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Brian,
When I was an IG Markets client I was more a punter be fair... I was an experienced professional trader (having worked in the industry - doing mechanical trading systems among other things!!!) but i hadn't worked out my style yet as an independent trader... So frankly I was punting.
That was a few years back now. And I'm not up-to-date on what IG's offering is now.
Since then I went on the typical journey of an independent trader... and ended up with a futures only broker who gives me DMA with a very good and simple ladder DOM for execution. Something IG didn't come close to offering at the time.
Also as I recall, IG's financing was very costly and slightly crooked in that they charged you outrageous financing even if your account was fully funded. Basically they 'forced' you to use leverage from a financing position.
--- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>
> Sidhartha,
>
> How did you find IGMarkets ... any pros and cons?
>
> Who are you using now and why did you change?
>
> --- In amibroker@xxxxxxxxxxxxxxx, "sidhartha70" <sidhartha70@> wrote:
> >
> > Actually Brian IG Markets used to be my broker... ;-)
> >
> > I think retail clients can literally get pretty much anything that the institutions can these days. I'm constantly amazed (not least by AmiBroker for example) at the sheer quality of the offering to retail clients.
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@> wrote:
> > >
> > > 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
> > > > > > > > > > >> >> > >
> > > > > > > > > > >> >> >
> > > > > > > > > > >> >>
> > > > > > > > > > >> >>
> > > > > > > > > > >>
> > > > > > > > > >
> > > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > >
> > > > > >
> > > > > >
> > > > >
> > > >
> > >
> >
>
------------------------------------
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