finding an edge...simple?

Quote from man:

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.
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Your concerns are valid. I would say difficult though, not impossible. I'll need some time to back this up though, thankyou.:)
 
Quote from PoundTheRock:



Tried it on QQQ and SPY just for kicks, profit factor of 0.78 and 0.11 respectively. Code follows...

--------------------------------------------------------------------------------


Inputs:
Lookback(20),
VFactor(0.1),
HoldBars(3);

Variables:
LV(0.0);

LV = Lowest(Volume, Lookback)[1];
If Volume >= (1 - VFactor) * LV and
Volume <= (1 + VFactor) * LV Then Begin
If High < High[1] and Low > Low[1] Then Begin
Buy Next Bar on High + 1 Point Stop;
SellShort Next Bar on Low - 1 Point Stop;
End;
End;

If BarsSinceEntry >= HoldBars Then Begin
If Volume < Volume[1] Then Begin
Sell Next Bar on Open;
BuyToCover Next Bar on Open;
End;
End;
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I don't think it will work in those markets. It's a volume thing.

If you test anything go for what I recommended and do the 15 10 5 and see how far down (minute by minute) you can get below five before it craps out. 1 min is no good.

It will take about 10 passes (5 on each) to get a starting point for starting to optimize it.
 
Quote from hii a_ooiioo_a:

Here's one suggestion how we might implement your idea. ...What do you think? :) I think it sounds like a plan!
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I like very much.
Here are some hypothetical parameters for membership:
(1) One trading system with buy/sell conditions, backtesting data etc. (This could be simple, like 20EMA crosses 30EMA b/c I would not expect someone to just hand over their meal ticket at the outset)
(2) Within a week atleast one peer review including one or more of the following, but not limited to: suggestions for system alteration, more comprehensive backtesting, paper trading results

Membership benefits:
(1) A compiled and detailed collection of all trading systems and peer reviews, results, etc.

I am a "toe-the-water" kind of guy, so this is a very mild version of what I have suggested and you have elaborated on. As you can see, it doesn't yet involve any money, only ideas. It seems immediately applicable though, and as soon as we can get some organization and some members I would feel comfortable expanding. I will volunteer to do the compiling, but think all the raw data should be kept available to all members. If you agree Hii a_ooiioo_a, then I think I can get something together by Sunday. I use AmiBroker and have access to TC2000.

p.s. I have begun saving this thread in pdf format so as to keep a hard-disk log of our ideas.

p.s.2 - looks like Mr. Hershey and PoundtheRock have already begun!:)
 
PoundTheRock,

How would the system handle a situation when the next bar triggers both a long and a short?

Thanks,

pretzel
 
Hii a_ooiioo_a,

I was walking the dog and had some more thoughts on what we can accomplish. Firstly, I think what we should be looking to do is create a team of enthusiastic participants. The degree of time speant in developing these shared systems and the time speant during peer review will be a good gauge of this. The "members-only" atmosphere will enable us to eliminate the type of derisive individuals sometimes found here at ET. Otherwise, I think we should be completely open.
Initially, I don't expect to have many extremely profitable, and hopefully not too complex, systems to deal with. This is fine, since we'll have to work out some logistical problems first. While these problems, such as how to translate between AmiBroker and MetaStock, are being solved we can begin building our participant base. For advertising, at the outset, we can keep it simple and keep it here at Elite.
I see this as a no lose situation. If it doesn't work out no one has invested anything but time and at the very least will have some genuine critique's of some simple trading ideas. At best, we may find the initial system suggestions have developed beyond the original ideas into something profitable. If this occurs because of peer reviews, and thusly by the hands of many participants, the end system will be owned by the group. As it would be owned by the group, it would only seem fair to be traded by the group. This is where your "Trader's Fund" suggestions would come into play. Maybe I am getting ahead of myself, but I think there is promise in this concept.
out,
rb
 
Enthusiasm and simplicity are two qualities I appreciate. In fact, I have little else to offer, and I rather doubt I could pass your minimum requirements.

I wonder what the costs of advertising on Elite Trader are?

The main question is whether a collective effort could somehow result in something that was more effective than any individual's. It's like the Stone Soup story. We have to be able to entice people with the notion that by contributing whatever it is they have to contribute they will gain more than they could on their own, no matter how good their edge may be. This could of course work, because the fact remains that whatever a person's edge is, it may work better for certain periods of time than at others. By having the collective edge, we might attempt to arrive at something that over the course of time outperforms even the best individual edges.

I like the name Stone Soup 'Edge Fund :)
 
Quote from acrary:



Edge = better than random

Character of market = curve fit

(and since I'm now retired), ).

I would like to ask you , since you are now retired, if you tested this and your SP system with stops. If yes what stops were most profitable?
If not, would you try 8 - 10 point stop ?
Thanks,
Walter
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Quote from hii a_ooiioo_a:
Enthusiasm and simplicity are two qualities I appreciate. In fact, I have little else to offer, and I rather doubt I could pass your minimum requirements.
I wonder what the costs of advertising on Elite Trader are?
The main question is whether a collective effort could somehow result in something that was more effective than any individual's. It's like the Stone Soup story. We have to be able to entice people with the notion that by contributing whatever it is they have to contribute they will gain more than they could on their own, no matter how good their edge may be. This could of course work, because the fact remains that whatever a person's edge is, it may work better for certain periods of time than at others. By having the collective edge, we might attempt to arrive at something that over the course of time outperforms even the best individual edges.
I like the name Stone Soup 'Edge Fund :)
More...

I have begun a thread called Organized Systems Sharing (Your name is better) under the Trading Strategy forum. We should probably move the discussion there so as not to bog down this thread any further.

Here is what is offered by my revised plan:
An opportunity to develop trading ideas rather than share already successful systems (this is an adjustment based on your previous comments)
Time Savings

Here is what is required:
Very little! Simply place whatever trading idea you have into a roughly configured trading system. For example, if you have a great method of backtesting, an entry, whatever - merely place it within a system that illustrates how your idea works. Check out the thread, I think it explains it better.

Hope to have your participation,
rlb

p.s. the advertising, at first, need not cost anything We are developing trading ideas, which I think is in accordance with the purpose of this site, and so I think using the forums conservatively will be acceptable
 
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