Bullshit!! Get back on the horse and fail your way to success. Youre half way there. I've been studying for the CCNA and most of those guys will tell ya that chances are high that you'll fail the first time. The questions and format are still fresh in your mind... I say keep hammering away
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BWolinsky Trading
- Thread starter bwolinsky
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Quote from Topper:
Bullshit!! Get back on the horse and fail your way to success. Youre half way there. I've been studying for the CCNA and most of those guys will tell ya that chances are high that you'll fail the first time. The questions and format are still fresh in your mind... I say keep hammering away
That's the thing, Topper, I wouldn't change anything about the way I studied. I felt confident after I left the exam, and ended up doing terrible, so I'm not sure anymore studying would make that big of a difference the second time around.
% Change Average Standard Deviation Kurtosis Skew
16.13
15.77 2.05 5.156953107 1.55 0.673973234
15.3
15.3
11.89
11.33
7.9
6.96
6.53
6.2
5.35
5.21
5.18
5.14
5.04
4.75
4.4
3.86
3.83
3.6
3.39
3.36
2.91
2.69
2.64
2.49
2.37
2.34
2.33
2.23
2.13
1.94
1.9
1.8
1.76
1.69
1.67
1.52
1.39
1.25
1.18
1.15
1.13
1.07
0.9
0.81
0.7
0.66
0.27
0.13
-0.08
-0.11
-0.25
-0.36
-0.65
-0.78
-1.19
-1.28
-1.45
-1.47
-1.75
-1.82
-2.24
-3.5
-5.91
-5.98
-6.25
-6.64
-6.94
-8.09
-9.53
It would appear the distribution of my trades from an average of 2.05 and a standard deviation of 5 about means within 2 standard deviations we'd be between 12 and -8. That seems consisten with the distribution. The kurtosis appears to be highly peaked, and positively skewed.
16.13
15.77 2.05 5.156953107 1.55 0.673973234
15.3
15.3
11.89
11.33
7.9
6.96
6.53
6.2
5.35
5.21
5.18
5.14
5.04
4.75
4.4
3.86
3.83
3.6
3.39
3.36
2.91
2.69
2.64
2.49
2.37
2.34
2.33
2.23
2.13
1.94
1.9
1.8
1.76
1.69
1.67
1.52
1.39
1.25
1.18
1.15
1.13
1.07
0.9
0.81
0.7
0.66
0.27
0.13
-0.08
-0.11
-0.25
-0.36
-0.65
-0.78
-1.19
-1.28
-1.45
-1.47
-1.75
-1.82
-2.24
-3.5
-5.91
-5.98
-6.25
-6.64
-6.94
-8.09
-9.53
It would appear the distribution of my trades from an average of 2.05 and a standard deviation of 5 about means within 2 standard deviations we'd be between 12 and -8. That seems consisten with the distribution. The kurtosis appears to be highly peaked, and positively skewed.
I was a bit surprised by the comeback toward the end of the day of the rally. We extended the overbought level despite the drop in the index.
As Topper hoped for, I think we'll see one more pullback on the S&P to a little below 1000, but not that much less. I'd be a seller at 2% higher than these levels on the NDX.
QLD Projection: 44.0829311412769 QLD Close: 46.2700004577637
QLD Projection: 44.6516374067827 QLD Close: 46.2700004577637
QLD Projection: 44.4405339195615 QLD Close: 46.2700004577637
Looks like QLD has to drop below 44 to be at an oversold level. QID is only projected to be around 26 while at 25.60.
Not much news save for GDP final revisions for Q2 from bloomberg.com. Will be watching for revisions up.
As Topper hoped for, I think we'll see one more pullback on the S&P to a little below 1000, but not that much less. I'd be a seller at 2% higher than these levels on the NDX.
QLD Projection: 44.0829311412769 QLD Close: 46.2700004577637
QLD Projection: 44.6516374067827 QLD Close: 46.2700004577637
QLD Projection: 44.4405339195615 QLD Close: 46.2700004577637
Looks like QLD has to drop below 44 to be at an oversold level. QID is only projected to be around 26 while at 25.60.
Not much news save for GDP final revisions for Q2 from bloomberg.com. Will be watching for revisions up.
15 day volatility has been widening since August 20th. We are sitting near overbought levels. Just noted a fast money talking head discussing that we are near overbought levels, but he's looking at monthly charts, which has no bearing on a 15 day system.
I think the market might rally tomorrow off of GDP, and we seem to be taking a rest pending confirmation of that information. I would be a seller a few percent from here.
QLD Projection: 42.6844527276008 QLD Close: 46.4599990844727
QLD Projection: 46.0000009710139 QLD Close: 46.4599990844727
QLD Projection: 45.5192201160249 QLD Close: 46.4599990844727
It would appear we are definitely overbought by these measures, but the prediction of fair value used here has a way of lagging the moves of each day.
I think the market might rally tomorrow off of GDP, and we seem to be taking a rest pending confirmation of that information. I would be a seller a few percent from here.
QLD Projection: 42.6844527276008 QLD Close: 46.4599990844727
QLD Projection: 46.0000009710139 QLD Close: 46.4599990844727
QLD Projection: 45.5192201160249 QLD Close: 46.4599990844727
It would appear we are definitely overbought by these measures, but the prediction of fair value used here has a way of lagging the moves of each day.
Would have been a great short on the open, but I think we'll head back to there before we go lower.
QLD Projection: 44.0946116353129 QLD Close: 46.7599983215332
QLD Projection: 46.9290917830034 QLD Close: 46.7599983215332
QLD Projection: 46.2475248427618 QLD Close: 46.7599983215332
Looks like the first projection is still a bit on the downside.
I spoke with Fidelity for about 2 hours today. They attempted to re-install my WL5 software, but that did not help. In the end I was asked to leave my phone number to be notified when the SPX datafeed would be fixed.
For Cash Cow, I guarantee if the datafeed was working I would have these results:
Up 5% in July, and Up 13% in August. It's not incompetence, but a failure by the broker.
I was told the reason it can't be used in TS is because TS subscribes to a sub-par data vendor that does not have the capability of real time data for SPX. IE: In TS, SPX can only run on static data, and this is, at least in the case of Cash Cow, a severe limitation. I don't even know why people try to trade Jack Hershey's system in ES, because it's not profitable. Anyway, for Fidelity I'd have perfect results to show, but Fidelity hasn't figured out the problem and seemed to indicate to me that the problem was fixed up until the point I demonstrated to them that it wasn't.
ProfLogic is communicating with me about his Ergodic Oscillator system, and I should have examinable code shortly to act as another 3rd party verifier for our gurus here at elitetrader.
I don't believe Jack Hershey ever had a working system. Maybe he thought he did, but he hasn't said anything about running it on SPX. I can vouch the Cash Cow system published by ScottD is enormously profitable converting from TS code into WL5 code.
My investors in Pairs Trading QID QLD Scalper are very happy with this month's performance, despite some less than stellar months previously. I'm going to catch up with the S&P when it dips a bit or when it rises from here. Personally I believe I'll be shorting with QID in a few days, but I was expecting that this whole uneventful week.
The next trade after that I believe would be in QLD. So, there's plenty of room to catch up with the S&P 500 in the remaining months of 2009.
This is probably a good time to speak to some of the less experienced that might read this.
It takes at least 2 years to learn to trade, and there's two ways you can spend time learning how. You can spend your time backtesting and automating and maybe during that time you'll be lucky enough to come across shell programs you can use as a basis for your next trading system. Or, the other way is to emmerse yourself in the culture by studying finance, economics, and other hard academic literature to the point that you start to learn how to value companies based on financial statements.
I can do both, but, for the risk, I've chosen automated trading strategies. For my lifestyle, by far EOD systems that let you place trades after the market closes are the easiest to trade, maybe not the most profitable or highest risk adjusted system, but for the mentally prepared a pleasure to trade over long periods of time.
You can see PTQQS is an EOD system, and the Cash Cow system I have enormous confidence in once Fidelity fixes the problem. Truthfully when Cash Cow was running I would go days without looking at it while it ran. Usually I'd start it in the morning on Monday, check each night that it was still connected, and shut it off when I got home from work on Friday. Just as easy to trade as an EOD system once you have it running, but intraday systems require a kind of unique skill set that I've found very few people have, especially on ET. You don't find that many people discussing styles, especially a combined EOD and intraday system trader.
For fundamental strategies, I had developed an Analyst based system in WL that was good for a time, buying AAPL at $23 in March and continues to hold till this day, but, that once had a bit of a drawdown problem. Essentially it rose almost 500% from March 03 to July 07 and drewdown about 60%, which was only 5% more than the S&P 500, but still intolerable nontheless. Before that I had been trading PTQQS religiously and had great success with it in 2007 through about the middle of 2008.
If anyone gives advice to you, I think it's best to understand why they're giving it to you. One of the biggest problems I have with giving advice not only on this site but in my professional life is that I think so much of the advice is given for the wrong reasons. As a fiduciary, that's a big problem because people don't commonly understand the nature of the difference between broker and investment advisor, but on elitetrader I would question the motives of some pretending to give advice.
I've seen a wide range of posters in my time on ET. Some that are permabulls and permabears, when the informed is that you can't always be one forever. The others I've found without seeing track records it's difficult to guage the quality of the advice. I've also found older threads that were obviously pump and dump schemes, and I truly believe the Timothy Sykes definitely runs a legal pump and dump ring. It's too easy. You tell your timalerts people to buy after you've loaded up, and then you actually buy which sends more orders into the market for microcap stocks. Brilliant, yes, but had to get lucky in the first place to be in that position.
Anyway, two years, and then you should have enough experience under your belt to know when to push, that is, trade with large percentages of equity.
QLD Projection: 44.0946116353129 QLD Close: 46.7599983215332
QLD Projection: 46.9290917830034 QLD Close: 46.7599983215332
QLD Projection: 46.2475248427618 QLD Close: 46.7599983215332
Looks like the first projection is still a bit on the downside.
I spoke with Fidelity for about 2 hours today. They attempted to re-install my WL5 software, but that did not help. In the end I was asked to leave my phone number to be notified when the SPX datafeed would be fixed.
For Cash Cow, I guarantee if the datafeed was working I would have these results:
Up 5% in July, and Up 13% in August. It's not incompetence, but a failure by the broker.
I was told the reason it can't be used in TS is because TS subscribes to a sub-par data vendor that does not have the capability of real time data for SPX. IE: In TS, SPX can only run on static data, and this is, at least in the case of Cash Cow, a severe limitation. I don't even know why people try to trade Jack Hershey's system in ES, because it's not profitable. Anyway, for Fidelity I'd have perfect results to show, but Fidelity hasn't figured out the problem and seemed to indicate to me that the problem was fixed up until the point I demonstrated to them that it wasn't.
ProfLogic is communicating with me about his Ergodic Oscillator system, and I should have examinable code shortly to act as another 3rd party verifier for our gurus here at elitetrader.
I don't believe Jack Hershey ever had a working system. Maybe he thought he did, but he hasn't said anything about running it on SPX. I can vouch the Cash Cow system published by ScottD is enormously profitable converting from TS code into WL5 code.
My investors in Pairs Trading QID QLD Scalper are very happy with this month's performance, despite some less than stellar months previously. I'm going to catch up with the S&P when it dips a bit or when it rises from here. Personally I believe I'll be shorting with QID in a few days, but I was expecting that this whole uneventful week.
The next trade after that I believe would be in QLD. So, there's plenty of room to catch up with the S&P 500 in the remaining months of 2009.
This is probably a good time to speak to some of the less experienced that might read this.
It takes at least 2 years to learn to trade, and there's two ways you can spend time learning how. You can spend your time backtesting and automating and maybe during that time you'll be lucky enough to come across shell programs you can use as a basis for your next trading system. Or, the other way is to emmerse yourself in the culture by studying finance, economics, and other hard academic literature to the point that you start to learn how to value companies based on financial statements.
I can do both, but, for the risk, I've chosen automated trading strategies. For my lifestyle, by far EOD systems that let you place trades after the market closes are the easiest to trade, maybe not the most profitable or highest risk adjusted system, but for the mentally prepared a pleasure to trade over long periods of time.
You can see PTQQS is an EOD system, and the Cash Cow system I have enormous confidence in once Fidelity fixes the problem. Truthfully when Cash Cow was running I would go days without looking at it while it ran. Usually I'd start it in the morning on Monday, check each night that it was still connected, and shut it off when I got home from work on Friday. Just as easy to trade as an EOD system once you have it running, but intraday systems require a kind of unique skill set that I've found very few people have, especially on ET. You don't find that many people discussing styles, especially a combined EOD and intraday system trader.
For fundamental strategies, I had developed an Analyst based system in WL that was good for a time, buying AAPL at $23 in March and continues to hold till this day, but, that once had a bit of a drawdown problem. Essentially it rose almost 500% from March 03 to July 07 and drewdown about 60%, which was only 5% more than the S&P 500, but still intolerable nontheless. Before that I had been trading PTQQS religiously and had great success with it in 2007 through about the middle of 2008.
If anyone gives advice to you, I think it's best to understand why they're giving it to you. One of the biggest problems I have with giving advice not only on this site but in my professional life is that I think so much of the advice is given for the wrong reasons. As a fiduciary, that's a big problem because people don't commonly understand the nature of the difference between broker and investment advisor, but on elitetrader I would question the motives of some pretending to give advice.
I've seen a wide range of posters in my time on ET. Some that are permabulls and permabears, when the informed is that you can't always be one forever. The others I've found without seeing track records it's difficult to guage the quality of the advice. I've also found older threads that were obviously pump and dump schemes, and I truly believe the Timothy Sykes definitely runs a legal pump and dump ring. It's too easy. You tell your timalerts people to buy after you've loaded up, and then you actually buy which sends more orders into the market for microcap stocks. Brilliant, yes, but had to get lucky in the first place to be in that position.
Anyway, two years, and then you should have enough experience under your belt to know when to push, that is, trade with large percentages of equity.
Quote from bwolinsky:
This is probably a good time to speak to some of the less experienced that might read this.
... but intraday systems require a kind of unique skill set that I've found very few people have, especially on ET. You don't find that many people discussing styles...
If anyone gives advice to you, I think it's best to understand why they're giving it to you. One of the biggest problems I have with giving advice not only on this site but in my professional life is that I think so much of the advice is given for the wrong reasons.
First off, for the newbies like you say, an experienced trader does not always mean a profitable trader. For instance, with a few month of experience under her belt, my 8 year old daughter makes at least a 100% reaturn every month. Well, maybe not now since 2nd grade started, but she did during the summer. That is the truth.
Second, do not ever buy a system, or copy a system, you need to figure things out for yourself.
Third, if the goal is to put money in your pocket and bank account, then do not listen to any money management strategies in this forum. Making 10% or even 100% a year would be a waste of my time. I try to make 100% every two weeks, and it is a month at worst.
Finally, as Bwolinski and TraderZones said in my thread, (which I doubled my cash in 3 days and never lost a trade), I feel the need to alert the newbies about crap like this. They will start down the wrong road and never reach profitability.
Good luck.
Well, I was asked on another forum to discuss Cash Cow, and I realized it might be better for me to discuss both of them.
Below is a side-by-side comparison of Cash Cow and Pairs Trading QID QLD Scalper. Cash Cow trades at 199% of equity and it's first trade was on 9/2/2008. PTQQS trades at 192% EOD based on volatility overbought oversold levels, while Cash Cow is based on momentum indicators including volume, stochastics, and time.
Cash Cow is on the left, with PTQQS on the right.
All Trades Long + Short
Starting Capital $10,000.00 $10,000.00
Ending Capital $116,561.25 $136,298.68
Net Profit $106,561.25 $126,298.68
Net Profit % 1065.61% 1262.99%
Annualized Gain % 530.83% 130.09%
Cash Cow has a nice APR of 530% to PTQQS 130.09%. Realistically though, I might only trade these in my accounts at half with 100% in one and about 100% in the other.
Exposure 25.29% 34.22%
Surprisingly Cash Cow is less exposed for this period, but we'll see over the coming months what it's real exposure rate is.
Total Commission ($816.00) ($1,136.00)
Hey, $8, and if you have to worry about $8 affecting your performance I think you should wait till you have enough money that it doesn't
Return on Cash $0.00 $0.00
Margin Interest Paid $0.00 $0.00
Dividends Received $0.00 $0.00
Number of Trades 51 71
Average Profit $2,089.44 $1,778.85
Average Profit % 2.66% 2.17%
Average Bars Held 17.76 2.17
17.75/26=.683 bars
Winning Trades 42 50
Win Rate 82.35% 70.42%
Gross Profit $127,306.69 $239,667.94
Average Profit $3,031.11 $4,793.36
Average Profit % 3.75% 4.23%
Average Bars Held 17.9 2.08
Max Consecutive Winners 15 10
Losing Trades 9 21
Loss Rate 17.65% 29.58%
Gross Loss ($20,745.44) ($113,369.26)
Average Loss ($2,305.05) ($5,398.54)
Average Loss % -2.45% -2.72%
Average Bars Held 17.11 2.38
Max Consecutive Losses 1 4
Cash cow is on 15 minute bars and there are 6.5 hours in a day making 6.5*4 fifteen minute bars in a hour gives 26 fifteen minute bars so Cash Cow holds, Apples to Apples 17.11/26=.658 bars compared with PTQQS.
Maximum Drawdown ($10,834.52) ($42,853.02)
Maximum Drawdown Date 5/7/2009 8/17/2009
Maximum Drawdown % -33.31% -26.63%
Maximum Drawdown % Date 11/21/2008 8/17/2009
Ah, Drawdown, PTQQS this month, and Cash Cow near the beginning of its period. Watch it happen on the next trade! LOL. I'm pretty sure it would recover.
Wealth-Lab Score 1,399.75 278.9332
Sharpe Ratio 2.35 1.7001
Profit Factor 6.14 2.114
Recovery Factor 9.84 2.9473
Payoff Ratio 1.53 1.553
Sharpe is believable for Cash Cow. Anything below 2.5 is legitimate, and over that not sustainable. 2 isn't usually sustainable over decade long periods or even 5 year long periods. A sharpe of 1 is very good for multi-year backtests. It would appear that Cash Cow has a higher recovery factor, but PTQQS has a higher payoff ratio. Both profit factor's greater than two at the holy grail level.
Below is a side-by-side comparison of Cash Cow and Pairs Trading QID QLD Scalper. Cash Cow trades at 199% of equity and it's first trade was on 9/2/2008. PTQQS trades at 192% EOD based on volatility overbought oversold levels, while Cash Cow is based on momentum indicators including volume, stochastics, and time.
Cash Cow is on the left, with PTQQS on the right.
All Trades Long + Short
Starting Capital $10,000.00 $10,000.00
Ending Capital $116,561.25 $136,298.68
Net Profit $106,561.25 $126,298.68
Net Profit % 1065.61% 1262.99%
Annualized Gain % 530.83% 130.09%
Cash Cow has a nice APR of 530% to PTQQS 130.09%. Realistically though, I might only trade these in my accounts at half with 100% in one and about 100% in the other.
Exposure 25.29% 34.22%
Surprisingly Cash Cow is less exposed for this period, but we'll see over the coming months what it's real exposure rate is.
Total Commission ($816.00) ($1,136.00)
Hey, $8, and if you have to worry about $8 affecting your performance I think you should wait till you have enough money that it doesn't
Return on Cash $0.00 $0.00
Margin Interest Paid $0.00 $0.00
Dividends Received $0.00 $0.00
Number of Trades 51 71
Average Profit $2,089.44 $1,778.85
Average Profit % 2.66% 2.17%
Average Bars Held 17.76 2.17
17.75/26=.683 bars
Winning Trades 42 50
Win Rate 82.35% 70.42%
Gross Profit $127,306.69 $239,667.94
Average Profit $3,031.11 $4,793.36
Average Profit % 3.75% 4.23%
Average Bars Held 17.9 2.08
Max Consecutive Winners 15 10
Losing Trades 9 21
Loss Rate 17.65% 29.58%
Gross Loss ($20,745.44) ($113,369.26)
Average Loss ($2,305.05) ($5,398.54)
Average Loss % -2.45% -2.72%
Average Bars Held 17.11 2.38
Max Consecutive Losses 1 4
Cash cow is on 15 minute bars and there are 6.5 hours in a day making 6.5*4 fifteen minute bars in a hour gives 26 fifteen minute bars so Cash Cow holds, Apples to Apples 17.11/26=.658 bars compared with PTQQS.
Maximum Drawdown ($10,834.52) ($42,853.02)
Maximum Drawdown Date 5/7/2009 8/17/2009
Maximum Drawdown % -33.31% -26.63%
Maximum Drawdown % Date 11/21/2008 8/17/2009
Ah, Drawdown, PTQQS this month, and Cash Cow near the beginning of its period. Watch it happen on the next trade! LOL. I'm pretty sure it would recover.
Wealth-Lab Score 1,399.75 278.9332
Sharpe Ratio 2.35 1.7001
Profit Factor 6.14 2.114
Recovery Factor 9.84 2.9473
Payoff Ratio 1.53 1.553
Sharpe is believable for Cash Cow. Anything below 2.5 is legitimate, and over that not sustainable. 2 isn't usually sustainable over decade long periods or even 5 year long periods. A sharpe of 1 is very good for multi-year backtests. It would appear that Cash Cow has a higher recovery factor, but PTQQS has a higher payoff ratio. Both profit factor's greater than two at the holy grail level.
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