finding an edge...simple?

acrary
I still think that positive expectation systems, no matter what way tested, would beat random entries. I think your way of doing the statistics first and build the system around that is not necessarily a way of avoiding any curve fitting, since your optimisation simply takes place, before you start building the system itself. I think that the sheer quality of the things you find is the real difference. Thus I think your way of search is superior, not necessarily the distinction between edge and market character, or whatsoever.

nevertheless it is academical thinking and talking. and in all humbliness I find your posts extremly inspiring.


peace
 
Quote from rlb21079:

What if "sharing edges" itself became the edge? Let's say we start a thread/think tank from which a system is designed, which would not work if applied independently, but would work if applied in harmony. This system would likely need to correct market inefficiencies created by a specific group or entity, e.g. mutual funds, and more specifically, prey on a certain quality of, in this case, mutual funds (e.g. inability to quickly enter and exit positions).

The internet enables us, via chat rooms or whatever, to plan and rapidly execute coordinated market plays.

Let me simplify,
As a cohesive group of individual traders we could:
(1) Attain the resources available, until now, to only a select few
(2) Move in and out of markets with relative ease

Any thoughts?
More...
I like your idea. As with many innovative /groundbreaking ideas, you as the originator of the idea will have to be the one to get it started, before anyone else will join in with you. Also because if you leave it to others, they will alter the idea from your own conception of it to fit their own mindsets, which will not be exactly the same as yours.

Eventually, if your idea turns out to be successful, the S.E.C. will try to make new regulations to prevent such ideas from succeeding. They will accuse these "megatrading groups" (or whatever they name it) of being immoral market manipulators who are responsible for all the volatility and uncertainty in the markets. They will announce they are cracking down on these bad groups with MTR (Mega Trading Regulations).
 
"Consider this - despite our inability to move the market as individuals, as a group we yield tremendous power. We could, without fear of legal or moral repurcutions, make tremendous profit."


as long as you mean resources - very much right so. wealthlab is an example for that. I do not participate there, but it seems to be a vital, yet young community. and ET as such is a know how shop to some extent.

in terms of coordinated market impact, lets say an ET journal starts a specific trend in a preselected ETF. we know other people will trade in and we jump off earlier. at its basics a valid concept IMO, yet impossible to set in place. once you have that power you are quickly watched, monitored, corrupted. Valid but impractical, not to speak from the tendency within ET to learn a little earlier about todays plan. and - who is planning?

i think the nature of the game is individualism. does not go easily wiht other concepts of human behavior.


peace
 
Quote from rlb21079:

What if "sharing edges" itself became the edge? Let's say we start a thread/think tank from which a system is designed.
Such things have been tried before but only by a select few individuals with a great deal of wealth. The internet enables us, via chat rooms or whatever, to plan and rapidly execute coordinated market plays.

As a cohesive group of individual traders we could:
(1) Attain the resources available, until now, to only a select few
(2) Move in and out of markets with relative ease

Any thoughts?
More...
Here's one suggestion how we might implement your idea. Create a Trader's Mutual Fund. Most mutual funds are run by investment-traders. They take funds from the public, but the public has no input into how their money is handled by the fund. The public's only option is limited to choosing which mutual fund out of thousands of mutual funds they will entrust their money to. Beyond that, what the fund decides to do with their money is entirely out of the public's hands.

Based on your suggestion, suppose we started a Trader's Mutual Fund. All members would have a say in how the fund's money is invested. In fact, passive membership would not be allowed. Any member who remained uninvolved in the decision process for a certain maximum length of time would have their shares of the mutual fund liquidated and their account would remain in cash as long as they remain inactive in the Fund's activity.

As in most mutual funds, the size of each person's investment would be reflected in their amount of shares of the fund. The number of shares any member held should not affect their weight in the decision process of the fund. But perhaps what would affect the weight of a member's vote would be their P&L record from their own trading accounts. The members who can show the best records of P&L from their own personal accounts would have more votes. Those members with the poorest records would either have fewer votes, or perhaps negative votes. Everyone would benefit. The less successful traders would benefit by the the fund being overweighted by the choices of the more successful traders. The more successful traders would also benefit from the input of the less successful traders. How many times have you seen people write on Elite Trader "please tell me what your trades are [loser!] so I can take the opposite side . . ."? Well, with this mutual fund, that very thing would happen. And the fund should have detailed records of all suggestions by each member, and there would be an adjustable ranking, so that the more times a person's suggestions (whether they were implemented by the fund or not) turned out to be successful, the higher their voting rank would go. And the more times a member's suggestions turned out to be bombs, the more their ranking would drop.

The fund would of course have its own secure members-only (or members-only section within a larger site accessible to the public) website, where all this could take place.

With Interactive Broker's new "Friends and Family" accounts, this suggestion could in fact be started with up to 15 initial members. I think 15 members is as many as we could expect at first anyhow. And if we got above 15 members, clearly by then we would have enough financial clout to start a professional account at IB instead of Friends and Family.

What do you think? :) I think it sounds like a plan!
 
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