|
PureBytes Links
Trading Reference Links
|
I didn't mean to infer position traders wouldn't be effected by price
shocks. Only that because of a longer view which could mean having bigger
larger risk and larger rewards might be able to whether a price shock
better. We agree on one point there are very few pure system traders on
this list even from traders who believe they are in that category.
Robert
>The problem that Robert raises (the problem of price shocks) is a very real
>one for the system trader. What surprises me is that he says that this
>problem affects only day traders. I do not understand why he says this. I
>can think of all sorts of recent price shocks which affected position
>traders. Both the position trading system and the day trading system must
>deal with price shocks (or use them...).
>
>So a question is: How should we deal with (or use) price shocks in our
>systems? TJ recently suggested (on this list) an approach which involves
>using "filtered" price data as feedback (or input) to the system algorithm.
>His idea, if I may paraphrase, was that price shocks are abberations which
>the system needs to notice but not overreact to. So he "tones down" or
>mutes the system reaction when a shock occurs. I find his idea interesting
>but not practical (for money-management reasons).
>
>
>The point here is that we have 2 choices, and that these two choices apply
>to both position and day traders:
>
>(1) Deal with price shocks in our systems or
>(2) Adopt method or discretionary trading
>
>
>The Omega Man
>
>
>
>----- Original Message -----
>From: Jim Murphy <jmurphy1@xxxxxxxxxxxxx>
>To: <Omega-list@xxxxxxxxxx>; Robert W Cummings
><robert.cummings@xxxxxxxxxxxxxxxx>
>Sent: Friday, July 23, 1999 12:41 AM
>Subject: Re: Bear Trap
>
>
>> >One of the reasons I don't like systems was the trade today in the bonds.
>> >Had a channel going then broke out to the upside that would trigger most
>> >systems to buy. Followed a horrific break that lasted 12 minutes for
>over
>> >a point and a half before a small bounce up. I guess the people who use
>> >systems would say the trick would be to reverse but today was an
>exception.
>> >Most times if you try and reverse this market you can get hit both ways.
>> >Sorry if anybody got hurt today in the bonds but reaffirms to me systems
>> >don't work for daytrading.
>>
>> Seems like a no-brainer to me to NOT take signals from a system when
>> Greenspan is in the news.
>>
>
>
|