> I was however
>lucky enough
> to find this hole in the 90's and utilize it up through '03 .
Inefficiencies of this nature i.e. not mathematical inefficiencies
but those based on the behaviour of market participants, are still
around today.....the details are different but the theme is similar
(how the big boys create opportunities for the retailers who snipe on
the fringes)... they are even present locally i.e. within the US
markets.
There are still big holes out there that involve entirely different
strategies, to the one you mention.
re shorts
There are always short opportunities out there .... in stocks.
They are not as deep, as a bear trend trade, if they are only
a 'countertrend trade' ....say 0.5% intraday 3/5 days a week (wait
for the good ones)... the limit to what is good is the commissions we
pay (I assume US retailers can get below my commissions...in reality
I can only go to IB or an exotic 'local' dealer.... and I assume US
insiders can go way below what US retailers pay)....also the counter
trend trades are not so prolonged (play intraday shorts instead of 1-
3 bar shorts).
The reason I say stocks is because there are only a few commodities
and mainstream FX traded .... if oil is bearish all of Chicago is on
its back and the crowd who are playing it are hard arsed bastards....
on the other hand there are some many stocks that the attention is
not so concentrated and small retailers get a chance to play a bit
more.
The reason I say intraday is because, as I have said before, this is
the irrational market .... where the word trend takes on a whole new
meaning.
I have been interested in this subject for a while because I have an
instinctive desire to avoid risk and I could see from the start that
if I could cut out the 'random bearish acts of the market Gods'
(that could plunge my account by 10%, say, once every 7 years, that I
would be a long way towards a good, and steady, long term
performance.... deep down I would like to be a permanent bear but in
practice I have found it hard to buck the bull bias of markets ...
but eventually if one perseveres!
re market inefficiencies:
I believe that there are some inefficiencies in the market (so far I
have found two) that will NOT GO AWAY in the next 10 years (which is
when I retire from trading)... I don't say they will last forever
because the mechanics of the markets are changing quickly, due to
technology etc, so I won't predict beyond my ten year window, but,
possibly they will go on after that as well.
brian_z
--- In amibroker@xxxxxxxxxps.com,
Fred Tonetti <ftonetti@xx.> wrote:
>
> Brian,
>
>
>
> Believe me this is NOT where I normally operate . I was however
lucky enough
> to find this hole in the 90's and utilize it up through '03 .
>
>
>
> I don't expect to ever see another system that consistently
produces profits
> like that especially with those kind of DD's ever again .
>
>
>
> As far as WF testing is concerned this something I always did . but
this
> wasn't available as an automated tool until it existed in IO some
4 - 5
> years ago and then again sort of more recently in AB .
>
>
>
> Regarding short opportunities at the time . Not using the same
methodology (
> See my last post ) . There were very few short oriented MF's and
none like
> the kind that I was trading . There still aren't AFAIK .
>
>
>
> _____
>
> From: amibroker@xxxxxxxxxps.com
[mailto:amibroker@xxxxxxxxxps.com]
On Behalf
> Of brian_z111
> Sent: Sunday, August 10, 2008 8:13 PM
> To: amibroker@xxxxxxxxxps.com
> Subject: [amibroker] Re: Anyone actually making money?
>
>
>
> 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@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
ps.com, Fred
> Tonetti <ftonetti@> 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@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
ps.com
> [mailto:amibroker@yahoogrou <mailto:amibroker%40yahoogroups.com>
ps.com]
> On Behalf
> > Of brian_z111
> > Sent: Saturday, August 09, 2008 10:33 PM
> > To: amibroker@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
ps.com
> > 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@yahoogrou <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
> > > > > >
> > > > >
> > > >
> > >
> > >
> > >
> > >
> > > _____
> > >
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> > >
> >
> >
> >
> >
> > _____
> >
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>
>
>
>
> _____
>
> 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!
>