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Ha ha. Great system anecdote :)
Mike
--- In amibroker@xxxxxxxxxxxxxxx, "Jerry Gress" <pleasenospamplease@xxx> wrote:
>
> Hello,
>
> This thread reminds me of a private tour I had many years ago on the Pacific
> Stock Exchange (San Franscico), near the pit I pointed to a 'kid' on a
> computer and the guide said he works for one of the big players tracking the
> latest indicator so that the big player knows when the 'heard' is going to
> jump in so he can jump out!
>
> Also, my claim to system fame is "selling" a TradeStation system, putting in
> as part of the code an expiration date 1 year down the road. Of the two
> customers one called back one year for an upgrade, gave him another two
> years, and never heard back from both:) Moral is people will change a system
> over time or just go on to the next one thus all systems fail.
>
> Regards,
>
> Jerry
>
> -----Original Message-----
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf
> Of brian_z111
> Sent: Tuesday, June 02, 2009 9:16 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Do all trading systems stop working? - Howard
> Bandy's book
>
> Thanks for the feedback.
>
> Samantha's question fired off my search algorithms for sure and they are now
> zeroing in on the US institutions... I think that is where the answer lies
> to the question of 'eroding the edge' e.g. if I am trading the SPY, and buy
> on a system entry at 0930 US time, there is so much volume going through
> that instrument, at the same time that I am buying, what difference does my
> little bit make and who knows what is motivating every single dollar?
>
> My assumption is that the vast majority of money going through the US
> markets is controlled by institutions and that in most cases they would not
> be the least bit interested in my trading systems, or theories for one
> simple reason, .... they are restricted officially by due diligence etc and
> unofficially by their clients tolerance for risk .... I am far to extreme
> for their tastes.
>
> No matter how well a manager invests the money they can't stop a run on
> their funds when the fund, or the indexes are dipping markedly, so they are
> forced to sell 'under their clients orders'.... I guess that played a big
> part in last years debacle.
>
> The only interest in 'trading systems' would come from boutique funds (hedge
> funds etc) so it depends what % of the total US market they are controlling.
> Even then there is so much literature out there I doubt very much that they
> would ever stumble on my posts let alone take them seriously.
>
> You are quite right though ... I am going to do some more homework on the US
> funds ... I have been underestimating them and some of them are far more
> interesting than what I thought, up until now.
>
> I dare say a lot of the boutique funds got their butt kicked last year too
> because of the mistaken believe that they were diversified into
> non-correlated markets/systems.... I will have to look into that also.
>
> I have to say, though, that I am more afraid of my broker getting in front
> of me, which would definitely clip my take, than I am of sharing my systems
> with a bunch of investors/traders/fund managers.
>
> brian_z
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Ed Hoopes" <reefbreak_sd@> wrote:
> >
> > There are publicly traded funds organized around various trading systems.
> Below are a few for comparison:
> >
> > NFO - Insider Info
> > STH - Stealth
> > XRO - Sector Rotation
> > PIQ - Magni Quant
> > PSP - Private Equity
> > FVI - ValueLine 100 Stocks
> > BWV - Covered Calls
> > CSD - Spin Off Companies
> > DEF - Defensive Stocks
> > EZY - Low PE Ratio Stocks
> >
> > Now take each one of the above and do a relative performance to the
> overall market - like VTI Vanguards Total Market ETF - and you can see how
> well they work.
> >
> > NFO, PSP, EZY top the list with a modest out performance using my ranking
> algorithm. The majority equal the market or underperform.
> >
> > For me the most disappointing is FVI only as good as the broad market - so
> much for $650.00/yr fundamental/technical analysis newsletter. XRO - is the
> worst.
> >
> > ReefBreak
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@> wrote:
> > >
> > > Hello Samanatha,
> > >
> > > Thanks for your post ... a good topic and thanks also to D and PS for
> additional leads and others for the discussion.
> > >
> > > <snip> .... all trading systems will stop working forever at some point
> (because the inefficiency in the market they exploit will be killed by
> everybody jumping on board).<snip>
> > >
> > > This point of view isn't shared by all traders.
> > > There are at least two grounds for objection:
> > >
> > > - the massive number of possible permutations, at any point in time in
> the market, make the chance that two traders are doing the same thing with
> significant amounts of money are unlikely e.g. Aronson puts forward this
> idea in his book, "Evidence Based Technical Analysis".
> > >
> > > - based on the behaviour of market participants it is also unlikely that
> a significant number of traders will trade exactly the same trade even if it
> is "published in the Washington Post" e.g. one of the Wizards interviewed in
> one of Schwagers book's argues along those lines when he is asked if he is
> reluctant to talk about his trading methods.
> > >
> > > Take this topic for example ... how many people read the topic ... read
> it carefully ... read the links ... thought about it ... did some homework
> ... go on to study the system ... put it into practice (without changing
> anything) and then go onto to trade it in the same market, same instruments,
> same timeframe etc with significant amounts of money.
> > >
> > > I consider myself to be a trend trader but my definition of a trend is
> unlikely to be used by more than a handful of people ... the chance that
> others are watching the same trend, in the same instrument and the same
> timeframe is almost zilch.
> > >
> > > The caveat is if and when large institutional traders are systemic
> traders and/or algorithmic traders .... perhaps large players can mop up
> systems if they are interested enough to do so.
> > >
> > > There has been little discussion, on this board, about systematic
> trading by institutional players.
> > >
> > > Siddhartha did say he didn't observe that the practice was widespread in
> his time in the industry. On the other hand I recall reading an article that
> said Goldman Sachs were into algorithmic trading in a big way.
> > >
> > > As an aside ... I thought that the axiom "We will miss most of the
> growth if we miss the 10% biggest gain dayss in the market (ditto for a
> weekly/monthly/yearly basis etc) was basic (same for missing most of the
> losses if we avoid the worst ten%).
> > >
> > > Looking at any index chart, with hindsight, it seems obvious that there
> are several points where any number of indicators could have told us to get
> out and we would have been better off ... the trade off is the cost of exit
> and re-entry.
> > >
> > > I put a lot of effort into investigating that payoff/versus cost when
> deciding how often to trade (buy and hold versus, say, short term or day
> trading).
> > >
> > > I was surprized last year when so many in this forum (of all places)
> seem to be hurting.
> > >
> > >
> > >
> > > Re Momentum trading:
> > >
> > > There are two articles here on trend trading (scroll down to 3.1a and b.
> > >
> > >
> > > http://zboard.wordpress.com/library/miscellaneous-articles/
> > >
> > > Michael Covel appears to be the current king of trend trading (I like
> his book but not his videos).
> > >
> > > www.TrendFollowing.com
> > >
> > >
> > > How do we know when a system is failing?
> > >
> > > We can't get a math measurement to tell us when that momement has
> arrived ... all models assume stationarity and as soon as it is broken we
> are in unknown territory .... classically a shift in the average value or
> the dispersion (of the trade series) signifies non-stationarity, although
> random data series contain a good deal of variance and it is hard to
> distinguish random variance from a system breakdown. However IMO most
> traders are trend traders and almost anything will work while we are on the
> right side of the trend .... so in the real world a system is broken when
> our assumptions about the underlying trend are incorrect.
> > >
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "samu_trading" <samu_trading@> wrote:
> > > >
> > > > All,
> > > >
> > > > In his really good book Quantitative Trading Systems, Howard states
> that all trading systems will stop working forever at some point (because
> the inefficiency in the market they exploit will be killed by everybody
> jumping on board).
> > > >
> > > > On the other hand you have momentum / ROC based systems working
> forever now, same for trend following MA crossover systems like The one
> propagated by Mebane Faber. Momentum and MA rossover trendfollowing does
> seem to work "forever".
> > > >
> > > > Any comments from the gurus here?
> > > >
> > > > Thanks, Samantha
> > > >
> > >
> >
>
>
>
>
> ------------------------------------
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