eMesa system

[nitro]

Quote from Scientist:


Maybe we should ask Alex Elder? From reading his last book I think he's probably a credible enough sort of trader.

On his site ( www.elder.com ) he endorses the MESA software, saying:

MESA Software
John Ehlers
The best software for finding cycles in market data. The author is recognized as the world’s leading expert in cycles-based trading.

I just emailed him and invited him to ET. See what he says.


~Scientist

I have no idea if elder is a good trader or not - means nothing to me.

nitro

 

[Scientist]

Quote from nitro:


I have no idea if elder is a good trader or not - means nothing to me.

nitro

What a very smart and constructive comment nitro.
I suppose that's why you've got the highest post stat around here... :eek:


Death to all extremists!
~Scientist

 

[Chuck_T]

I just found out about this now, there is a chat on eSignal TODAY with Mesa.

If you want to join in here are the details:

http://www.esignal.com/events/default.asp?events=CHAT

This is with Mike Barna, Developer of the eMESA Trading System.

Chuck
@eSignal

 

[jem]

Question for systems guys. With less than 50% winners are you not entering a pullback or a breakout and hoping your stops stay smaller than your winners. You are just hoping that your market going forward had as much followthrough as the past right?

This is a question as much as a statement.

 

[jmeyer]

I bought R-Mesa 5 from John Ehlers last fall. This is a mechanical trading system for the full S&P contract. I based the decision on the work that Ehlers has done over the years published in the popular trading press and the record from Futures Truth magazine. The system is traded for me through Striker Securities who make all the trades without my emotional input. So far I'm up about 46% on the recommended minimum ( $25K ). One very nice thing about this system is that it does not "overtrade " - it seems to know when NOT to trade. Ehlers is the engineer; I'm a radiologist.

 

[nitro]

Quote from jmeyer:

I bought R-Mesa 5 from John Ehlers last fall. This is a mechanical trading system for the full S&P contract. I based the decision on the work that Ehlers has done over the years published in the popular trading press and the record from Futures Truth magazine. The system is traded for me through Striker Securities who make all the trades without my emotional input. So far I'm up about 46% on the recommended minimum ( $25K ). One very nice thing about this system is that it does not "overtrade " - it seems to know when NOT to trade. Ehlers is the engineer; I'm a radiologist.

Is it possible to have the entries and exits of the system. Also, woud it be possible to see a statement with those trades? Finally, what was the biggest drawdown during that period?

nitro

 

[steve46]

To all post subscribers:
In my response to the initial post, I mentioned that I had looked into the subject (Maximum Entropy Spectral Analysis). Although I am not really qualified by virtue of training, I do understand the basis for the product. The fact is, this is a grey box system that utilizes DLL's to handle the algorithms. You can adjust stops and other parameters but the DLL is insulated from change. Without getting into the tedious details, I think that for some markets, this approach can be productive. It seems to me that for a noisy market like the S&P, MESA has the potential to work pretty well. From my point of view, its strength is its ability to "cancel out" noise and respond to what seems to be the "main frequency" (signal). Unfortunately, these systems can get off the track and when they do, you can have a significant drawdown. One way to manage this problem is to use a bet size algorithm that really chokes down on the bat when the program is not winning. The other is to simply capitalize the system above the anticipated drawdown and have someone else trade the system. Although I prefer to develop my own systems, I think this system could work for the trader who understands how it works. Regards, Steve46

 

[wally_]

Quote from steve46:

I think this system could work for the trader who understands how it works. Regards, Steve46

That's the most important thing. You don't want to trade the system that you do not understand. It's at least as important to understand the system as to backtest it. Most people stop at backtesting. That's not enough to be able to trade the system comfortably.

 

[vikana]

Quote from nononsense:

I fully agree with nitro.

As a control engineer I have been following for years the mesa business. I would refer to it as scientism: i.e. the application of scientific looking tools to areas where they do not make sense. I cannot understand why TASC allowed this guy to publish his articles for years without any requirement of proof of validity. I do not recall having ever seen an article where serious backtesting is published.

It's a bit interesting that he always uses the same example of Tbonds from 1996 [if I remember correctly] when he shows the change from cycle to trend mode etc.

 

[bdixon619]

It is fairly clear from the discussion that MESA is an effort to track a market through both trending and non-trending or 'cyclic' behavior. It is safe to say, I believe, if you have traded for any significant number of trades you know what a trend is and what one looks like. Ehlers uses a moving average crossover system to trade trends. To trade the non-trending or 'cyclic' behavior he uses MESA. The cyclic component is continuously measured with his algorithm to determine the 'dominant' cycle length. This length is then used in an oscillator that actually leads the price series. Additionally, I don't know if it is still available, at one time a chart of the Phase of the cycle was displayed so the trader could anticipate changes in the cyclic component from positive to negative.

Unless you want to trade the cyclic component and thereby augment profits gained from the more traditional trend-following approach this is the expertise you are foregoing in bypassing the MESA system. After some careful thought and working through a few of his published articles I determined that, for me, it would be better to concentrate my efforts in trend identification and trading. Much easier to do for a beginner than attempting to capture every possible point. Therefore, I focused on understanding as much as I could about moving averages and how to use them.

As a trader who doesn't know very well how to trade, I think it is better to use tools that are easy to implement. I belive that a sophisticated algorithm for defining a trading environment is fine at some level. Just not at the level I trade. Mr. Ehlers has been around a long time and has always been open and instructive in the use of his software. If you believe its use in your toolbox will help make you a better trader, then go for it. He isn't some fly-by-night huckster and his record shows that fact.

Bruce