|
PureBytes Links
Trading Reference Links
|
<x-html><!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.0 Transitional//EN">
<HTML><HEAD>
<META content="text/html; charset=iso-8859-1" http-equiv=Content-Type>
<META content="MSHTML 5.00.2614.3401" name=GENERATOR>
<STYLE></STYLE>
</HEAD>
<BODY bgColor=#ffffff>
<DIV><FONT size=2>I'd like to take the other side of this debate, for devil's
advocate purposes - Clyde has not said anything so far in defense of his 15 min
swings posted this AM. </FONT></DIV>
<DIV><FONT size=2></FONT> </DIV>
<DIV><FONT size=2>I mean no disrespect to Ben and Earl, and I say that
specifically such that we focus on the merits and demerits of statements and
numbers being tossed around and not of the people stating them:</FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2>Lets start with this issue of system rigor (being good through
bear and bull markets).</FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2>Intuitively, it provoked this reaction: How can one use the
same system for opposite polar phenomena? Isn't it kind of like saying that
cotton T-Shirts are the only top one should wear in summer and winter regardless
of where one lives, because cotton is the only "safe" fabric for human
skin.</FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2>Let us say we backtest and foretest and undertest and overtest
and find something that can capture every wiggle, penny, and deutsche mark from
anticipated price action. Aren't a few non-systemic issues to be handled
first?</FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2>For example, the issues of </FONT></DIV>
<DIV><FONT size=2>a. Timeframe of trade v/s efficacy of system</FONT></DIV>
<DIV><FONT size=2>b. Account capitalization and appetite for risk while in
duration of trade</FONT></DIV>
<DIV><FONT size=2>c. Opportunity cost of capital blocked in any specific
trade.</FONT></DIV>
<DIV><FONT size=2>d. Staying power (psychological fortitude to take system
triggers and follow-through on the trade day after tiring day)</FONT></DIV>
<DIV><FONT size=2>e. Plain old fashioned discipline, and the willingness to
stick it out through times that disturb the system's rhythms and therefore our
trading rhythm.</FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2>I wonder how many of these can be simultaneously gamed into a
system. Any system. How can a computer program unknown human behaviors? (Yes, I
did some course work on this in my MBA Human Psychology 201 term
paper).</FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2>Assuming they can, how long is it before some
external dynamic changes the elegance of a 2, 3 or even 4
factor model?</FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2>Clyde's SM (never used it myself) seems to pick probable
outcomes based on historical behavior. Where probability cannot be assigned, he
says so.</FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2>We all know that just because something has a probability
number, the market does not need to oblige.</FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2>So what are Ben and Earl talking about when they refer to
testing it in some bear market time periods? They have been here long enough to
know that Clyde has tested this swing thing back to 1914.</FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2>Ben says: </FONT><FONT size=2>start 01/11/1973
- 2/13/1980 (Dow only got back to
even!!!! after 7 years)<BR></FONT></DIV>
<DIV><FONT size=2>So I did a simple MA crossover system for that period.
One sells or buys on price closing below/above the MA, uses the prior swing
high/low as a trailing stop. Decent, during that period. Indecent, during the
only non-trend period. Monthly, Weekly, Daily.</FONT></DIV>
<DIV><FONT size=2></FONT> </DIV>
<DIV><FONT size=2>Learning: MA crossovers do not work in non-trending markets.
Change tactics.</FONT><FONT size=2> One size, we learn, does not fit
all.</FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2>Maybe the humint element will tell us that price behavior has
changed from trending to non-trending before the system shock significantly
damages our account and psychology.</FONT></DIV>
<DIV><FONT size=2></FONT> </DIV>
<DIV><FONT size=2>Ditto when I look at 1963, as Earl suggests. Same system, same
result.</FONT></DIV>
<DIV><FONT size=2></FONT> </DIV>
<DIV><FONT size=2>And I'm not even swing trading.</FONT></DIV>
<DIV><FONT size=2></FONT> </DIV>
<DIV><FONT size=2>Then I think to myself, heck, we trade bear markets in
commodities all the time. I know for a fact that Earl and Ben are accomplished
cross-market traders. Therefore, what is the big deal here anyway ?</FONT></DIV>
<DIV><FONT size=2></FONT> </DIV>
<DIV><FONT size=2>I am forwarding charts to illustrate my statements, since
pictures speak louder than words. </FONT></DIV>
<DIV><FONT size=2></FONT> </DIV>
<DIV><FONT size=2>Once again, I am stirring up discussion to issues we seem to
be taking for granted (e.g. 1 or 2 systems should work in all market
patterns; or a deeper issue of a trader's (the subjective humint factor)
causes the trader more harm than good - hence the need for a system to start
with).</FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2>A bear market is a bear market. Wealth destruction is never
any good. But we are talking trading here. Does it really make a difference
where price goes, as long as we can capture the fallout of that price move
?</FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2>Comments welcome. Charts follow this email, separately due to
bandwidth restrictions.</FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2>Regards</FONT></DIV>
<DIV><FONT size=2>Gitanshu</FONT></DIV>
<DIV><FONT size=2></FONT> </DIV>
<DIV><FONT size=2> </DIV></FONT></BODY></HTML>
</x-html>From ???@??? Thu Sep 30 21:32:23 1999
Return-Path: <owner-realtraders@xxxxxxxxxxxx>
Received: from ml.nw.verio.net (ml.nw.verio.net [204.202.220.47])
by purebytes.com (8.8.7/8.8.7) with ESMTP id VAA27376
for <neal@xxxxxxxxxxxxx>; Thu, 30 Sep 1999 21:33:06 -0700
Received: (from majordom@xxxxxxxxx)
by ml.nw.verio.net (970819888) id TAA21508
for realtraders-sendemout; Thu, 30 Sep 1999 19:19:35 -0700 (PDT)
Received: from mail1.nwnet.net (mail1.nwnet.net [192.220.251.8])
by ml.nw.verio.net (970819888) with ESMTP id TAA21493
for <realtraders@xxxxxxxxxxxxxxx>; Thu, 30 Sep 1999 19:19:28 -0700 (PDT)
Received: from secure.smtp.email.msn.com (cpimssmtpu07.email.msn.com [207.46.181.28])
by mail1.nwnet.net (970819888) with ESMTP id TAA19752
for <realtraders@xxxxxxxxxxxx>; Thu, 30 Sep 1999 19:19:27 -0700 (PDT)
Received: from Eagle - 63.23.117.187 by email.msn.com with Microsoft SMTPSVC;
Thu, 30 Sep 1999 19:19:17 -0700
Message-ID: <00bc01bf0bb4$54c245a0$bb75173f@xxxxxxxxx>
From: "Gitanshu Buch" <OnWingsOfEagles@xxxxxxxxxxxxx>
To: "Real traders" <realtraders@xxxxxxxxxxxx>
Subject: OEX discussion chart 1
Date: Thu, 30 Sep 1999 22:26:02 -0400
MIME-Version: 1.0
Content-Type: multipart/mixed;
boundary="----=_NextPart_000_00B3_01BF0B92.C7147280"
X-Priority: 3
X-MSMail-Priority: Normal
X-Mailer: Microsoft Outlook Express 5.00.2314.1300
X-MimeOLE: Produced By Microsoft MimeOLE V5.00.2314.1300
Sender: owner-realtraders@xxxxxxxxxxxx
Precedence: bulk
Status:
<x-html><!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.0 Transitional//EN">
<HTML><HEAD>
<META content="text/html; charset=iso-8859-1" http-equiv=Content-Type>
<META content="MSHTML 5.00.2614.3401" name=GENERATOR>
<STYLE></STYLE>
</HEAD>
<BODY bgColor=#ffffff>
<DIV> </DIV></BODY></HTML>
</x-html>
Attachment Converted: "c:\eudora\attach\Ben1.gif"
|