Day Trading Systems

Originally posted by sabena
Before I tell you my results I want to take that bet, otherwise
they won't .....
More...
Sabena, I'm not talking about comparing current records, but a 6-month period moving forward. We will use a third party to enter trades & exits. Hopefully real-time results could be followed by this group in real-time. I have to investigate what services are available. Anyone have recommendations?

Of course, your results vs. my results won't mean anything in the big scheme of things. There's also the problem with a pure "contest" like this because your risk parameters may be much different than mine, but nonetheless it is a way to have our own min "Big Blue vs. Kasparov".

Perhaps we should even extend this to everyone. Discretionary Traders vs. System Traders. Now, most people who are making good $ don't want to 'waste' their time entering all their trades into some auditing service, and I don't blame them. So maybe it will just be you and me.
 
sabena,

So 'success' in the market is your operational definition. Ok, when you pick a "loser", or during periods when your loss percentage increases, did your "intuition" leave you?
 
Dottom,



I have no time to enter my trades into an auditing service
like www.auditrack.com.

I go so fast in and out of trades.

I will give account access with password and all to someone on this board
to verufy my claims.

I really mean access to the person's account for which I will start
trading.

Can it be better then that ....?
 
Originally posted by sabena
So we agree in fact !

Yes mechanical approaches do work but I doubt Eric Oz
will ever be able to duplicate Tony Oz's trading completely....
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Ah, but Eric has only started. If Eric could encapsulate all of the decision-making that Tony goes through, it is very possible that the system will perform better because as humans you make mistake. If you could fully, 100% encapsulate how you use your discretion, then why would not you not go with a 100% mechanical system?

Look at it another way. Tony Oz is a very good trader. How many people following Tony's techniques are not profitable? They would be if they could exactly follow the mechanical encapsulation of Tony's method.

If the system cannot be fully modeled it is not the fault of systems trading, it is the inability of the discretionary trader to explicitly describe his thought process. If he cannot explain why he makes the decisions that he does, then that would be an argument to stay with discretionary trading- "I am a discretionary trader. I have a method that is working. Others at my firm are using a very similar method that is working. I cannot fully describe every single step. Therefore I will not try and will continue to trade this way and continue to make money."

That is a valid argument. Many would love to be in your shoes. However, that does not mean that a system could not be created to produce similar results.
 
Dottom,



That's indeed the big question ;


Can every tought that goes trough the mind of a succesfull trader
be caputered ?

When a succesfull trader says I look at this and that, does he known
himself that he was not paying more attention at something else ?


Don't you start feeling (hehehe intuition) now that it is impossible
to capture every tought that went trough the traders head before
making the decision......
 
Originally posted by sabena
Discretionary traders also have drawdowns....
Let's stop arguing and put on that bet !
More...

How do we prove the bet if we don't use an audit service? I don't have the time to enter all my trades in either, but I will to prove my point.

Showing account statements after-the-fact has many problems. The only way to compare to is to submit to third-party review. This way they can also be followed by everyone here. It's the only way.

If your trades happen too fast then maybe someone other discretionary trader here who uses a longer timeframe would be up to the challenge.
 
Well, let's take Rtharp or Baron as third party.

I will post my results every day and Baron or Rtharp
accesses my account and confirms my posting...
 
Originally posted by sabena
When a succesfull trader says I look at this and that, does he known himself that he was not paying more attention at something else ?

Don't you start feeling (hehehe intuition) now that it is impossible
to capture every tought that went trough the traders head before
making the decision......
More...

And for exactly this reason the system traders try to encapsulate their entire methodology into defined rules.

Some rules are very complex and can do things that perhaps your brain & intuition does not see. The computer could extrapolate a Hilbert transform on the price data that maybe your intuition does not see. The point is there is no way to test your intuition. There are many ways to test if a Hilbert Transform helps in analyzing probabilities of price movement. I won't get into "does TA work" because that's a different thread altogether.

Now let me ask you a question- what is the affect of human factors on your trading? Is your intuition affected if there is a death in the family, a traumatic experience, an illness or injury? My mechanical system trades the same in all these conditions.
 
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