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Agreed.
Robert
At 07:41 AM 7/23/1999 -0500, andren wrote:
>Hypothetical my ass, the reason I wasn't trading was due to Tradestation
>system crashes and PC quote's lack of data. Sometimes you stand due to
>medical, financial or other reason. This does not mean you are not trading a
>system, simply because you choose to stay out of the market.
>
>Dale
>----- Original Message -----
>From: Robert W Cummings <robert.cummings@xxxxxxxxxxxxxxxx>
>To: andren <andren@xxxxxxxxxxxxxxx>
>Cc: The Omega Man <editorial@xxxxxxxxxxxxx>; Jim Murphy
><jmurphy1@xxxxxxxxxxxxx>; <Omega-list@xxxxxxxxxx>; Robert W Cummings
><robert.cummings@xxxxxxxxxxxxxxxx>
>Sent: Friday, July 23, 1999 7:32 AM
>Subject: Re: Bear Trap
>
>
>> 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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