BWolinsky Trading

[bwolinsky]

Quote from sicktraderIV:

Boooo....You're really sending him into Christmas break on a downer. Although, I don't think he'll put any thought into your improvement. Seems to be his trend.

By the way, this has been bothering me. I can't imagine the self proclaimed "best trader in the world" and his wife, "the best Hallmark card designer in the world" getting down. Think about it. Going for another glass of Crown and then will concentrate on making about 20% on the Euro tonight.

My mother is an Art History Professor who learned CS programs to create a new curriculum. My wife happened to be only 1 of five that went out of state for college to SCAD in Savannah, GA. We met on the first day of high school. We have been together for 7 years, and married for 3. It's cool, believe me. There's actually a lot of designers I know that have that designer,financial mix going on. The ones my age definitely are designer and finance major. Some designers and real estate agents. Designer and Business Analyst of a mutual fund company. Yeah, it works. It's a good vibe. No secret to making 20% on your money in forex. Just leverage 20:1 and make 1% on the euro, or 200:1 and make 0.1%. Boom.

Quote from sicktraderIV:

Why anyone would use a real name on these forums is beyond me.

It's not bad of me to use my real name. It helps me know who is real or not. Apparently there are a lot of not real people. The posters from C2 you know their real names if you try to send a PM, so, one way or the other you'd find out who I am. I try to keep a very public face, because I find it better to post publicly so people won't have any question about who I am. ET doesn't bother me. I have a blog with my name on it in more than one location, so it doesn't make much sense not to have my real name here.

I don't believe in fake aliases, and I try to keep my other names visible. As I said, they're out there, and people can find it, so why try to hide it?

Quote from sicktraderIV:

Boooo....You're really sending him into Christmas break on a downer. Although, I don't think he'll put any thought into your improvement. Seems to be his trend.

No downer here. As my mother-in-law would say, "I'm on cloud 9." Magna has asked me to refrain from responding to incendiary posts blatantly attempting to illicit a response. The best thing to do is no response. I shouldn't have taken them off ignore in the first place. I think from now on if someone makes the ignore list, they're going to stay there. It will be very obvious from my non-response who that is. Your sicktraderIV incarnation has not made it, because you seem to have changed your posting demeanor to one a bit more amiable, and I like that. I don't mind disagreement, but when it becomes verbally abusive, I really need to just ignore it. There's tons of reasons why it's better. When someone obviously doesn't respect you, there's no point in discussing anything further, and if they insult me elsewhere, I know ET will delete it, and the moderator will get involved.

 

[bwolinsky]

It's about that time. We will be travelling with my family's and my wife's family's Christmas presents in our Rogue. The garmin will show a red Santa's Sleigh as we drive home. Can't wait. It'll be fun. Taking some pit stops along the way, we'll make a road trip out of it.

 

[talontrading]

BoWo,

Have a nice trip. When you get a chance kindly take a look at the system I posted last night. Will be happy to discuss, but I think it's clear the distribution from this is quite a bit better than the one from your 2.0 system. I'm happy to discuss your oversights and errors and we can even cover some of those basic math issues that continue to elude you.

Happy Holidays

Quote from bwolinsky:

It's about that time. We will be travelling with my family's and my wife's family's Christmas presents in our Rogue. The garmin will show a red Santa's Sleigh as we drive home. Can't wait. It'll be fun. Taking some pit stops along the way, we'll make a road trip out of it.

 

[talontrading]

Mr Wolinksy has a number of funny habits, but one of the most obvious is that when he is challenged and proven wrong, he just ignores the challenge.

Someone pm'd and suggested it would be nice to show the trades from my improvement of BoWo's system. The only problem with that is that I did it in one of our R based systems that doesn't have chart output, so there's no way to make it pretty. I pasted the signals into the Excel file and made a chart that shows the long / short position as a bar under the QQQQ price bars. It may not be the most intuitive way to do it, but I think it gets the job done.

For simplicity's sake, the system calculated entries off of the QID QLD ratio but we just did the executions on the Q's.

BoWo, awaiting your insightful analysis. I know you're busy eating... doing some heavy holiday eating I'm sure... but when you can take a little break let us know what you think. Sorry we're missing all the WL statistics, but those aren't the important ones anyway are they? Though, I assume you didn't really learn your lesson since you seem to learn fairly slowly.

Also... whatever happened to your fundamental model with a R-squared of like 92 or something? LOL. I'm certain you checked your model for multicollinearity, right? Just as a starting point... but judging from the difficulty you've had with some basic math concepts, I don't have much confidence in your ability to build a model like this.

Anyway, spreadsheet attached. I'm not the best system developer in the world and I know that... if I forget that BoWo will remind me that I cannot be since he is the best. Imagine my surprise when I found how easy it was to build a better system than the Best System Developer In The World... and it took him 2 years and me 40 minutes including time to walk to Starbucks for an espresso in there... wow...

Quote from talontrading:

BoWo,

Have a nice trip. When you get a chance kindly take a look at the system I posted last night. Will be happy to discuss, but I think it's clear the distribution from this is quite a bit better than the one from your 2.0 system. I'm happy to discuss your oversights and errors and we can even cover some of those basic math issues that continue to elude you.

Happy Holidays

 

[bwolinsky]

Quote from bwolinsky:

It's about that time. We will be travelling with my family's and my wife's family's Christmas presents in our Rogue. The garmin will show a red Santa's Sleigh as we drive home. Can't wait. It'll be fun. Taking some pit stops along the way, we'll make a road trip out of it.

Santa's sleigh has arrived in Kentucky.

We went from nearly overbought to nearly oversold over the past two days. That was yesterday, and the rise on Friday took us from nearly oversold to nearly overbought. We seem to be in a tight range that doesn't show any reason to take a position as it relates to PTQQ2.

 

[talontrading]

Ah BoWo... and here is a clear illustration of another problem with the BoWo PTQQ2: Do you think if a system goes from "almost overbought" to "nearly oversold" in two days and then back to "nearly overbought" in a one day move in a tight little rangebound market... that you might be doing something wrong? This is the Achille's heel (look that up on Google if you don't know what it means) for systems that adjust to volatility and frankly it's an issue you can't be expected to know how to fix at your level of experience. That is one of the ways I improved your system in the one I call BBB ( = BoWo But Better) in that last spreadsheet above. Take a look at the distribution and trade list and you will see that I eliminated a lot of your silly losing trades in ranges with this tool. Happy to discuss general concepts around this.

Quote from bwolinsky:


We went from nearly overbought to nearly oversold over the past two days. That was yesterday, and the rise on Friday took us from nearly oversold to nearly overbought. We seem to be in a tight range that doesn't show any reason to take a position as it relates to PTQQ2.

Quote from bwolinsky:

Santa's sleigh has arrived in Kentucky.

Glad to hear you arrived safely. Make sure Santa takes it easy on the holiday goodies and doughnuts or Santa will have a tough time squeezing behind the desk where he plays at being an RIA a few days a week! Have a good holiday BoWo.

 

[talontrading]

Just wanted to invite BoWo to continue to the discussion of the new, much improved BBB (BoWo But Better) QID QLD system. I thought it was also worthwhile to revisit the fundamental concept behind this system. We do need to be clear that this is not a pairs system, but is a system that identifies overbought / oversold levels through a (flawed) understanding of the relationship between the QID QLD. In reviewing his Collective 2 board, I noticed that another reviewer on that board raised the same issue. Bo's response is worth noting:

Per 5) Perhaps, but it still uses pairs methodology. I don't really think this is a criticism.
Per 5) Ex post edit: If I wanted to call the system Beau's magical yahoo number 1 trading system, I could. I'd wonder if people would find that description better than calling it what it is. There's plenty of systems on here that are quite a bit less descriptive than that. Scalping, positions trades, they're all the same. The bottom line is that you come out ahead, and since people only care about results, why does it even matter?

I would respectfully suggest that this is a truly terrible answer. What we call things does matter, especially when a pairs system implies certain things that this system does not accomplish. I thought we needed to revisit this issue since the system is fresh on my mind after having made significant improvements to BoWo's original QIDQLD 2.0 system. Scalping and position trades are not the same. Pairs trading and overbought / oversold systems are not the same. People care about much more than results and you, Bo, who manage people's money to pay the bills (rather than trading your own) should realize this better than anyone.

I know you're busy with family and holiday grazing, but appreciate your thoughts when you have time.

 

[talontrading]

Another installment investigating backtests, walkforward results and system design in general.

To kick us off, here's another post by BoWo from the Collective2 boards (Thank you, BoWo, for suggesting I look up your posts there. it has provided even more entertainment than your posts here.)

2/25/2009: The 95% win percentage is, in fact, what the system was showing at the time this subscriber subscribed to it, and the current win rate was somewhere in the high eighties. Since the win percentage has fallen to 63.3% and was mainly due to a high win percentage very early on in the backtest at that time. I believe 70% is the long term percentage, which, I know will beat a lot of other traders over long periods of time who don't even win half the time.

If I didn't know this was written by The Best System Developer In The Whole Entire World I would think that this was a system with some faults. In fact, there are actually a few important points here:
1) When you do a backtest, it must be consistent through the range of the backtest. With the QID QLD system you basically have a regime shift to deal with. I would encourage anyone reading this to download closing prices from both from Yahoo and then create a third line that is QID / QLD. Do you notice anything interesting about that line? There is something extremely significant here -- the volatility of that spread undergoes a massive shift somewhere in the middle of the series. Naive optimization of the system (such as one might do, for instance, in Wealth Lab) will create big problems. Without going into too much detail, your system will not work walking forward. Clues to this would be, for instance, a very high win % early in the backtest, as BoWo admits he had in his results. You want to see that the backtest is consistent.
2) You want to see that your trading results are consistent with the backtest. It is as simple as graphing average trade return, standard deviation of trade returns and win% on a walkforward basis against your backtest. If your walk forward results deviate (as you admit they have BoWo) then... Houston, we have a problem.

I am curious to see how you have thought about and dealt with these issues. Also a little confused by your focus on win%, since as we all know expectancy is what matters not win%. (I know guys that run 100's of millions of dollars with win ratios of 30%. I bet they would have trouble admitting that you "beat" them with your long term win ratio of 70%, since they're trading for a living and youre... well, you're not.) Focus on win% is something new traders need to get over.

Hope you're back soon so we can discuss these issues. Also will be interesting to monitor the BBB (BoWo But Better) system against your PTQIDQLD2.0 system right here in this thread. That will be fun! For the record, BBB hasn't swung from overbought to oversold in 2 days... it "knows" we're in a range with contracting volatility and it "knows" to not look for trades in this environment... so it's happy to sit with its long trade until it either makes money or sees a reason to get short. Not a bad plan if you ask me.

Happy Holidays.

 

[bwolinsky]

Maybe number of posts = number of years of experience on the internet and we are all creating this neural network that synchs each one of our desktops to us? I wish I had a computer chip in my head and a holographic projection, pinhole camera in my had through transluscent skin.

So, Microsoft, Apple, Google,

<i>until you do this, all hope is lost:</i>

QLD Projection: 56.3676273723225 QLD Close: 60.3600006103516
QLD Projection: 58.0943656921387 QLD Close: 60.3600006103516
QLD Projection: 57.7420969281878 QLD Close: 60.3600006103516

Take us to the next level, boys.--

BWO

 

[jtrader33]

Quote from talontrading:

This is one reason I am so critical of the QID/QLD system... you're backtesting to settlement prices which are prices you can't reliably execute. If you don't understand why, then you need to understand market structure and procedures more.

I'll admit to not knowing the exact reason behind this - although I've heard the concern expressed in multiple places. My searches for the answer have come up empty.

Does anyone know why this is?

Is it simply that your MOC or LOC order would have moved the market?

Or something to do with the timing/cancellation restriction on 'on-close' orders?