[EquisMetaStock Group] Re: Wall Steet Journal on System trading

[pumrysh <no_reply@xxxxxxxxxxxxxxx>]

Bob,

You are right on track. 

The Google trade is a dead giveaway. Notice that it did not appear on Altucher's radar until the 3rd of October. At this point the 4x2 begins. Remember, I said that I have the book. In it he discusses using a momentum trigger. I don't remember whether it was bollinger band or a short term rsi but one of those is the trigger he used. I checked the chart and indeed the 3rd is a day when the close drops below a RSI(3) threshold of 30. I didn't check a bollinger band.

Notice also that he held the trade for a 2 bullish days before he sold it... just happens there were more bearish days in between.

The whole trade just seems a bit agressive for a hedge fund especially when you consider that google was in a bearish trend.


Preston

     

--- In equismetastock@xxxxxxxxxxxxxxx, Bob Waits <bobwaits2@xxx> wrote:
>
> Preston:
> 
> I am using Amibroker and maybe I have accedantly come up with a better system or something, but backtesting between Nasdaq 100 between 1988 and 1991 (that's as far back as my data goes, I get very good results and for S&P 500, between 1982 and 1991, I get fantastic results.
> 
> Let's assume for a second that my backtest is wrong i.e. I actually have a slightly different system, which I don't, and that Jake is right with his backtest. The reason could that since 1987, the markets are much more auto correlated or serially correlated. That's mostly because of globalization where movements in Hang Sang influences US markets and vice versa. Technical analysis works fantastic when there is auto correlation. 
> 
> So, the bet you have to make is: will auto correlation persist? If not, come up with a system that works when correlation and auto correlation breaks down. Or, as Bob Precher said, you could have two systems: one that works during impulse waves and the other that works during corrective waves, although the correction since 2000 has behaved more or less like an impulse wave.
> 
> Whether you are following TA or funda or macro, through analysis or systems, one reaches a point where he/she will have to decide between two choices . If that decision is right, the alpha could be massive. I still have to come up with a system that works in all markets. What one may be able to do is simplify the decision further by overlaying a trigger -- so I would go right if x factor occurs and left of x does not occur. But "chose" you must.
>  
> 
> 
> 
> 
> 
> 
> ________________________________
> From: pumrysh <no_reply@xxxxxxxxxxxxxxx>
> To: equismetastock@xxxxxxxxxxxxxxx
> Sent: Sat, February 13, 2010 10:37:17 PM
> Subject: [EquisMetaStock Group] Re: Wall Steet Journal on System trading
> 
>   
> Seems that Jake has a different perspective on this:
> http://econompicdat a.blogspot. com/2010/ 02/simple- way-to-data- mine.html
> 
> Here's the catch...positive momentum. 
> 
> The real question is whether a hedge fund would trade the system.
> 
> Preston
> 
> --- In equismetastock@ yahoogroups. com, "formulaprimer" <formulaprimer@ ...> wrote:
> >
> > LOL, Read the posts on the bottom of the blog of the link. Pretty much explains it all... The only 4x2 4x4 that works is on a truck !!! Even then you get a Toyota sometimes... If you used the system the last 3 years you would have been whipped out due to markets falling for more than 4 days in a row and if they did go down four days and then only went up one day and collapsed... All capital would be gone so can't go back into the market to get money back... Notice profit is the missing equation here. There was none.
> > 
> > --- In equismetastock@ yahoogroups. com, Bob Waits <bobwaits2@> wrote:
> > >
> > > Not strictly Metastock related but more systems related. James Altucher says he has traded the 4x2 system for years, and it works:
> > > 
> > > http://bit.ly/cs0ZnU
> > >
> >
>




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