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I had to change a spell checker error and to repeat what Chuck Le beau said
once about a system. He said a pure system is not made from an indicator
another thing I believe most semi system traders use. My purpose here is to
attack systems very few people use them and very few people know what they
are. Unless you have a real understand about how markets trade and then
have the program skills to write a system not solely based on a indicators
you should abandon system trading development. Its my experience systems do
not make money.
Robert
At 06:30 AM 7/23/1999 -0500, Robert W Cummings wrote:
>
>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 weather 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.
>>>
>>
>>
>
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