Acrary is a genius!

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Quote from Indrionas:

Hi Alan,

Almost 8 years passed since you started posting on this site. Has anything changed dramatically during those years? Do you still use the same old edge test or have you moved to something more advanced like self-adaptive artificial immune systems or something like that? Is it still as easy to find edges for daily systems as it was back in 2003?

I'm specifically asking about the edge test because you said something that still puzzles me to this day:

"In short what I found was a handful of simple strategies in a couple of markets were just as effective as all the years of work I did on finding market inefficiencies, measuring them, and exploiting them with tight edges."
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In the past 8 years I haven't seen much change in the markets.

However, my perspective has changed dramatically. I used to specialize in a few markets and believed I needed edges to exploit the opportunities.

Since I realized I didn't need edges, I've concentrated on developing systems to trade in every market. I've had to figure out if there was a optimal pf and if so, what it was. Then I worked on software to analyze maket data to find all the simple profitable trading strategies that could be employed for given timeframes. After that I had to figure out how many models in what timeframes and what markets were required to achieve optimal diversification (this took many months of work). Then I had to redo my money management to reflect many models in many markets and come up with a allocation strategy. In short, I've been busy completely redoing all my work to reflect my new beliefs.

I farmed all my trading to a third party so that I no longer hang out in front of trading screens. My plan is to build packages of models and have each package stand on it's own. I also found I could tree the packages of models so that returns could be improved further while reducing risk.

I've also been writing a book and creating the companion software for it since the book couldn't stand on it's own. I don't know if I'll ever publish the book, but I wanted to have it as a option once I decide to stop trading.

I haven't decided if I want to commercially exploit this new approach, but I want to keep it open as a option for now.

I believe edges are as available as in the past, however I don't have a unlimited lifespan and edge development takes time.
The only edge I've seen collapse was based on money flows. I'm guessing it failed due to the rise of hedge funds and the decline of mutual funds in day-to-day trading.

That's about it for now. I'm done working for the day. Good luck with your trading.
 
Thank you very much Alan. That cleared a lot of things up. A very interesting post.
One thing I couldn't understand though: what do you mean by "optimal pf"? Is it optimal profit factor?

Does all of this also mean that models based on market character is enough to make consistent profits provided you have a way to dynamically allocate funds among systems, timeframes and markets? I guess then it's all about diversification/money management and not the systems themselves?
 
Also, if I'm not asking too much:
are searching for trading strategies and finding optimal diversification mutually exclusive processes?
 
Acrary or anyone that knows what he meant,

Sorry to dig up an old post, but I was hoping you'd take a moment to extrapolate the idea of not needing edges to trade. Perhaps it's my misunderstanding of the term "edge" that leads me to be confused, but while I understand how such an advantage can help someone trade, I'd like a bit more info on the concept of trading successfully without one. I'm not questioning this, but honestly am simply interested in the concept of edgeless trading success.

Thanks,


Quote from acrary:

In the past 8 years I haven't seen much change in the markets.

However, my perspective has changed dramatically. I used to specialize in a few markets and believed I needed edges to exploit the opportunities.

Since I realized I didn't need edges, I've concentrated on developing systems to trade in every market. I've had to figure out if there was a optimal pf and if so, what it was. Then I worked on software to analyze maket data to find all the simple profitable trading strategies that could be employed for given timeframes. After that I had to figure out how many models in what timeframes and what markets were required to achieve optimal diversification (this took many months of work). Then I had to redo my money management to reflect many models in many markets and come up with a allocation strategy. In short, I've been busy completely redoing all my work to reflect my new beliefs.

I farmed all my trading to a third party so that I no longer hang out in front of trading screens. My plan is to build packages of models and have each package stand on it's own. I also found I could tree the packages of models so that returns could be improved further while reducing risk.

I've also been writing a book and creating the companion software for it since the book couldn't stand on it's own. I don't know if I'll ever publish the book, but I wanted to have it as a option once I decide to stop trading.

I haven't decided if I want to commercially exploit this new approach, but I want to keep it open as a option for now.

I believe edges are as available as in the past, however I don't have a unlimited lifespan and edge development takes time.
The only edge I've seen collapse was based on money flows. I'm guessing it failed due to the rise of hedge funds and the decline of mutual funds in day-to-day trading.

That's about it for now. I'm done working for the day. Good luck with your trading.
More...
 
Quote from New2thegame:

Acrary or anyone that knows what he meant,

Sorry to dig up an old post, but I was hoping you'd take a moment to extrapolate the idea of not needing edges to trade. Perhaps it's my misunderstanding of the term "edge" that leads me to be confused, but while I understand how such an advantage can help someone trade, I'd like a bit more info on the concept of trading successfully without one. I'm not questioning this, but honestly am simply interested in the concept of edgeless trading success.

Thanks,
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Acrary won't show you anything useful

don't you know, this game is for the smart and 99% aren't

give up ET and work on it yourself.
 
Quote from New2thegame:

Acrary or anyone that knows what he meant,

Sorry to dig up an old post, but I was hoping you'd take a moment to extrapolate the idea of not needing edges to trade. Perhaps it's my misunderstanding of the term "edge" that leads me to be confused, but while I understand how such an advantage can help someone trade, I'd like a bit more info on the concept of trading successfully without one. I'm not questioning this, but honestly am simply interested in the concept of edgeless trading success.

Thanks,
More...

Don't know but a single system to trade all markets is an illusion or something one tries to do because they can't deal with the differences and individual personality of each market.

Personally I have unique models for each market and even in most cases for long and short signals.

The advice to figure it out for yourself is the best.... especially in view of what passed for intellectual dialogue in a place like ET.
 
I appreciate the responses (one obviously more useful than the other), but I really just want to know what he means by suggesting edges aren't necessary? I've read some pretty interesting and insightful posts from him, but am not sure what he's gunning at with this particular comment.

Thanks,
 
Quote from New2thegame:

I appreciate the responses (one obviously more useful than the other), but I really just want to know what he means by suggesting edges aren't necessary? I've read some pretty interesting and insightful posts from him, but am not sure what he's gunning at with this particular comment.

Thanks,
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What he meant was that HIS edges are not necessary .It has to do with simplifying things .His edges are really complicated .
 
Quote from Hombre:

What he meant was that HIS edges are not necessary .It has to do with simplifying things .His edges are really complicated .
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It's not that his edges were complicated but that his edges were targetting pockets of predictability in the market which means they were active infrequently. The opposite of the approach was to trade frequently by managing size and risk which he later acknowledged to be a better approach. In my opinion, the latter depends a lot on experience and needs a relatively big bank-roll, most traders are better off with the first approach.
 
Not sure if this is the best place to ask, but I wanted to know what others use to analyse multiple systems. Much of Acrary's work is based around applying multiple systems that work well together (ie uncorrelated systems).

Backtesting results of many systems over a few years can produce huge amounts of data. This data needs to be normalised and then correlated before decisions can be made about which multiple system strategy works best.

Acrary wrote his own code to gather and produce these results. What do others use?

As an example, take Amibrokers' backtester. It produces a line item for each trade, rather than perday or perweek results which could be correlated directly to another backtest result.

What do people who use multple strategies based on non-correlated systems use to perform this type of testing?

Adrian
 
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