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Maybe I'd like to add that system trading requires a great deal of
capitalization to weather the drawdowns associated with the cycles of
favor/disfavor that occur. In my tests, trend following systems have
marvelous long term track records...and gigantic drawdowns.
I believe that if you really would rather play golf then you should do
that. As Ed Seykota said, then you can hire someone who loves to
trade to do your trading for you. Trading isn't for everyone, and the
best system in the world won't change that. If you love the rough and
tumble of trading, maybe you're called to it. That type of calling is
essential to whether the tough times...no system will ever remove the
"tough times." If one comes along that does, I'd be really scared of
the implications for the markets and, by extension, society.
Any method, mechanical or personal, will introduce risk. The question
we all have in common is, how do we manage that risk?
My favorite author said: the LETTER of the law [that is, mechanically
following it when you'd rather be out golfing] brings DEATH, but the
Spirit of the Law [the essence, the intent of it, the investing of
yourself into it] brings LIFE.
Rules applied mechanically, without investing yourself in them are
ultimately nothing but trouble. But if your "system" is to trade
breakouts, then teach yourself to find them (with or without the aid
of a computer), trade them, manage the risk of being mistaken and the
responsibility of being right. If you can quantify your signals, and
are comfortable with the implications of doing so, more power to you.
FYI
Chas.
---Eckardt <alexgegc@xxxxxxxxxxxxxxxxxxxxxx> wrote:
>
>
>
>
> Tom et All
>
>
> Iīm watching this list for a while and have developed and optimized
> systems as good as I could without programming knowledge. In the end I
> returned to my old approach, a simple set of MAs to give me a clue
and a
> simple but still improovabale set of criteria/rules to protect myself
> from my mental shortfalls.
> Without your comment it might have taken another week or so, but I
felt
> the question brewing : Is out there someone or a group, who have been
> able to develope a system that really works, that you could take
> Linncoīs LEO stuff, turn on your computer, go on vacation and return
> saturday enjoying your profits and just do some computer checks?
>
> Lately I optimized a system for the march dm. results where okay and
> than I put it on june dm and it just was horroble. Normally it takes a
> couple of month to get the changing market profile to chew up a
system,
> but this was a real quicky.
>
> And if it is favorable to use the brain, is there a way to get rules
for
> trading, that have nothing to do with the actuall rt quotes into Ts?
> Something like
>
> I sold beans and are only willing to keep them, if they close 3 cents
> into profit (on thze close, in one hour, whatever timeframe)?
>
> or
>
> Add to the position, when the market makes an Fib retracement of ??%
> from last high/low and your initial position is at least 5 points
ahead?
>
> or
>
> Alert, when the market moves above yesterday last 1/2 hour high /
below
> low?
>
> There are plenty more. Donīt get me wrong, I can find out how to do
the
> programming myself, will take more time but thats not a problem. I
think
> the problem starts, when you have to punch 5 or 6 different criterias
> into one market/system.
>
> Let me know if there is interest here to get a discussion rolling,
that
> concentrates a bit on that kind of system (not programming for trading
> signals, but for keeping your attention on whats important) and I
still
> would like to know if someone really owns a mechanical system that
> produces profits and you feel 100% comfortable with, so that you can
> trust the signal without second guessing but full faith and make money
> over an extend periode of time.
>
> Thanks for your time - Ulrich
>
>
>
>
>
> Tom Cathey wrote:
>
> > Hi Glenn -
> >
> > Ain\'t it the truth - You\'re not alone.....
> >
> > I\'ve been at it for 18 years and tested everything under the sun. I
> > just
> > hope most guys continue to fool around with ridgid systems,
> > (especially
> > optimized)..... \'cuz I do not want to trade against guys like
> > yourself who
> > can change with the market on a moment\'s notice...and are light
years
> > ahead
> > in decision making ability vs: a computer....That is assuming that
> > you are
> > disciplined and have gone through the gauntlet to appreciate it all.
> >
> > Ya know...I read somewhere that the reason the CFTC is so brutal
> > against
> > system vendors, hypothetical results and the like is \'cuz they feel
> > all
> > "systems" are doomed to fail....and nothing works no matter what you
> > do.......and the system promoters (losers) are out there trying to
> > fleece
> > the public. If you have witnessed the heavy fines, prosecutions,
new
> >
> > proposed legislation, etc. happening lately with the NFA, etc.
> > concerning
> > this stuff you will know what I mean. I think the Feds think it is
> > their
> > job to really let the public know the real score, and if they still
> > want to
> > invest then so be it.
> >
> > Hey, I have seen it myself.... systems that work for a while...but
> > when the
> > probabilities turn the other way, they get friggin destroyed. It\'s
> > all a
> > wash over time...break even.... The only thing I\'ve seen really
> > perform in
> > a stellar manner over a long period of time is a discretionary human
> > being
> > USING a computer as his tool to aid his decision making and crunch
the
> >
> > numbers. It\'s really a bell curve like everything in life. If you
have
> > 1000
> > systems working, 950 will break even, 50 will make a lot of money,
and
> > 50
> > will get destroyed. (I\'m being very generous and general) The next
> > month
> > (or whatever time period) another group will work and the others
will
> > get
> > destroyed. There always has to be a bell curve when optimized
systems
> > try
> > to predict human behavior.
> >
> > And something else....UNLESS you have discovered something VERY
unique
> > that
> > no one else is using AND is unlikely to be easily discovered in
mass,
> > your
> > system is doomed to break down as other "optimizers" start finding
> > what
> > works this month, etc. It\'s like a dog chasing it\'s tail. There
was a
> > guy
> > (Joe Ross?) who said he\'s witnessed a long term 7 year cycle
where the
> >
> > "volatility break out" systems work, and then the "Turtle-type"
> > trending
> > systems start working again. I\'ve seen the same. (Unfortunately
there
> > are
> > many faster cycles that mix in with the 7 year one) Remember when
> > Bob
> > Buran was touting his break out systems? I tested that and different
> > versions. It worked great, then got destroyed. Same with the
> > Turtles....and
> > all the rest. They work , then they don\'t, then they do, .....a
wash.
> > BTW,
> > Buran claims his performance is partly \'cuz of discretionary.
Same for
> >
> > Sands, the Turtle. They employ the brain also to help choose.
> >
> > I\'ve had a number of guys send me messages saying they have fully
> > optimized
> > stuff that works, but I really feel it is 10-20% a year kinda stuff,
> > if
> > that, over time. To achieve 100-200% per year like say, Tudor Jones,
> > and
> > other discretionary traders requires just that...discretionary. I
mean
> >
> > 10-20% can get blown out real fast in a bad month. If the potential
> > isn\'t
> > 100-200%+ why in the world take the kind of risk we do in futures
> > markets?
> >
> > I feel computers are wonderful....I live with three in front of me
> > trading
> > all day...but I would never let a progarm dictate my trades
> > again...like
> > you, it\'s too darn expensive.
> >
> > All I really wanted to say is that I feel your frustration. <G>
> > I\'ll bet
> > the majority of people on this list cannot believe the time they\'ve
> > spent
> > testing systems (like you and me) and maybe think there is something
> > wrong
> > with them..."why can\'t I make money like everyone else?" Well,
it\'s
> >
> > OK..... You\'re not alone.
> >
> > I am saying all of this NOT from a frustrated, "given up on systems"
> > point
> > of view, but from someone who has been through this rough endless
road
> > and
> > is finally happy after settling on a different method.
> >
> > Glenn, let me know how you make out.
> >
> >
> > Good Luck -
> >
> > Tom Cathey
> >
> > (private trader )
> >
> > ----------
> > > From: Glenn Schultz <glens@xxxxxxxxxxxxx>
> > > To: Omega List <omega-list@xxxxxxxxxx>
> > > Subject: Unidentified subject!
> > > Date: Thursday, March 12, 1998 5:59 PM
> > >
> > > I am a discretionary trader. For the past year I have been
looking
> > into
> > > system trading and to date have been unable to create a system
that
> > can
> > > outperform my historical record. I addition, I have a friend that
> > traded
> > > like I do and he went to system trading and lost his butt.
> > >
> > > In my opinion the evidence is beginning to stack up against system
>
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