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Hypothetical examples have zero influence to any argument the fact that you
ignored your system means your interjecting human reasons thus your not
trading s system. You've got programmed indicators is all instead of just
watching them yours produce signals, that is not a system.
Robert
At 07:13 AM 7/23/1999 -0500, andren wrote:
>Omega man wrote..........
>
>Both the position trading system and the day trading system must
>deal with price shocks (or use them...).
>
>Most systems use stops or some type of exit and reverse. Yesterday based on
>time and sales, sell stops would have been filled at 17.08 and 16.28 in the
>Sept Tbond futures. This isn't any big shock. Pretty damn orderly for a fast
>market if you ask me.
>BTW my system had sell signals all over the place going into the rally. I
>stood aside for a variety of reasons, none of which was my system. You have
>to have the balls and the cash to take the shocks in the bigger markets,
>bonds and S&P are two of the biggest. Trade the corn if you want no big
>shocks, but trust me plenty of people are willing to trade these volatile
>markets, exactly because of the big swings.
>
>Just my opinion on this.
>Dale
>
>----- Original Message -----
>From: The Omega Man <editorial@xxxxxxxxxxxxx>
>To: Jim Murphy <jmurphy1@xxxxxxxxxxxxx>; <Omega-list@xxxxxxxxxx>; Robert W
>Cummings <robert.cummings@xxxxxxxxxxxxxxxx>
>Sent: Friday, July 23, 1999 5:43 AM
>Subject: Re: Bear Trap
>
>
>>
>> Jim Murphy wrote:
>>
>> > Seems like a no-brainer to me to NOT take signals from a system when
>> > Greenspan is in the news.
>>
>>
>> Do you always know ahead of time when Greenspan is going to be in the
>news?
>> How do you know what other news might occur?
>>
>> If you are overriding your system signals then you are not trading a
>system.
>> You are trading a "method" which uses the system but which also uses your
>> own judgment.
>>
>> So let us all agree on terminology: System trading is *mechanical*
>reaction
>> to previously written or programmed signals. All signals must be taken to
>> apply this type of trading. Anything less than taking all signals is
>> "method" trading (which then, at some point, becomes "discretionary"
>> trading). There are very few true system traders.
>>
>> 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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