HJSC.1775, I couldn't care less if you believe this particular approach works or not, since you obviously have nothing to contribute to a learned dialogue about its theoretical and empirical merits. But I will post execution reports when sufficiently interesting trades occur. I have no need to convince you of anything. Did I say I wanted to be your guru? That I craved your approval? That I wanted to sell you something? But to anyone who has the appropriate background, I gave the gift of a unique way to think about trading. I take it that my comment about liberal arts majors came close to home, otherwise you would have provided a technical response. Fortunately for civilization, engineers bring you fresh water and abundant energy, and spirit away the shit you produce in its various forms.
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Estimation Theory Trading
- Thread starter Roanoke
- Start date
Indrionas, thank you for your observation, you are quite correct, the system lags. It is mathematically a very simple system, and to make it hold for very long periods relative to the chart interval, it perforce lags. I am not attempting to make it hair-trigger, but to make a reasonable tradeoff between reliability which is comfortable for me and total expectation. In that sense, it is, like all systems, highly personalized. As our eminent Dr. Arthur Deco oft repeats, "All trading is autobiography."
Jack, thank you for your post. I am well aware of your educational and early engineering background, and have always read with interest your apt analogies of them to trading. As you well know, I am not up to your standards as a trader. I am a cherry-picker. I like the easy cheap shot. In fact, the subsystems which support the system I posted restrict its entries even more in the interest of high confidence. And in fact I do use volume analysis inspired by your own, but IMO more solidly based in the calculus of price and volume interactions. So I am quite happy to see you lead ET into the 21st century of trading, because I am quite placidly content with my own trifles.
Quote from Roanoke:
The attached one day chart for the past year suggests the applicability of the method to investing, in this case for a fund which mimics the NASDAQ 100. All that is changed from the previously shown five-minute chart is the time-scale-sensitive adaptive constants. The gradual worsening at the end of last year suggested that you get into cash, as I did. I am by no means asserting that this is a perfect method, but in the case of long term investing, it is at least a quantitative method that would have helped you overcome any lingering affection for the market at that time.
I think this one is terrific! However, probably you need to do more for good profits, imo. Congrats!
Jem, I quite agree with you that price-time series are susceptible to cycle analysis. But be aware that Fourier analysis is wholly inappropriate, only Laplace analysis is fitting because of the causality requirement in time series. If you should perchance discover that causality does not apply, we would all be in your debt as you would support the position of those who think they are omnisciently prescient as traders.
Quote from Roanoke:
HJSC.1775, I couldn't care less if you believe this particular approach works or not, since you obviously have nothing to contribute to a learned dialogue about its theoretical and empirical merits. But I will post execution reports when sufficiently interesting trades occur. I have no need to convince you of anything. Did I say I wanted to be your guru? That I craved your approval? That I wanted to sell you something? But to anyone who has the appropriate background, I gave the gift of a unique way to think about trading.
For clarity, I was referring to the poster whom I quoted when I made the guru comment.
I simply asked for reasonable proof that your system works. Without this, how can we discuss it merits? Sure it is possible to discuss anything in theoretical terms. Perhaps do some research and see how well theory worked for LTCM.
You offered a unique gift? Do a little more research on what is out there before making such claims.
When you actually do try to trade, you might be well served to remember that large egos lead to large losses.
Thank you for your kind remarks, OddTrader. The bare truth is that I needed something to show my wife to explain why I took her 100% into cash while her friends remained foolishly bullish (or bullishly foolish). "See the hesitancy in the orange area? And the ultimate confident transition to red? That is why your 401K is in cash." Thank god she doesn't read ET. She'd be drawing trend lines and arguing with me about the significance of volume. But she believes me, because I put her in all cash in 1999 and she was smug about it for years, as she is now when her friends bemoan the 20% losses in their accounts. So a little bullshit sleight of hand charting has its place.
Oh, lighten up 1775. I am a post-modernist ante-bellum southerner (better known as white trash), and we love to insult each other with panache and originality. I notice that you still gave me no clue that you understood what I said, as I gave you no clue of my knowledge of the relevant trading literature. And FYI, at conception in utero I traded the option of a big ego for the more useful option of a big dick. There is nowhere in the literature to my knowledge a treatment of trading as a control theory or cybernetics problem. There is ample examination of other forms of estimation theory, but not servos. So mine is an original contribution for those with the skills and wit to pursue it. Oh, and BTW, I trade every day.
I understand your point. There is nothing pragmatic in this thread to help anyone. I know the aim for anyone set and intent on trading is to become a serious winner. High Potty Miss (Hypostomus) is very over-emotional and unstable; he works through numerous aliases (eg Raonoke) and his illness is not going to end suddenly. He has been going nowhere for a long time. All those you see on this thread hiding behind computer jargon have shut down their minds and eschewed lay language which is the norm for easy communication between others. They isolate themselves and as the phrase goes, they don't know what they don't know.Quote from HSC.1775:
Do you mean to tell me that if I am unable to trade successfully, all I need to do is write long winded posts on ET? Then I can be either a want to be quant or guru such as yourself?