Re: [amibroker] Re: Anyone actually making money?, AmiBroker Email List Archive

For a long time ? global markets have had a tendency to follow each other in terms of price moves ? You can see this on any given day for example by watching what happens in the US between about 11:30 AM eastern and EOD and then seeing what sort of effect this has on the opening and for that matter for the most part on the entire day in Europe tomorrow ?

A trend up or better yet a big up in the afternoon in the US is almost always followed by a large upward opening in Europe and most of the time in a good size close up for the day as well ?

Therefore if one had a vehicle to invest in at today?s US close that had for its closing price prices that were based on the European market close from 5 hours earlier then this is essentially like having 2/3rds of the European financial news for tomorrow in advance ? Such was the case with European oriented mutual funds for a long time ? This was finally laid to rest with several tactics of fund managers which included early redemption fees i.e. a 1 ? 2% penalty for holding MF?s less than 30 days or by outright banning of the MF ?traders? if they could catch them or by what was later termed fair valuing which was in essence a means of adjusting the pricing of European mutual funds based on what happened in the US after the European close. This technique worked with pacific rim MF?s as well and is probably where the practice by some at least began but with more volatile results ?

It?s amazing that this ?hole? was left open as long as it was as it was roughly equivalent to ringing the bell and taking the cash ? Getting average returns on investments of 1.25% / week without margin which usually involved a 1 ? 3 bar trade were for the most part routine and there were brokers at the time who would allow margin on MF?s on trade entry ? Towards the end ( Mid 2003 ) it was more difficult to come up with interesting ways to stay under the fund managers radar then to have winning trades as winners were typically 80+% of total.

As far as the not so legal part of this is concerned there were those out there who were paying off individuals in the funds ?trading police? to look the other way or in some cases the fund managers themselves to be able to trade after hours when some highly favorable or unfavorable earnings reports came out on companies that had a large percentage makeup of some fund ? While somewhat ?enterprising? this was clearly overkill given the golden goose that was already available ?

From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Steve Dugas
Sent: Sunday, August 10, 2008 6:43 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Re: Anyone actually making money?

Hi Fred - Not sure if your offer was public or private but if it was public I would be interested in hearing about it. If not would still be interested in hearing about the super greedy/illegal part as it sounds like an interesting story...

Steve

----- Original Message -----

From: Fred Tonetti

To: amibroker@xxxxxxxxxps.com

Sent: Sunday, August 10, 2008 6:10 PM

Subject: RE: [amibroker] Re: Anyone actually making money?

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@xxxxxxxxxps.com [mailto:amibroker@yahoogroups.com] On Behalf Of brian_z111
Sent: Saturday, August 09, 2008 10:33 PM
To: amibroker@xxxxxxxxxps.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@xxxxxxxxxps.com, Fred Tonetti <ftonetti@xx.> 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@xxxxxxxxxps.com [mailto:amibroker@xxxxxxxxxps.com]
On Behalf
> Of brian_z111
> Sent: Thursday, August 07, 2008 8:21 PM
> To: amibroker@xxxxxxxxxps.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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