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...I did not take your kind comments as critical. If I appeared to do so it is because of my pedantic writing style. I very much value your comments because they are coming from a perspective so different from my own. FWIW, apparently also I miscommunicated about my trading style. Once I have...

...now I understand. Your dry sense of humor is even more arid than mine! What I found utterly astonishing (being a country boy) was that some of the banks which were bankrolling them were also writing the illiquid swaps they went so deeply into. Also their naivete in swimming out to play with...

...please accept my most profound apologies on the offensiveness of my post. It is very tedious dictating to the monkey who actually does the typing by ticking my left eyebrow. Sometimes he gets impatient and completes my thoughts for me, or makes unauthorized editorial changes. I am unable to...

...sorry, English is not my native language. I did not mean it as a criticism, I meant that in my experience the drawdown relative to the expection is not risky. It's a fabulous result. After being corrected by my betters on another thread, I now agree that a truly great system does not benefit...

...they are somebody and I am nobody, so perhaps arrogance was the wrong word to use. Let me substitute hubris. I think the record, to the extent that what Lowenstein wrote is true, justifies it. Did you read the book? I notice you didn't question the use of the word stupid. Best regards.

...that is close, very good, but IMO FWIW use of the term stochastic is questionable. My math and science eduation is 35 years behind, but IMO there is no true randomness except at the quantum level. Even chaotic systems, which are widely misperceived to be stochastic, are totally deterministic...

...if I remember the epilogue correctly, the positions taken over by the bailout consortium broke even two years later relative to their value at the time of the bailout. However, the massive losses before that were not recouped. But I recommend that you get the book and read it for yourself...

...geat reading, huh? I couldn't put it down. What a genre - the financial mystery! Now if only they'd been screwing the secretaries, we could have had a financial mystery romance! You read Taleb's Fooled by Randomness? Know anything else good in that cautionary genre? Thanks. - Mike

...with the deepest respect for your trading knowledge and wisdom, I must point out that I sincerely believe in the integrity of nine of the ten candidates I put in the poll. I have met four of them and corresponded with another. For the other four, their books and other activities speak for...

...not to put too fine a point on it, but have you read "When Genius Failed" re LTCM? Their problem was not that they were quants, but that they were STUPID ARROGANT quants. They made overleveraged highly correlated statistically overoptimistic trades in illiquid market instruments.

...excuse me, but I don't believe I know you. Are you associated with E-Signal? Thanks. - Mike

...thank you kindly for the advice. I have certainly had experiences which support your contention about 60 days being a joke, but I also have experiences which contradict it. Do you believe that 60 days is inadequate to develop a one minute intraday system? What about the oft-repeated saw that...

...realize that the market exhibits subtle structural regularities which can be discovered by statistical analysis and used as a razor thin edge to make money. Also that the vast majority of assertions about TA are ad hoc and unvalidated by backtesting.

...E-Signal at present only provides 60 trading days of one minute data. I find that this is more than enough to do intraday system development, especialy as I don't want so much data that I am optimizing the system for outdated volatility. However, in an exchange with another intradaytrader...

...I don't understand why you are wary of that drawdown. My best NQ system makes about 30 NQ points a month intraday with a worst case (not average) 20 point drawdown, and I am thrilled with it. Your ES system is MUCH better. Of course this probably is doable only with a small number of...

...thanks. Learn something new every day. I'm in LA myself. - Mike

...another stupid question. If limit order fills are so elusive, why aren't you using market orders? My backtesting of a successful market order strategy suggests that the benefits of the identical limit order strategy go away if you have to chase entries and exits. BTW, since you are a po' boy...

...it would be truly extraordinary if you had indeed talked to William of Occam, since he lived in the twelfth century. Could you arrange a seance for me? Or are you corresponding with us from there? Or be it could one some jiving us talk self to? Harryman? Mantrader? Only explanation...

...help me get the picture. You watch SPX (because it's clean?), but trade SPY? If so, why not just trade ES?

...I haven't tried to analyze it, but I strongly suspect that this effect is what makes morning breakout systems work. Just take the money. Even on days when you think you were wrong, it often turns out that you weren't. For that reason I give it a lot of room to breathe. - Mike