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My 2 cents:
Liquid markets:
- side: more noise, false starts etc, that is more whipsaw.
+ side: easy execution, almost guaranteed to be filled unless you buy
"with a gun"...
Illiquid markets:
- side: You cannot just go in and buy, or you get big slippage. If you
buy limit, which is your only choice, you risk missing the whole trade.
That's the risk.
+ side: If you get your execution right, you have an edge as you tread
in waters nobody dares venturing in.
An edge is what you want.
Yours,
Gwenn
Tony Parker a écrit:
> Here's a little brain twister for the technically minded....
>
> I've basically given up on the "Holy Grail" idea of a universal
> method and/or system that trades all markets, all the time,
> etc..., etc.., etc....
>
> "Picking the Highs and Picking the Lows Every Time! 1000% ROI
> Guaranteed!!!!"
>
> The best I can hope for is to trade a market with my
> method/system when they're both in sync, and "hot", and stop
> trading as soon as the system starts to "cool down". Why waste
> good money on a "draw-down" that goes no-where for weeks or even
> months?
>
> What I have settled for is a kind of kludgey "curve fitting"
> process which is to only trade a market when both the market the
> system are in sync and trading is "hot".
>
> I've been doing some comparative analysis on which markets trade
> best with my system and when.
>
> Sorry gang! After six months of this kind of research I have come
> to the conclusion that there is no predictable pattern or
> seasonality upon which you can sanely risk your money. The market
> is to all intents and purposes a Random Event, and until we
> eventually acquire say 10,000 years of Trading Data, no-one will
> be able to reliably perceive or define any recognizable
> repetitive patterns. It's still a 50/50 coin-toss.
>
> I have actually found that the TS4 System Equity Indicators are
> reasonably accurate enough to basically assess how my system is
> doing with a particular market to give me enough of an idea
> whether the market is running totally against my system or
> running totally with it.
>
> It's not perfect, and I admit its still a Kludge, but Paper
> Trading and Forward Testing, are definitely the only reliable
> methods I've come across to test a market to pick the right time
> to take a "real position" in a market with real $$$$.
>
> I still suspect that the "secret of my success" has more to do
> with proper risk management than anything else.
>
> Past activity is still no real indicator or predictor of future
> performance, and I accept that trading commodities is riskier
> than Black-Jack, or Bungee Jumping....but....
>
> Here's something I've noticed that I want to put out there for
> discussion. My system seems to trade Slow and Not-So-liquid
> markets more profitably than "Liquid" markets. I doubt there is a
> any real way to determine why that is so, it just seems to be
> working out that way.
>
> So Here's my question:
>
> What is the down-side of trading slow or not-so-liquid markets,
> now I don't mean I want to trade totally dead markets but say,
> for instance:
>
> Trading October Cotton which seems a little slower and less
> liquid than December Cotton.
>
> For some reason I'm getting better profit/loss & risk of ruin
> ratios with October than I am with December. I have also noticed
> this in other markets that I've analyzed.
>
> I had a kind of totally unsubstantiated "hunch" that a slow or
> not-so-liquid market would be more conducive to "Bad-Fills", but
> my personal experience suggests that Bad-Fills have more to do
> with Lazy, Incompetent, Corrupt, Greedy Floor-Brokers, than
> anything else.
>
> I'd like to hear your comments.
>
> Tony
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