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Maybe your prof is doing scale trading,and also with stocks only,not really
practical for futures,as in stocks we can afford to be stuck even for years and
with the historic bias of the equities market,you can say the professor has the
odds stack in his favor*,the right instrument ,the right time and the right
market,how about if we have a prolonged bear equity market as the other side of
the coin? Can his system's results be as good? So far he may just have been
rewarded by a good market and not by his "system",with the US equities market as
a "well chosen sample"
*reminds us of the casino/house's point of view
TWA7663@xxxxxxx wrote:
> Chuck,
>
> About four years ago, I spent a couple of hours on the phone with a retired
> statistics professor that had also spent a lot of time working with some
> missile company. Please excuse that I can't remember his name or all the
> facts about the professor; however, I "do" remember he .....
>
> 1. Traded a significant stock portfolio.
> 2. Traded only long positions
> 3. Used a sophisticated modified martingale. It was a unique algorithm that
> often purchased more shares when the price went against him. It was always
> in the market unless certain predetermined circumstances occurred (rarely out
> of the market because of the stocks chosen to trade). I could explain it in
> detail but it would take a very lengthy discussion. We had fun talking
> because I had been kicked out of the Tahoe casinos when I was using my own
> modified martingale. They thought I was counting cards.
> 4. Claimed to have had huge annual returns for several years. If I remember
> correctly, over 50% annual on some stocks that had gone sideways or even
> lower for a year.
> 5. Chose stocks that had high short term volatility relative to their very
> low longer-term volatility.
> 6. Said the concept would work with any market and that he had a friend that
> was making multiples of his returns with OEX options. He chose low
> volatility stocks because his risk was extremely low.
>
> I told him about the negative remarks about martingale systems that I had
> heard from other system gurus. He said that most just did not know how to
> minimize the risk incurred from martingale systems and did not know how to
> enhance the positive features. His algorithm went to great lengths to do
> this.
>
> I became quite excited with our discussions and spent a lot of time with
> Excel to test his concepts as well as other martingales.
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