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Tom wrote:
> There is quite a bit here Mark.
> Responses intertwined. Those not interested
> won't last the distance.
> From posts here, there is a lack (in
> backtesting) of the differentiation
> between which past bar high or low came first,
> let alone the tick sequence.
> If this is true, how have you accounted for this
> in your backtesting
> methods?
> Tick bar charts would enhance volume studies
> over time bars, would they not?
> Wonder how wide the variance of ticks per day
> for any given issue is?
> Taking bonds for example:
>
> >I have done extensive research and development
> on complex >projectionary
> systems to know in advance what and when a trade
> will >be. However I think
> it is a simpler method to restrict the data
> sampling >to a consistent level.
>
> Have not traded systems for this very reason, no
> warning of impending
> positions to be taken. No room for intuitive
> filtering or personal learning
> by observations. This interests me as I wish to
> know before the actual entry
> signal occurrs, that one is near or not.
>
> >Back to the roll issue: Having a system for
> example that trades and
> >average of one tradeper week on an hourly data
> set. I would roll the >trade
> into the next month when my system reverses its
> position near >the rollover
> date. Preferring to roll maybe even earlier than
> the standard >contract
> roll, but certainly prior to the roll date.
>
> This would be the most convenient way to handle
> the roll since it really is
> a completely new trade even though it may still
> be open within a system
> trading it. If you are able to know that a "near
> roll" exit is about to
> occurr, then that would be the best.
>
> >I think this is ideal for a medium and short
> term trader. Longer term
> >trades could benefit also if you know the
> length of a typical trade and
> >just plan ahead.
>
> There is the key, knowing the length. Most if
> not all systems do not inform,
> nor know how long a trade will last.
>
> >I would not roll on volume, See a perpetual
> contract like I'm using
> >weightseach day one contract into the other.
> For each day that the >current
> contract trades it diminishes in value and the
> next contract out >increases
> in value.
>
> Can this be traded to your advantage in the next
> position taken? Would it be
> possible with such a "look ahead" system and an
> intermarket analysis of the
> next contract out, to take advantage of this
> contango? Most issues do this
> as the contract roll dates occurr. This must be
> due to the speculative exits
> and entries. Every trader except those wanting
> to take delivery/deliver
> wants out. This must skew prices during this
> transition.
>
> >As far as our synthetic contract data is
> concerned. I will post a chart
> >showing the roll effects of this method . They
> say a picture is worth a
> >thousand words but I have experienced a picture
> can generate a >thousand
> questions.
>
> This will definitely be the case for me, dumb as
> I am.
>
> >Not if you roll out of the existing contract at
> the time the system flips
> >from longto short as I have proposed above. At
> least on a hourly basis >it
> is canceled out because sometimes you will gain
> a few ticks and >some times
> you will loose a few ticks. But the method is
> far better than >anything I
> have ever experienced.
>
> Agreed, it would be and might be possible to
> take advantage of it.
>
> >We are currently using some advanced
> undocumented features of TS >and a
> DLL.This allows the system to use the perpetual
> real time data >that we are
> building as the price input for the real time
> system. Now the >buy and sell
> arrows will plot on the current contract data.
> However the >position of the
> buy and sell arrows are completely governed by
> the real >time perpetual data
> stream. We are doing this within TS.
>
> If I understand, you do not have to manipulate,
> merge or play with the data
> to get it into a continuous contract form?
> Inside or outside of TS?
> If this is the case, then the arrows or buy/sell
> indications remain constant
> throughout the entire continuous contract
> stream?
>
> >All empirical observations of indicators and
> cycles are false, I don't
> >believe in either.
>
> YOu have ruined my day. Where's my belt fed
> weapon. Seriously, are you
> saying that your own observations do not count
> it trading?
>
> >I do believe a system that is tested on
> historical data. If
> >in fact that same data is the data that is
> running real time.
>
> When a system is designed and programmed to
> perform a specific function of
> internal, mathematical associations,
> differentiations and similarities, is
> it not, in a sense, observing and deciding on
> the data it is fed? When
> someone does this system design, isn't he
> relying on his ideas that he
> formulated from his empirical observations? Were
> does the knowledge come
> from to make a successful trading system if not
> from experience and
> observation of the person(s) designing it?
>
> >IMPORTANT: I need to make a point! What I am
> >doing with the data is different than what is
> commonly preconceived by the
> masses.
> >I have a system and data that when I look back
> through the years shows me
> exactly
> >where it bought and sold "price and time". I
> can check my trading account
> statements
> >and I can compare exactly that trade on the
> historical data with my account
> statements.
> >They match! They are the exactly the same! That
> historical data is not only
> historical
> >data but it is Real Time data running outside
> of TS as a huge 10 years of
> hourly
> >perpetual data. It is then called up and used
> as the price input of my
> systems, running
> >real time. In concept if the TS 5.0 is capable
> you could have a real time
> historical data
> >stream that you could scroll back 20 years and
> observe the trades it made
> all real time,
> >while it is running real time. I know of no
> other method that is as exact
> for mechanical
> >system trading as this is. If there is one I'll
> buy it or pay to have it
> developed. It all can
> >be thought of as a slightly synthetic futures
> contract that never ends,
> much like a cash
> >contract. If I have failed to make myself clear
> in any manner please ask
> further questions.
>
> Clear as a "slightly synthetic" / "real" time
> continuous contract can be!
> You must explain these statements hopefully
> without giving out the secret
> champagne. Thanks for the "brief" and "general"
> replies.
> See U
> Tom
> planeacres@xxxxxxxxxxxxxxxx
> >
> >Mark Brown
> >
> >
> >> See U
> >> Tom
> >> planeacres@xxxxxxxxxxxxxxxx
> >>
> >> -----Original Message-----
> >> From: MarkBrown@xxxxxxxxxxxxx
> >> Subject: Re: negatives values in TS
> >>
> >> I have even been testing a perpetual real
> time add on
> >> >for TS that Rich Estrem and Myself have
> developed. It allows for the
> >> >automatic roll over of futures contracts.
> The catch is that while we are
> >> >able to produce this contact in real time
> forward.
> >> >Now why would someone want to do this?
> >> >Because: This allows you to (with great
> confidence)
> >> >back test a system on the very same data
> that you trade it on. In my
> >> >mind there is absolutely no substitute for
> this method of system
> trading.
> >> >It is very time consuming and expensive to
> do but so is faulty testing
> of
> >> >a system when applied to real money. To
> answer some inquires ahead
> >> >of time, if TS 5.0 ever comes out and we are
> satisfied with the security
> >> >features of it. The real time perpetual
> futures contract builder will be
> >> >offered to the public.
> >> >
> >> >Mark Brown
> >> >
> >
> >
> >
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