|
PureBytes Links
Trading Reference Links
|
:<< I propose that a good model instead trades a markets historical 70 to
90 percentile personality
Near 100 percent of the system builders out there taint the developmental
process with their empirical observations the are frankly counter
productive. I've seen only three other people even ever talk about this in
some sense. Mark Jurik, Bob Brickey, PO, while they have all arrived at
the conclusion something needed to be done we all do it differently. I have
been studying the comments of Jurik and Brickey, I would not use that
approach myself, just recently Brickey gave a demonstration of a method, it
can be seen at : http://www.sciapp.com/tradelab/fft.html I believe this
method could be used, I dont use it but I do research it from time to time.
Brickey uses back adjusted contracts I believe to do his studies Jurik I
dont know but he also has talked about pre processing data
http://www.jurikres.com PO's approach is black box and I dont know if it
pre processes the data or attempts to find patterns amongst the indicators
or a combination of both. I see some promise in the product from the post
and demonstrations that PO www.sirtrade.com has given and the magazine
article about the product I read.
I use a different approach to either method, I attempt to pre filter data
simply by using as little data as I can and approaching it from a thought of
why does a system give a buy or a sell signal. Most systems use price
action direction to dictate the direction of a trade taken. If the world
markets were always in a trend this would be a great theory of how to trade
the worlds markets. Given this then we need to understand that the entire
industry is eat up with purveyors of crap and crap ideas. Most all wannabe
traders are too lazy to do research, and those that aren't lazy cant float
above the sea of bullshit. I get sick of seeing Tom DeMark and his son who
was wet behind the ears two days ago being revered as gurus. Not to mention
Linda R and Jack S and Allon Shazzamie ect.. Wow its a global conspiracy of
the ignorant and they have won! I have no doubt that the very thing I hate
has made me wealthy, for this has all worked in my favor. How can I change
the thinking of generations? The natural process of survival exist even in
the markets, the few strong survive and the others sacrifice themselves to
the cause unknowing because of genetics. I am having this reinforcement
hammered in every time I see the post of spam here and the following sincere
inquires by those who search, not to mention the supporting messages of the
allies of the spammers. Now back to the data, as I said the volatility of a
futures is most prevalent near the end of its life. Knowing this I would
become more skeptical of a trading systems entries near this roll over
period. What to do? one wonders, well that volatility if ridden on the
correct side could be the sum total profits of that system. It might be
said that these types of systems are in reality event driven and not
actually trading systems that have found that magic cycle in a market.
Almost all systems are event driven, and therefore faulty in my way of
thinking. Why would my way of think be correct and others wrong? Because
the money dictates my decision process and not the supportive heard of the
misleading so called gurus and their followers. I need no other support of
my decision process than the ever increasing accounts liquidated value.
Most however need that peer support to set the definable rules and
boundaries that they are allowed to experiment within. Thus limiting there
exposure to the truth. The exposure to the truth is suppressed because man
dictates that one be properly educated to have gain recognition for the
obvious that is already know. The gain of a formal education is actually an
exercise of suppression of ones self in order to be the recipient of the
skin. Our society rewards those that surpress their originality for a
specified length of time and can also regurgitate upon test time the exact
words of the prof. Is this truly the bench mark for intelligence? If so
wheres the window, I want out of this world. I could take the least
educated minds and have them trading successfully. I have been ever
challenged though to even converse with those of structured learning. I
have been recently passed upon by three top industry money allocators. For
no other reason than I have no tangible education. Now I am constantly
amazed at the request I receive for enlightenment. I am no miracle worker
but I know this : what you see is not what you get when trading, what you
see keeps you from the truth. What you have been conditioned to concentrate
upon is that which is frivols in the scheme to make profits. What you are
supported in by your peers are the very destructive forces that keep you
from your goals. That which is good is bad and that which feels good and
supportive is actually a scheme to destroy you. Back to the data, a
weighted blend of the current trading contract and the next further out
contract is what I use to test and trade on when I can. I have a firm
conviction backed up by the support of profits generated by the models and
supported further by the lack of peer accolades. Every market has a
underlying nature that can be found once the obvious is peeled away and set
aside for latter examination. More often than not the researcher dwells
upon the obvious leaving the meat of the data dismissed as noise. In fact
that noise my very well be the key to profits that could easily by my
determination be three times the amount of the obvious tradable price
movement. We all have a path to walk, often the most direct path is not the
easiest. But from the wear the path is showing it is by far the most
popular. Paths get congested and bottle necked to the point that they
become a easy target for a good scraffing. On the other hand from the
security of the masses we have another side which could lead off cliff if
one was to deviate from the path. One method rewards the faithful followers
to a given degree that must be divided amongst the participants and the
other method rewards in great magnitude the other extreme for the few. Back
to the data, to much data can be a source of over fitting a model to a
series. The series if truly found in a data set will be prevalent in both
congestion and sparsely populated data. I often wonder why do so many
systems incorperate the same method of following data. I had a phone call
the other day in which a person made the statement that all systems were
basically the same. I give up, I'm tired of messing with spammers and
closet wannabe spammer supporters like Ron. As I set and read I wonder how
many more traders will walk this hallway between the vendors and I leading
to their demise over the cliff. The list can be broken down to vendors who
dont trade, traders who are consistently profitable and then those who are
struggling to be one or the other of the before mentioned classes. Give the
odds of one becomming successful at trading it is easy for me to see what
the future holds and the statistics are against my pouplarity but in favor
of my profitability. So given that bit of research done I'll buy my freinds
if I must thank you. Majority you can have it, I'm working on some more
imporitaint projects. I will state my opinions on my very own VaporStation
web site from now on http://www.markbrown/vs/index.htm and not on this list,
for I also agree this shit is disruptive for the poor minority that is
serious in their search. Mark Brown
Below is a post from Bob on a method to solve data problems, and I would
suggest that while I dont use this method you study it for it is interesting
and revealing in nature. Get it? Its obvious to an open minded truth seeker
that is of above academia standards weather he has the skin or not.
I just created another FFT noise filtering example. This time the signal is
composed of a mixture of three cycles. The frequency of the second is four
times the first. The frequency of the third is four times the second. Those
are not precise frequency relationships of cycles in actual market price
waveshapes, but they are similar to the true relationships of some of the
stronger naturally occurring cycles.
Market price waveshapes have a power spectrum (squared magnitude of the
Fourier transform) that is proportional to f^(-1), so I multiplied the
amplitude of lowest frequency signal cycle by 2.0 and the amplitude of
highest frequency signal cycle by 0.5 to obey that law. As you will see,
the resulting test signal waveshape looks much more like an actual market
price series with component cycles that have those frequency and amplitude
relationships.
The web page URL is the same as before:
http://www.sciapp.com/tradelab/fft.html
As you can see, the same filter recovers this more complex signal waveshape
from the signal and noise mixture with very little waveshape distortion and
no average lag.
In a previous post, I said the same threshold setting had been used in all
these examples. I noticed when I created this latest example that the
threshold setting was 1.5 when I captured the previous images, rather than
at 1.25, as it was in the beginning. I had adjusted it up and down to see
what the effect was. Apparently I neglected to set it back to 1.25 before
snapping the images.
There is little practical difference between 1.25 and 1.5 threshold
settings. Output waveshape changes are barely perceptible. However, that
wouldn't be true with a higher noise level or with an input signal that
included weaker components.
|