> DMA?
>
> My understanding is that it is not
'normally' offered to retail clients?
>
> I am sure Googling
will reveal more but here is one place where I have encountered the
facilty:
>
>
http://www.igmarkets.com.au/cfd/platforms-landing.html?ct=n>
> Adding another dimension to the (very good) discussion:
>
> Which is more likely?
>
> a) the mother of all
institutions hires the best of the Quants/IT's, builds the mother of all
computers, scours the planet for 'published' systems, reads every comment on
trading sytems etc from every discussion board/website etc and writes the
mother of all algorithms to trade the pants off the market using the mother
of all trading systems (a self adapting probability seeking algorithim etc)
== High risk/High costs?
>
> b) institutions (we can't estimate
how many) that participate in the markets hire their winning traders == High
risk (if the trader starts to lose)/requires a degree of management and
proactive decision making on a continual basis i.e. it is not a bureaucratic
approach/a lot of historically successful traders probably are not used to
handling mega$ accouts and might not want to do that anyway.
>
>
> c) institutions front run their winning traders == Hmmmm?
(a bit hit and miss with results (volatility of returns).
>
>
d) institutions take the other side of their losing traders == Hmmmm? (a bit
hit and miss with results (volatility of returns)/this method has builtin
oboslescence and limited returns (traders can only go broke once)/also
volatile as regards returns.
>
> e) institutions (especially if
they run their own book) delay trades a few seconds on both sides and direct
and matched buys/sells to their own books to clip a few points of a large %
of the trades that pass through their hands (like an unofficial brokers
addon to the spread) == high vol * small but consistent returns == No risk
== Hmmmm?
>
>
> In Australia the market is also the
market regulator.
>
> In other countries, do incestous
relationships exist between brokers/market makers/regulators and/or other
insiders ????
>
>
> --- In
amibroker@xxxxxxxxxxxxxxx, "sidhartha70"
<sidhartha70@> wrote:
> >
> >
> >
Basically DMA allows people like you & I, retail traders, and indeed
fund management companies, to access the markets directly, without
intermediary (other than in the following sense), simply using the
technological backbone of another firm (i.e. a broker or investment bank)...
in order for an investment bank or broker to take the other side of that
trade (therefore not offering DMA) it would have to be stated clearly &
explicitly within the terms and conditions that clients (retail or
otherwise) signed with the broker or investment bank... Which is something
it's worth everyone checking with their broker.
> >
> >
> >
> > --- In
amibroker@xxxxxxxxxxxxxxx, Keith McCombs <kmccombs@>
wrote:
> > >
> > > I am not familiar with DMA.
However, if your order is routed through
> > > any broker's
computer in any way, there is no technical reason why
> > >
somebody can't "front run" you.
> > >
> > >
According to Wikipedia, "*Direct Market Access* (DMA) refers to
>
> > electronic facilities that allow buy side </wiki/Buy_side>
firms to more
> > > directly access liquidity
</wiki/Liquidity> for financial securities
> > > they may
wish to buy or sell. Using DMA, the firms still use the
> > >
infrastructure of sell side </wiki/Sell_side> firms but take over more
> > > of the control over the way a transaction ("trade") is
executed."
> > >
> > > I admit that I know nothing
of the particular setups of "buy side"
> > > and/or "sell side"
firms. In fact, I don't even know what those two
> > > terms
mean.
> > > -- Keith
> > >
> > >
sidhartha70 wrote:
> > > >
> > > >
>
> > > Keith, front running would assume they weren't offering you
DMA
> > > > (direct market access) - my broker does... and
that they therefore
> > > > knew what your trades were
before you did...
> > > >
> > > > I prefer the
idea of me front running them...
> > > >
> > >
> I know a guy who hasn't lost money day trading in nearly 2 years
> > > > now... he made just over $1m USD last year... if his
broker is eroding
> > > > his edge by front running, he
hasn't seen it... and trading is his
> > > > life... he'd
notice.
> > > >
> > > > --- In
amibroker@xxxxxxxxxxxxxxx <mailto:
amibroker%40yahoogroups.com>,
> > > >
Keith McCombs <kmccombs@> wrote:
> > > > >
>
> > > > "(by entering trades in the same direction after
you)"
> > > > > Why wait until 'after'. The only thing
that prevents them from "front
> > > > > running" are
government regulations, which are enforced, without
> > > >
exception*.
> > > > >
> > > > > *note:
sarcasm intentional
> > > > >
> > > > >
sidhartha70 wrote:
> > > > > >
> > > >
> >
> > > > > > I have to say that I find this
idea that brokers will work out your
> > > > > >
strategy slightly fanciful.
> > > > > >
> >
> > > > I agree & accept that if you are a consistent winner
that brokerages
> > > > > > might try to shadow your
trades... that's great as far as I'm
> > > > > >
concerned because they simply add to your own alpha (by entering
>
> > > > > trades in the same direction after you) not erode
it.
> > > > > >
> > > > > >
However, the idea that brokers are smart enough to even begin to
>
> > > > > untangle a complex profitable strategy simply by
looking at the
> > > > trades
> > > > >
> is pure imagination in my opinion.
> > > > >
>
> > > > > > Again, I talk as a trader who trades a
defined system on a
> > > > > > discretionary basis...
including contingency plans for all my trades,
> > > > >
> chase plans for late entries... I often reverse a position if
I'm
> > > > > > wrong etc...etc...
> > >
> > >
> > > > > > I would wager a bunch of
smart people could look at my trades for a
> > > > > >
very long period of time and make little sense of them ...
> > >
> > >
> > > > > > --- In
amibroker@xxxxxxxxxxxxxxx > > > >
<mailto:
amibroker%40yahoogroups.com>
> > > >
<mailto:
amibroker%40yahoogroups.com>,
> > > >
> > "huanyanlu" <huanyan2000@> wrote:
> > > >
> > >
> > > > > > > Yiki, tashikani
soodesu. You have made a valid point, as the profit
> > > >
> > have to be made somewhere and those accounts would be subject to
> > > > scrutiny.
> > > > > >
>
> > > > > > > Huanyan
> > > >
> > >
> > > > > > > --- In
amibroker@xxxxxxxxxxxxxxx > > > >
<mailto:
amibroker%40yahoogroups.com>
> > > >
> > <mailto:
amibroker%40yahoogroups.com>, Yuki Taga
<yukitaga@> wrote:
> > > > > > > >
>
> > > > > > > Huanyan,
> > > > > >
> >
> > > > > > > > Splitting the trading
probably won't help you. If you could
> > > >
identify
> > > > > > > > the weakest trades (the
ones you would, perhaps, direct to
> > > > brokerage
>
> > > > > > > B), you would eliminate them completely.
So the results over
> > > > time of
> > > >
> > > > split trades should approximate your overall results.
And of
> > > > course
> > > > > > >
> if you shunt only the bad trades to broker B, then the results
at
> > > > > > > > broker A are going to be even
more spectacular. Brokerage A is
> > > > then
> >
> > > > > > going to have even more incentive to examine
your play.
> > > > > > > >
> > > >
> > > > There would seem to be no way to disguise your play,
because
> > > > you are
> > > > > >
> > not a market specialist. ^_^
> > > > > > >
>
> > > > > > > > Remember, it's not the
amount you win (splitting would affect this
> > > > > >
> > number, but it's meaningless), but the consistency and the
>
> > > > > > > methodology and the risk metrics, that
will draw attention.
> > > > > > > >
> >
> > > > > > One way to disguise the system itself would be
to occasionally
> > > > throw
> > > > >
> > > in the deliberate "anti-system" trade -- a throwaway trade
> > > > made on an
> > > > > > >
> absolutely contrary-to-the-system basis. That might throw off a
>
> > > > > > > search for your system. (Perversely, it
might also win.) ^_^ But
> > > > > > > > unless
you did it often enough to influence your real returns
> > >
> (which
> > > > > > > > you would not do,
because then your returns would be negatively
> > > > >
> > > affected), then it would have no value in terms of stopping
> > > > someone
> > > > > > > >
from shadowing you.
> > > > > > > >
> >
> > > > > > I've never worried about brokers taking the
other side of my
> > > > trades.
> > > > >
> > > I'd end up owning the companies if they did that long enough.
^_^
> > > > > > > > But just as I assume that
they look at good traders, I would
> > > > assume
>
> > > > > > > that they look at clueless traders
(although clueless traders
> > > > tend to
> > >
> > > > > run out of money, so they would be limited to
looking at clueless
> > > > > > > > traders that
seem to have a wellspring of money somewhere to
> > > > >
> > > replenish their accounts). I wouldn't mind taking the other
> > > > side of
> > > > > > > >
any trade made by someone with a demonstrated capacity for being
>
> > > > > > > wrong.
> > > > > >
> >
> > > > > > > > But I think the
practices are almost impossible to stop.
> > > > Brokers
are
> > > > > > > > often members of exchanges
(if not always), and they routinely
> > > > > > >
> generate data for the exchanges (margin long outstanding and
>
> > > margin
> > > > > > > > short, for
example). So they have at least some valid reasons for
> > >
> > > > > analyzing data.
> > > > > >
> >
> > > > > > > > And as I say, human
beings, generally, are not going to pass
> > > > up
any
> > > > > > > > profit opportunities. If you
are trading at *MY* firm, and you are
> > > > > > >
> consistently making a pile of money, with risk metrics that I
find
> > > > > > > > acceptable, I'm going to
have a look at your action. A very close
> > > > > >
> > look. Think of me as the camera behind the overhead mirror
at
> > > > > > > > Caesar's Palace. ^_^
>
> > > > > > >
> > > > > > >
> Yuki
> > > > > > > >
> > > >
> > > > Saturday, June 6, 2009, 12:26:07 PM, you wrote:
>
> > > > > > >
> > > > > > >
> h> Interesting idea, Yuki.
> > > > > > >
>
> > > > > > > > h> Can someone verify if
it is a common practice for brokers to
> > > > > > >
> h> investigate the performance of its clients ( of courese
>
> > > internally
> > > > > > > > h>
and act in low profile ) and then try to figure out the
> > >
> > > > > h> methodology of the successful clients
?
> > > > > > > >
> > > > >
> > > h> If it is the truth, then is it advisable to split the
trading
> > > > > > > > h> operation among
accounts in different brokers ?
> > > > > > >
>
> > > > > > > >
> > > > >
> > > h> Huanyan
> > > > > > >
>
> > > > > > > >
> > > > >
> > >
> > > > > > > > h> --- In
amibroker@xxxxxxxxxxxxxxx > > > >
<mailto:
amibroker%40yahoogroups.com>
> > > >
> > <mailto:
amibroker%40yahoogroups.com>, Yuki Taga
<yukitaga@> wrote:
> > > > > > > >
>>
> > > > > > > > >> KM> Why
would it be discovered?
> > > > > > > >
>>
> > > > > > > > >> I would be
inclined to believe that any system that is
> > > > employed
for
> > > > > > > > >> any reasonably
lengthy period of time will be discovered. I
> > > >
think
> > > > > > > > >> this is
particularly true now in the data processing age. Human
> > >
> > > > > >> beings are, after all, human beings. And
behind all the
> > > > machines,
> > > > >
> > > >> there are human beings. You can't trade without
exposing
> > > > > > yourself to
> > > >
> > > > >> the machines (which "remember" all your trades
forever)
> > > > and, very
> > > > > >
> > >> importantly, to the people who have access to the
machines,
> > > > or who
> > > > > >
> > >> control the people with access.
> > > >
> > > > >>
> > > > > > > >
>> I don't know where this might be illegal or legal, and I'm
>
> > > sure
> > > > > > it is
> > >
> > > > > >> in some places and maybe isn't in others,
but if I was a
> > > > ranking
> > > > >
> > > >> officer in a brokerage firm, you can be absolutely
sure that I
> > > > > > would
> > > >
> > > > >> know exactly who my most profitable clients
were over time --
> > > > > > using a
> > >
> > > > > >> basket of metrics to look for outstanding
performance that fell
> > > > > > > > >>
within allowable risk parameters. And you can also be sure
> >
> > that I
> > > > > > > > >> would
spend no small amount of time and effort trying to
> > > >
ascertain
> > > > > > > > >> how any
sustained profitability that was in the bounds of my
> > > >
> > metrics
> > > > > > > > >> was
being generated. I'd be running the data periodically.
> > >
> Need I
> > > > > > > > >> say
more?
> > > > > > > > >>
> > >
> > > > > >> If you are siphoning money out of the
market on a
> > > > consistent basis,
> > > >
> > > > >> and doing it better than almost anyone else
(basis simple RoR,
> > > > > > better
> > >
> > > > > >> risk-adjusted numbers, some the
combination of the two, or
> > > > whatever
> >
> > > > > > >> measures you happen to be looking
for), it is going to be
> > > > noticed.
> > >
> > > > > >> There is almost no way to get around this.
Your identity can be
> > > > > > > > >>
cloaked without too much trouble, but cloaking your play is
> >
> > > > much more
> > > > > > > >
>> difficult -- because you have to play. Conceivably, you
>
> > > could break
> > > > > > > >
>> your play up among several sets of machines, but if you are
>
> > > > > > > >> successful enough I think your
play is going to be detected.
> > > > > > > >
>>
> > > > > > > > >> If you are
small potatoes, you have less of a problem I'm sure.
> > > >
> > > > >> Almost no problem. But if you have a system
good enough to
> > > > interest
> > > > >
> > > >> someone else, you aren't going to remain small
potatoes
> > > > very long.
> > > > > >
> > >> And in the meantime, you are going to be putting up some
trade
> > > > > > > > >> statistics that
should attract someone's attention. Let me
> > > >
change
> > > > > > > > >> that to *will*
attract someone's attention.
> > > > > > > >
>>
> > > > > > > > >> It's called the
smell of money. And one of humanity's most
> > > >
powerful
> > > > > > > > >> olfactory
capabilities is detecting that odor.
> > > > > > >
> >>
> > > > > > > > >>
Yuki
> > > > > > > > >>
> > >
> > > > > >> Saturday, June 6, 2009, 10:32:32 AM, you
wrote:
> > > > > > > > >>
> > >
> > > > > >> KM> The statement, "they will be
discovered and traded",
> > > > > > contains
two
> > > > > > > > >> KM> assumptions,
which I find difficult to accept.
> > > > > > > >
>>
> > > > > > > > >> KM> First,
addressed by Brian below, it will be discovered
> > > >
only
> > > > > > if it is
> > > > >
> > > >> KM> used to an extreme extent. The system may,
for example,
> > > > > > just trade
> > >
> > > > > >> KM> relatively small lots in large and
universally held
> > > > > > equities. One
could
> > > > > > > > >> KM> possibly
make millions from futures and forex without
> > > > >
> effecting the
> > > > > > > > >>
KM> markets one iota. Why would it be discovered?
> > > >
> > > > >>
> > > > > > > >
>> KM> Second, even if it were discovered and even became
widely
> > > > > > publicized, it
> > >
> > > > > >> KM> still might not be traded
sufficiently by others to have
> > > > > > any effect
on
> > > > > > > > >> KM> its success.
The system might, for example, require
> > > > > >
considerable
> > > > > > > > >> KM>
patience by the trader, so much so that only a very small
> > >
> > > number of
> > > > > > > > >>
KM> traders would be willing to use it. Or it could be
> > >
> based on
> > > > > > some theory
> > >
> > > > > >> KM> that all but a few would reject,
despite its effectiveness.
> > > > > > > >
>>
> > > > > > > > >> KM> It's
believed by many, including yours truly, the the most
> > > >
> > effective,
> > > > > > > > >>
KM> low risk/reward, way to make money from the stock markets,
>
> > > > > is to write
> > > > > > >
> >> KM> books and give lectures about how to make money in
the
> > > > > > stock market.
> > > >
> > > > >> KM> This system has been going on for years,
is well known,
> > > > and
> > > > > >
so far
> > > > > > > > >> KM> appears to
be quite profitable. I doubt that it will ever
> > > > >
> stop working.
> > > > > > > >
>>
> > > > > > > > >> KM> --
Keith
> > > > > > > > >>
> > >
> > > > > >>
> > > > > > > >
>> KM> brian_z111 wrote:
> > > > > > > >
>> >>
> > > > > > > > >>
>>
> > > > > > > > >> >>
<snip> I find the statement that all trading systems stop
> >
> > > > working
> > > > > > > >
>> >> eventually to be too vague.<snip>
> > >
> > > > > >> >>
> > > > > >
> > >> >> Howard has provided supportive arguments, to
this
> > > > theory, at
> > > > > >
various
> > > > > > > > >> >> times,
and we can not accuse Howard of being vague or
> > > > >
> equivocating
> > > > > > > > >>
>> when it comes to trading (I thank him for that).
> > >
> > > > > >> >>
> > > > > >
> > >> >> As I recall the basis of his view is:
>
> > > > > > > >> >>
> > > >
> > > > >> >> - all systems will fail
eventually
> > > > > > > > >> >> -
they will be discovered and traded
> > > > > > >
> >> >> - trading the edge erodes the edge
> > >
> > > > > >> >>
> > > > > >
> > >> >> By 'erodes the edge' Howard means that if, for
example,
> > > > I am
> > > > > >
trading a
> > > > > > > > >> >>
system and buy, at the entry signal of 100.00,, and sell on
> >
> > > > the exit
> > > > > > > >
>> >> signal of 103.00, I have made a profit of 3%.
> >
> > > > > > >> >>
> > > > >
> > > >> >> If a lot of people start trading the same
system (same
> > > > market/
> > > > >
> > > >> >> timeframe etc) then the second person in
will have to buy
> > > > > > at, say
> > >
> > > > > >> >> 100.01 and sell at 102.99
(because my action in
> > > > > > buying/selling
before
> > > > > > > > >> >> them
moved the bid/ask (theoretically trader 2 ends up with
> > >
> > > a profit
> > > > > > > > >>
>> of 2.98% , calculated on a commission free basis and so on,
>
> > > > > down the
> > > > > > > >
>> >> food chain).
> > > > > > > >
>> >>
> > > > > > > > >>
>> According to this theory, the efficiency of the trade
> >
> > has been
> > > > > > > > >>
>> diminished i.e. what was a 3% trade has been reduced to a
>
> > > > > <3% trade(on
> > > > > >
> > >> >> average) due to other traders piling in to the
trade.
> > > > > > > > >> >>
>
> > > > > > > >> >> My critique of that
argument is:
> > > > > > > > >>
>>
> > > > > > > > >> >> - the
reason why any trade (tick) is made (appears on the
> > > >
> > tape) is
> > > > > > > > >>
>> unknown to us (except for our own trade)
> > > >
> > > > >> >> - all ticks, other than those that are
trading our system,
> > > > > > are noise
> >
> > > > > > >> >> (to us) and therefore
random
> > > > > > > > >> >> - ticks
associated with our trade, that are not placed by
> > > >
> > us, will be
> > > > > > > > >>
>> dispersed in time, (due to the various trading time delays
>
> > > > > experienced
> > > > > > >
> >> >> by individual traders).... so they will be interposed
by
> > > > > > random ticks
> > > > >
> > > >> >> - in a pure market (no commissions and no
manipulation of
> > > > > > the trades
> >
> > > > > > >> >> by insiders) there is a
50/50 chance that my tick (if I
> > > > take
> >
> > > > the
> > > > > > > > >>
>> market price) will be less than the midprice of the bid/ask
>
> > > > > when the
> > > > > > > >
>> >> signal was generated at the exchange.
> > >
> > > > > >> >> - my price could move away from
the original midprice
> > > > > >
substantially,
> > > > > > > > >> >>
in a fast market, but no one can know the reason for the
> > >
> > > fast trading
> > > > > > > >
>> >> or attribute it to our system (my system only produces a
> > > > buy
> > > > > > signal
>
> > > > > > > >> >> once every 2-3 days on
average - fast markets happen all of
> > > > > > the
time,
> > > > > > > > >> >> when I am
not trading my system, and presumably slippage is
> > > >
> > still
> > > > > > > > >> >>
occurring, in other transactions, so the evidence is
> > > >
against
> > > > > > the fact
> > > >
> > > > >> >> that my system is the cause of
slippage and fast markets).
> > > > > > > >
>> >>
> > > > > > > > >>
>> The exception to that is if a 'player' with a big account,
>
> > > > > relative to
> > > > > > >
> >> >> the liquidity of the instrument, is also playing the
same
> > > > > > system, at
> > > > >
> > > >> >> the same time, in the same
market/instrument/timeframe.
> > > > > > > >
>> >>
> > > > > > > > >>
>> So the question is:
> > > > > > > >
>> >>
> > > > > > > > >>
>> - to what extent are 'big players' trading a system, in a
>
> > > > > highly
> > > > > > > >
>> >> liquid instrument, with enough clout to move the
market?
> > > > > > > > >> >>
>
> > > > > > > >> >> - IF big players are
system trading what type of system
> > > > > > would
they be
> > > > > > > > >> >> likely
to play and what% of the total funds they are
> > > > >
> controlling are
> > > > > > > > >>
>> they likely to risk on any single system?
> > > >
> > > > >> >>
> > > > > > >
> >> >> - are they likely to play with large enough sums of
> > > > money to
> > > > > > erode
the
> > > > > > > > >> >> efficiency
of the system they are trading?
> > > > > > > >
>> >>
> > > > > > > > >>
>> - IF they are playing a system, with large amounts of
> >
> > money,
> > > > > > is it
> > >
> > > > > >> >> likely that their system would
involve entering all of that
> > > > > > money
at
> > > > > > > > >> >> the same
time i.e. they would trade in such a way that they
> > > >
> > would make
> > > > > > > > >>
>> an intraday splash OR are they more likely to trade
> >
> > > > systematically
> > > > > > >
> >> >> over longer timeframes (that might be a reason that
> > > > intraday
> > > > > >
sytems
> > > > > > > > >> >> don't
get eroded as often as EOD systems ... if that claim,
> > > >
> > made by
> > > > > > > > >>
>> some, is true).
> > > > > > > > >>
>> - IF big players do trade in such a way that they are
> >
> > > > 'moving the
> > > > > > > >
>> >> market' do you think they would be so naive that they
are
> > > > > > unaware of
> > > > >
> > > >> >> this and haven't factored that in to their
strategy..... if
> > > > > > 'moving
> > >
> > > > > >> >> the market' is negative to their
strategy would they do
> > > > that
> > > >
> > ...if
> > > > > > > > >> >>
'moving the market' is positive to their strategy are they
> > >
> > > more likely
> > > > > > > >
>> >> to implement that strategy in illiquid
instruments/small
> > > > > > timeframes OR
>
> > > > > > > >> >> the reverse?
>
> > > > > > > >> >>
> > > >
> > > > >> >> But all of that is just a nice
theory.
> > > > > > > > >> >>
>
> > > > > > > >> >> The best argument
against any theory is evidence.
> > > > > > > >
>> >>
> > > > > > > > >>
>> Some forum members have listed some example trading systems
>
> > > > > that have
> > > > > > >
> >> >> been published for decades AND they are still going
strong
> > > > > > AND their
> > > >
> > > > >> >> performance has not 'faded in and
out'.
> > > > > > > > >> >>
>
> > > > > > > >> >> Anyone who wants to
defend the 'trading the edge erodes the
> > > > > >
edge'
> > > > > > > > >> >> argument
now needs to prove that these systems were never
> > > > >
> published
> > > > > > > > >> >>
AND that after they were published they ceased to work.
> > >
> > > > > >> >>
> > > > > >
> > >> >> That won't be an easy task because Samantha's
unequivocal
> > > > > > example (a
> > >
> > > > > >> >> 10 bar SMA on monthly data) is
based on a trading idea (MA
> > > > > >
crossovers)
> > > > > > > > >> >>
that has been around forever (Tomasz even ships AB with a
> > >
> > > example code
> > > > > > > >
>> >> in his formula folder and the manual) and there
are
> > > > > > published studies
> > >
> > > > > >> >> on the net (rigorous studies at
that) that are relatively
> > > > > > current.
>
> > > > > > > >> >>
> > > >
> > > > >> >> However, the more imporanat question
seems to be, if these
> > > > > > systems did
>
> > > > > > > >> >> not fail, due to being
published and/or traded, why
> > > > didn't they?
>
> > > > > > > >> >>
> > > >
> > > > >> >>
> > > > > > >
> >> >> --- In
amibroker@xxxxxxxxxxxxxxx > > > >
<mailto:
amibroker%40yahoogroups.com>
> > > >
> > <mailto:
amibroker%40yahoogroups.com>
> > > >
> > <mailto:
amibroker%40yahoogroups.com>,
> > > >
> > > > >> >> "Leading Edge Systems" <rdcpa@>
wrote:
> > > > > > > > >> >>
>
> > > > > > > > >> >> > I am
new to Amibroker and I have been using Howard's
> > > >
which
> > > > > > I find to
> > > > >
> > > >> >> be excellent, as a guide to learing
AB.
> > > > > > > > >> >>
>
> > > > > > > > >> >> > I
find the statement that all trading systems stop working
> > >
> > > > > >> >> eventually to be too vague. First
"stop working" is a
> > > > > > relative term
>
> > > > > > > >> >> and would have a
different meaning for each of us. Also
> > > > I
think
> > > > > > > > >> >>
inefficiencies can come and go in cycles based on the
> > > >
> > popularity of a
> > > > > > > >
>> >> particular type of trading. Once an inefficiency has
been
> > > > > > traded away
> > > >
> > > > >> >> due to over-popularity, it probably
will go out of fashion
> > > > > > and then
>
> > > > > > > >> >> become an inefficiency
again some time in the future. All
> > > > > > this
depends
> > > > > > > > >> >> on the
specifics of what we mean by "stop working" and "a
> > > >
> > system".
> > > > > > > > >>
>> >
> > > > > > > > >> >>
> Rich
> > > > > > > > >> >>
>
> > > > > > > > >> >>
>
> > > > > > > > >> >>
>
> > > > > > > > >> >> > ---
In
amibroker@xxxxxxxxxxxxxxx > > > >
<mailto:
amibroker%40yahoogroups.com>
> > > >
> > <mailto:
amibroker%40yahoogroups.com>
> > > >
> > > > >> >> <mailto:
amibroker%40yahoogroups.com>, "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
> > > > >
> > > >> >> > >
> > > > > >
> > >> >> >
> > > > > > > >
>> >>
> > > > > > > > >>
>>
> > > > > > > > >>
> >
> > > > > >
> > > > > > >
>
> > > > >
> > > > > >
> > >
> >
> > > >
> > > >
> >
>
> >
>