Ha ha. Great system anecdote :) Mike
--- In [email protected], "Jerry Gress" <pleasenospample...@...> wrote: > > Hello, > > This thread reminds me of a private tour I had many years ago on the Pacific > Stock Exchange (San Franscico), near the pit I pointed to a 'kid' on a > computer and the guide said he works for one of the big players tracking the > latest indicator so that the big player knows when the 'heard' is going to > jump in so he can jump out! > > Also, my claim to system fame is "selling" a TradeStation system, putting in > as part of the code an expiration date 1 year down the road. Of the two > customers one called back one year for an upgrade, gave him another two > years, and never heard back from both:) Moral is people will change a system > over time or just go on to the next one thus all systems fail. > > Regards, > > Jerry > > -----Original Message----- > From: [email protected] [mailto:[email protected]] On Behalf > Of brian_z111 > Sent: Tuesday, June 02, 2009 9:16 AM > To: [email protected] > Subject: [amibroker] Re: Do all trading systems stop working? - Howard > Bandy's book > > Thanks for the feedback. > > Samantha's question fired off my search algorithms for sure and they are now > zeroing in on the US institutions... I think that is where the answer lies > to the question of 'eroding the edge' e.g. if I am trading the SPY, and buy > on a system entry at 0930 US time, there is so much volume going through > that instrument, at the same time that I am buying, what difference does my > little bit make and who knows what is motivating every single dollar? > > My assumption is that the vast majority of money going through the US > markets is controlled by institutions and that in most cases they would not > be the least bit interested in my trading systems, or theories for one > simple reason, .... they are restricted officially by due diligence etc and > unofficially by their clients tolerance for risk .... I am far to extreme > for their tastes. > > No matter how well a manager invests the money they can't stop a run on > their funds when the fund, or the indexes are dipping markedly, so they are > forced to sell 'under their clients orders'.... I guess that played a big > part in last years debacle. > > The only interest in 'trading systems' would come from boutique funds (hedge > funds etc) so it depends what % of the total US market they are controlling. > Even then there is so much literature out there I doubt very much that they > would ever stumble on my posts let alone take them seriously. > > You are quite right though ... I am going to do some more homework on the US > funds ... I have been underestimating them and some of them are far more > interesting than what I thought, up until now. > > I dare say a lot of the boutique funds got their butt kicked last year too > because of the mistaken believe that they were diversified into > non-correlated markets/systems.... I will have to look into that also. > > I have to say, though, that I am more afraid of my broker getting in front > of me, which would definitely clip my take, than I am of sharing my systems > with a bunch of investors/traders/fund managers. > > brian_z > > --- In [email protected], "Ed Hoopes" <reefbreak_sd@> wrote: > > > > There are publicly traded funds organized around various trading systems. > Below are a few for comparison: > > > > NFO - Insider Info > > STH - Stealth > > XRO - Sector Rotation > > PIQ - Magni Quant > > PSP - Private Equity > > FVI - ValueLine 100 Stocks > > BWV - Covered Calls > > CSD - Spin Off Companies > > DEF - Defensive Stocks > > EZY - Low PE Ratio Stocks > > > > Now take each one of the above and do a relative performance to the > overall market - like VTI Vanguards Total Market ETF - and you can see how > well they work. > > > > NFO, PSP, EZY top the list with a modest out performance using my ranking > algorithm. The majority equal the market or underperform. > > > > For me the most disappointing is FVI only as good as the broad market - so > much for $650.00/yr fundamental/technical analysis newsletter. XRO - is the > worst. > > > > ReefBreak > > > > > > > > --- In [email protected], "brian_z111" <brian_z111@> wrote: > > > > > > Hello Samanatha, > > > > > > Thanks for your post ... a good topic and thanks also to D and PS for > additional leads and others for the discussion. > > > > > > <snip> .... all trading systems will stop working forever at some point > (because the inefficiency in the market they exploit will be killed by > everybody jumping on board).<snip> > > > > > > This point of view isn't shared by all traders. > > > There are at least two grounds for objection: > > > > > > - the massive number of possible permutations, at any point in time in > the market, make the chance that two traders are doing the same thing with > significant amounts of money are unlikely e.g. Aronson puts forward this > idea in his book, "Evidence Based Technical Analysis". > > > > > > - based on the behaviour of market participants it is also unlikely that > a significant number of traders will trade exactly the same trade even if it > is "published in the Washington Post" e.g. one of the Wizards interviewed in > one of Schwagers book's argues along those lines when he is asked if he is > reluctant to talk about his trading methods. > > > > > > Take this topic for example ... how many people read the topic ... read > it carefully ... read the links ... thought about it ... did some homework > ... go on to study the system ... put it into practice (without changing > anything) and then go onto to trade it in the same market, same instruments, > same timeframe etc with significant amounts of money. > > > > > > I consider myself to be a trend trader but my definition of a trend is > unlikely to be used by more than a handful of people ... the chance that > others are watching the same trend, in the same instrument and the same > timeframe is almost zilch. > > > > > > The caveat is if and when large institutional traders are systemic > traders and/or algorithmic traders .... perhaps large players can mop up > systems if they are interested enough to do so. > > > > > > There has been little discussion, on this board, about systematic > trading by institutional players. > > > > > > Siddhartha did say he didn't observe that the practice was widespread in > his time in the industry. On the other hand I recall reading an article that > said Goldman Sachs were into algorithmic trading in a big way. > > > > > > As an aside ... I thought that the axiom "We will miss most of the > growth if we miss the 10% biggest gain dayss in the market (ditto for a > weekly/monthly/yearly basis etc) was basic (same for missing most of the > losses if we avoid the worst ten%). > > > > > > Looking at any index chart, with hindsight, it seems obvious that there > are several points where any number of indicators could have told us to get > out and we would have been better off ... the trade off is the cost of exit > and re-entry. > > > > > > I put a lot of effort into investigating that payoff/versus cost when > deciding how often to trade (buy and hold versus, say, short term or day > trading). > > > > > > I was surprized last year when so many in this forum (of all places) > seem to be hurting. > > > > > > > > > > > > Re Momentum trading: > > > > > > There are two articles here on trend trading (scroll down to 3.1a and b. > > > > > > > > > http://zboard.wordpress.com/library/miscellaneous-articles/ > > > > > > Michael Covel appears to be the current king of trend trading (I like > his book but not his videos). > > > > > > www.TrendFollowing.com > > > > > > > > > How do we know when a system is failing? > > > > > > We can't get a math measurement to tell us when that momement has > arrived ... all models assume stationarity and as soon as it is broken we > are in unknown territory .... classically a shift in the average value or > the dispersion (of the trade series) signifies non-stationarity, although > random data series contain a good deal of variance and it is hard to > distinguish random variance from a system breakdown. However IMO most > traders are trend traders and almost anything will work while we are on the > right side of the trend .... so in the real world a system is broken when > our assumptions about the underlying trend are incorrect. > > > > > > > > > --- In [email protected], "samu_trading" <samu_trading@> wrote: > > > > > > > > All, > > > > > > > > In his really good book Quantitative Trading Systems, Howard states > that all trading systems will stop working forever at some point (because > the inefficiency in the market they exploit will be killed by everybody > jumping on board). > > > > > > > > On the other hand you have momentum / ROC based systems working > forever now, same for trend following MA crossover systems like The one > propagated by Mebane Faber. Momentum and MA rossover trendfollowing does > seem to work "forever". > > > > > > > > Any comments from the gurus here? > > > > > > > > Thanks, Samantha > > > > > > > > > > > > > > ------------------------------------ > > **** IMPORTANT PLEASE READ **** > This group is for the discussion between users only. > This is *NOT* technical support channel. > > TO GET TECHNICAL SUPPORT send an e-mail directly to > SUPPORT {at} amibroker.com > > TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at > http://www.amibroker.com/feedback/ > (submissions sent via other channels won't be considered) > > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: > http://www.amibroker.com/devlog/ > > Yahoo! Groups Links >
