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Bill wrote:
> "System trading is ultimately discretionary. The trader decides
> position size, which markets to play," etc.
> "These decisions are quite important - often more important than trade
> timing."
Bill! This is what Robert and I are saying!
"System trading" is *impossible* because:
(1) No one is a robot (People - ALL people - are inconsistent in the
implementation of signals.)
(2) Traders often do not program their systems to deal with every
conceivable scenario and they know that their systems are not designed to be
traded under every possible condition.
(3) The data on which systems are based (historical data) does not behave
in the same manner as real-time data feeds (not to mention that each data
feed is different).
(4) Traders often do not completely program their position sizing and money
management into their "system".
(5) There are price shocks which will cause system results, when applied
over significant periods of time, to be different than historical backtest
results.
System trading is a myth!
The whole game is position sizing/money management! The entries and exits
are going to be completely discretionary no matter what "system" you *think*
you are trading. In reality, no "system" can really be traded due to the
factors listed above!
You want an argument, a real argument, that puts Omega Research out of
business? There it is.
----- Original Message -----
From: <TradeWynne@xxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Sunday, July 25, 1999 9:17 PM
Subject: Re: Price shocks and money management
> I promise this is my last word on this round:
>
> I was driving to the local market, past the house of our local Market
Wizard
> and I heard his voice in my head: "System trading is ultimately
> discretionary. The trader decides position size, which markets to play,"
etc.
> "These decisions are quite important - often more important than trade
> timing." This guy was using computerized trading models before many people
on
> this list were born.
>
> If you lighten up your breakout system's long position in Soybeans at
$10.50
> a bushel are you a systems trader or a discretionary trader? If you jump
out
> of your bond shorts when they start to rally against your system and bombs
> are falling in Baghdad are you a system trader or a discretionary trader?
>
> Who cares!
>
> Having a "market wizards system" will not make you as good a trader as a
> "market wizard." There is more to it than that. If you are trading a
system
> that is not right for you, then you will likely lose. Whether you are
flying
> by the seat of your pants, or trading every signal on a "system" that was
> tested on 100 years of data YOU are part of the system.
>
>
> Bill Wynne
> SmartTrades.com
>
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