amibroker@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
ps.com
> > Subject: [amibroker] Re: Anyone actually making money?
> >
> >
> >
> > Dick,
> >
> > Thankyou very much.
> >
> > You have been around a while and must have seen it all and heard
it
> > all several times over.
> >
> > I liked the article.
> >
> > I have been over and around this trade many times, but not using
> > those particular indicators.
> >
> > I still learnt 1 or 2 new things and reinforced some others
> > (sometimes you need a fresh view of an old problem to open your
> eyes
> > to it a bit wider).
> >
> > I agree with his core trading philosophies e.g. his idea
> of "Reality
> > Based Logic".
> >
> > If I was recruiting some upcoming traders, for a trading team,
the
> > entry test would be "show me your 30% EOD equities system" (for
any
> > mature economy/market), "now explain to me WHY it works".
> >
> > It there isn't an underlying logic, based on market behaviour,
then
> > it is probably a statistical fluke.
> >
> > My concern with computer/AT trading is that it is fine when it is
a
> > means to an end but it could become counter productive if it
> becomes
> > an end in itself.
> >
> > I haven't rushed to it because I believe I need to keep looking
at
> > the charts to stay in touch with market realities (sometimes
> trading
> > seems hard but as soon as I look at the charts it is easy again).
> >
> > If I became a computer driven trader I would spend more and more
> time
> > looking at formulas, and computed results lists, and less and
less
> > time chart reading/market watching.
> >
> > Re the trade example in the article.
> >
> > It is based on some of my core trading elements:
> >
> > - it has a trend (trade with the trend)
> > - it has momentum
> >
> > AND in that situation a big countertrend (pullback), with a trend
> > continuation confirmation, performs better than a small pullback
+
> > TCC that doesn't break the trend (it is a type of contrarian
trade -
>
> > both pullbacks have a similar W/L but the deep pullbacks produce
a
> > much higher PayOff ratio) - in fact the deeper the better, as
long
> as
> > it doesn't break a key pivot point.
> >
> > I found the SFO and the tradingacademy sites by googling....
> >
> > thanks once again.
> >
> > brian_z
> >
> > --- In amibroker@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
> ps.com,
> > "areehoi" <areehoi@> wrote:
> > >
> > > Brian.
> > > You have given Louis (and others) some excellent advice. You
may
> > find
> > > an article on Trading Systems appearing in the current issue of
> SFO
> > > magazine (I'm not sure you receive it in Australia)
titled "System
> > > Trading: Whose on the Other Side" of interest. You'll be amazed
at
> > > the simplicity of a trading system according to the author. I've
> > > posted it in the files section of the AB Group.
> > >
> > > Dick H
> > >
> > >
> > > --- In amibroker@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
> ps.com,
> > "brian_z111" <brian_z111@> wrote:
> > > >
> > > > Louis,
> > > >
> > > > This could be the longest AB thread ever.
> > > >
> > > > Some wonderful people gave you some wonderful answers.
> > > >
> > > > To help you get some lasting value from it, here is my close.
> > > >
> > > >
> > > > When you started in AB you asked me "can we really make money
> > trading
> > > > and how much"
> > > >
> > > > I told you >50% but that you should aim for >30% to start
with,
> > as a
> > > > benchmark.
> > > > Others said that was not possible.
> > > > Since then I have gone on to say 100% PA is good and 1000%PA
is
> > > > possible.
> > > >
> > > > Now you are asking the same question again!
> > > >
> > > > (others have now confirmed they ARE doing over 50% but no one
> > else is
> > > > talking about 1000% yet).
> > > >
> > > >
> > > > You asked me where you should start and which approach was
> better.
> > > > I told you that you should learn in US EOD stocks because it
> has
> > all
> > > > of the basic elements of trading right there etc
> > > > I said that RT data was a lot harder to handle and not worth
> the
> > > > trouble to newcomers.
> > > >
> > > > You went to RT and had trouble.
> > > >
> > > > I told you that almost no one trades using 1000's of symbols
in
> > RT
> > > > (most long term traders narrow down to the indexes, a
filtered
> > > > watchlist of stocks, a small semi-permanent list of stocks,
> Forex
> > or
> > > > Commodities.
> > > >
> > > > You tried to use 100's or 1000's of RT stocks for your first
> > system.
> > > > You had trouble with that.
> > > >
> > > > I told you it would take years.
> > > > Now after only 7 months you are struggling with it.
> > > >
> > > > In this thread I have laid it all out for you (roughly)
> although
> > I am
> > > > only saying what others have said in different ways, but to
> close
> > out
> > > > I will briefly summarise/explain what I have said.
> > > >
> > > > Method:
> > > >
> > > > a) isolate the key skills required to trade
> > > > b) practice them repetitively until they become second nature
> > > > c) positively reinforce your trading alter ego by focus,
> > simplicity,
> > > > positive thinking, repetition etc
> > > >
> > > > a) is the reason that so few succeed.
> > > > b) and c) are a piece of cake.
> > > >
> > > > It takes so long to isolate the key skills of trading because
> the
> > > > subject is so vast and there are so many conflicting opinions
> AND
> > > > very few, if any, traders who make it will lay it all out for
> > anyone.
> > > >
> > > > All in all it is like going through a library full of books
and
> > > > distilling the info down to a single Readers Digest.
> > > >
> > > > The super traders distill it all down to a tablespoon of gold.
> > > >
> > > > This takes a lot of time and many don't have what it takes to
> see
> > the
> > > > wood for the trees.
> > > >
> > > > After years I have got it down to the last pile of books (you
> can
> > > > easily successfully trade at that level, in fact you can
trade
> > > > reasonably well if you only make it half way through).
> > > > I only managed that because I was lucky enough to be an
> intuitive
> > and
> > > > this helped me find the shortcuts (I didn't have to read all
of
> > the
> > > > books).
> > > >
> > > > So once again, here is my practical advice to you.
> > > >
> > > > Don't take on the whole library - it is overwhelming.
> > > >
> > > > Take on one section.
> > > >
> > > > Start with US EOD trading, no leverage.
> > > > After you learn to get >30% there you can then start to learn
> > > > leveraging stocks (via options OR Single Stock Futures).
> > > > After you learn that then you can quickly and easily learn
> > > > Commodities/Futures etc or whatever you want - the trading
> world
> > is
> > > > your oyster.
> > > >
> > > > All of the core elements of trading are right there in EOD
> stocks.
> > > > If you can't find them there then you are not going to make
it
> > > > anywhere.
> > > >
> > > >
> > > > Re AutoTrading.
> > > >
> > > > This is like having your car on auto-pilot.
> > > > First you have to have a car.
> > > > Then you have to learn to drive it.
> > > > Then you can say "now I will automate it and put my feet up
> while
> > it
> > > > drives down the road".
> > > > You don't just decide to learn autodriving before you fulfil
> the
> > > > first two steps.
> > > >
> > > >
> > > > Why not start with commodities?
> > > >
> > > > because you will be trying to learn trading and leveraging
both
> > at
> > > > the same time plus all of the elements of trading are not
> exposed
> > the
> > > > way they are in stocks (you have the complication of
> seasonality
> > plus
> > > > you are limited to 20-30 instruments).
> > > > In stocks you get a much better feel for trading with the
> > different
> > > > cap levels, different volatilities, sectors and global
> > relationships
> > > > etc - things you don't see so clearly in other instruments.
> > > >
> > > >
> > > >
> > > > Why not start in RT?
> > > >
> > > > because so much of your time will be taken up with
> > software/hardware
> > > > issues when you should be focusing on learning to trade
(plenty
> > of
> > > > time for RT once you can trade).
> > > > Also - once you can trade then trading RT bars is barely any
> > > > different - you can go straight on with it (tick trading is
> > something
> > > > else again - only suitable for people who are right at home
> with
> > IT
> > > > skills)
> > > >
> > > > Wheh should I learn Money Management?
> > > >
> > > > First you have to get a system that can do >=30% when paper
> > trading
> > > > i.e. it does that live, for a reasonable period (on data you
> have
> > > > never seen before).
> > > >
> > > > IF YOU CANT DO THAT FIRST YOU CAN FORGET THE REST AND GIVE UP.
> > > >
> > > > Then, if you get that far, you need to learn the basisc of MM
> > before
> > > > you start to trade with real money (you can improve your MM
> based
> > on
> > > > your trading experience but you must now the basics before
you
> > start.
> > > >
> > > >
> > > > Realistically, only those with above average aptitude are
going
> > to be
> > > > able to do that while they are holding down a job (the
> magnitude
> > of
> > > > the task is pretty big unless you have a mentor, a friend or
> you
> > have
> > > > the right stuff to skip through it).
> > > >
> > > > All the best with your endeavours,
> > > >
> > > > brian_z
> > > >
> > > > please excuse me if I don't answer any further questions on
the
> > > > subject.
> > > >
> > > > --- In amibroker@xxxxxxxxx <mailto:amibroker%
40yahoogroups.com>
> ps.com,
> > "Louis P." <rockprog80@> wrote:
> > > > >
> > > > > Hi,
> > > > >
> > > > > I was only wondering... Anyone actually making money or
> making
> > a
> > > > living
> > > > > with AB and trading?
> > > > >
> > > > > I've been working on ideas and plans for over 7 months now
> and
> > > > didn't find
> > > > > anything convincing yet. I've been searching daily data,
then
> > > > hourly,
> > > > > 15-minute and now I am into 1-minute data and nothing seems
> > > > satisfying.
> > > > > Been searching RSI, MFI, ADX, MA, HHV, LLV... nothing seems
> to
> > work.
> > > > >
> > > > > So... Anyone is making consistent money with this, and if
so,
> > at
> > > > which
> > > > > timeframe and how do you do it?
> > > > >
> > > > > I'm beginning to think about switching to tick database; it
> > seems
> > > > even
> > > > > 1-minute is too slow for intraday trading. Anyone making
> money
> > with
> > > > > 1-minute?
> > > > >
> > > > > Thanks,
> > > > >
> > > > > Louis
> > > > >
> > > >
> > >
> >
> >
> >
> >
> > _____
> >
> > I am using the free version of SPAMfighter for private users.
> > It has removed 521 spam emails to date.
> > Paying users do not have this message in their emails.
> > Try SPAMfighter <http://www.spamfigh
<http://www.spamfighter.com/len>
> ter.com/len> for free now!
> >
>
>
>
>
> _____
>
> I am using the free version of SPAMfighter for private users.
> It has removed 522 spam emails to date.
> Paying users do not have this message in their emails.
> Try SPAMfighter <http://www.spamfighter.com/len> for free now!
>
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