Thank you for the recommendation on Babcock. Have bought a used copy and am currently reading it - excellent book.
smitty
smitty
Frequency of Optimization?
- Thread starter kempo
- Start date
...you are quite welcome, but the real credit is due to Roscoe, who put me onto it. IMO it is the best futures trading book available. The late Mr. Babcock's healthily cynical attitude toward manipulation in the markets is alone worth the price.
Welcome to Market's Reality. It seems that the greatest traders admit what's in my model see also
The Wall Street Gang.
by Richard. Ney
http://www.amazon.com/exec/obidos/t...nsreseaA/102-1630484-8581703?v=glance&s=books
"I align myself with the specialist as he seeks to solve his inventory problems. The thrust of all my efforts is to buy when he buys and to sell when he sells."
"It is impossible to look solely at the tape as it passes in review and hope to determine longer-term trends in the market. One can understand the tape and decipher its code of communication only when experience is shaped through memory - or through the use of charts. â¦In the final analysis, we need both in order to make financially rational decisions"
"This is dangerous since the need to use existing investor techniques to mislead compels the specialist to change the trend in some way if he is to gain the element of surprise needed to make his manipulations "pay off." As he moves from one phase or price level to another, however, his inventory objectives begin to reveal themselves in terms of specific trends. "
"It is no accident that most investors lose money in the stock market. Their losses are an inevitable by-product of their ignorance of how little they know about the invisible world of the Stock Exchange. Like machines dominated by external influences, they are capable only of mechanical action.
Regrettably, the arrangements that exist to preserve the traditions and legalize the frauds of the security industry are inseparable from the general organization of a society controlled by the financial establishment, a society whose laws and principal customs have been contrived to serve the special interests of the financial community. Thus, although the Stock Exchange's most profitable practices clearly compromise the freedoms granted others by the constitution, Exchange Insiders are granted immunity from the legal obligations and penalties that should be imposed on them."
see alsoThe Wall Street Gang.
by Richard. Ney
http://www.amazon.com/exec/obidos/t...nsreseaA/102-1630484-8581703?v=glance&s=books
"I align myself with the specialist as he seeks to solve his inventory problems. The thrust of all my efforts is to buy when he buys and to sell when he sells."
"It is impossible to look solely at the tape as it passes in review and hope to determine longer-term trends in the market. One can understand the tape and decipher its code of communication only when experience is shaped through memory - or through the use of charts. â¦In the final analysis, we need both in order to make financially rational decisions"
"This is dangerous since the need to use existing investor techniques to mislead compels the specialist to change the trend in some way if he is to gain the element of surprise needed to make his manipulations "pay off." As he moves from one phase or price level to another, however, his inventory objectives begin to reveal themselves in terms of specific trends. "
"It is no accident that most investors lose money in the stock market. Their losses are an inevitable by-product of their ignorance of how little they know about the invisible world of the Stock Exchange. Like machines dominated by external influences, they are capable only of mechanical action.
Regrettably, the arrangements that exist to preserve the traditions and legalize the frauds of the security industry are inseparable from the general organization of a society controlled by the financial establishment, a society whose laws and principal customs have been contrived to serve the special interests of the financial community. Thus, although the Stock Exchange's most profitable practices clearly compromise the freedoms granted others by the constitution, Exchange Insiders are granted immunity from the legal obligations and penalties that should be imposed on them."
This I really SEE it visually on my model when it happens I will explain one day
Quote from harrytrader:
Welcome to Market's Reality. It seems that the greatest traders admit what's in my model
The Wall Street Gang.
by Richard. Ney
http://www.amazon.com/exec/obidos/t...nsreseaA/102-1630484-8581703?v=glance&s=books
" the need to use existing investor techniques to mislead compels the specialist to change the trend in some way if he is to gain the element of surprise needed to make his manipulations "pay off." As he moves from one phase or price level to another, however, his inventory objectives begin to reveal themselves in terms of specific trends. "
1) The Business One Irwin Guide to Trading Systems--Bruce Babcock, JR.
http://www.amazon.com/exec/obidos/t...f=sr_1_3/002-8898885-6900021?v=glance&s=books
Wow, the price has really gone up! I paid $39.50 in December.
2) Design, Testing, and Optimizationof Trading Systems--Robert Pardo
http://www.amazon.com/exec/obidos/tg/detail/-/0471554464/002-8898885-6900021?v=glance
Price is higher on this one too.
I found both of these books helpful.
What I have mostly found as I move on...Is that once you have your edge confirmed, money management is by far the most important component.
kempo
Thanks, Kempo. You're right, the prices have gone up, especially for Babcock's book. Only a secondary market now for that one; and one guy linked to Amazon is offering a copy for $300!!
I ordered a new copy for $85. If it's as good as everyone says, it will be well worth it. Lord knows I've learned, optimization mistakes can be costly!
saxon
Nice post. The topic and approach you are using makes for a good example in ES.
As people go through improving their effectiveness in taking capital out ot the potential the markets offer, they usual focus on better and better methods of trading.
Your 1 trade a day approach relates totwo very significant aspects of the market. Soon you will given consideration to others. You operate primarily within two parameters: the daily H/L and the short term position trend.
The open is most often between the H/L so you are guaranteed less than the H/L. I find that about 3 times the H/L is a good goal for experienced traders.
The quarterly channel of the front quarter has several traverses during the quarter. the reason you have good success with the 5 day slug and daily modifying it it that you are simply making a poor assessment of the small end of the range of period of an average traverse. It is 5 to 8 days.
You will find that your assessment waxes and wanes in accordance with one consideration. When the last 5 days are in synch totally with a traverse of the quarterly channel you will get good results. You will get worst results when your assessment symmetrically straddles two traverses. This is unfortunate to have to go through.
As you see hypo has all these difficulties too. He has additional ones as well.
The genral malaise of such thinking has to do with picking convenient maths (the MA sting is rampant) and even worse assigning constants and coefficients to such stuff.
What are the key iterative refinements to improve your work?
First of all remove the waxing and waning by just using the highest potential for a given day at all times. this is done by charting the quarterly channel and determinint the IT traverses within the channel. You trade according to the direction of the existing channel. When you are at the ends of these channels you change directions as the reversal or lateral occurs on the quarterly boundaries.
To deal with the lateral periods (this is your long wane consecutive day problem), you turn to the R and S considerations coupled with both premarket and trend continuation day-to-day considerations. You are on either R or S and never in an intermediate position vis a vis the quarterly channel. See my critique of dbphoenix on volume screw ups he makes. Also apply that to the price volume journal to correct the continuing misconceptions there.
From the above and how any day goes, you can see that the 9:45 entry is arbitrary. the solution is to trade across the daily H/L instead. For any given traverse of the quarterly channel (5 to 8 day period), the days range favors going one direction over the other. You pick that direction at this point with your entry. Use this analysis result. Do not enter until the market reaches the associated extreme early in the day. To clarify, if you are in a long traverse wait until the daily market makes it's first low (use an intraday volume assessment (relatively low volume in the direction of that extreme). Under these conditions you will be entering on a volume BO in the direction of the traverse.
conversely do not exit at the end of the day. Exit on the second high volume test of the opposite extreme of entry. this is the point where the daily range cannot be extended by any increased level of momentum.
You can also reassure your self on all of this since you will be trading the traverse (IT) range of the traverse of the quarterly front quarter. This means that if you are are a target trader you can set the low and high of the day in advance and when they come up you do the deed.
If you are really congnisant of all of the above (there are many in ET who areat this point), you will recognize that what I have posted happens more than once a day.
Here are the results in summary:
you will operate withoutwaxing and waning.
You move up to the H/L of the day for one trade.
Since this happens more than once a day the minimum that occurs is at least one more H/L profit for the day
After these two trades you make one more, a partial traverse minimum which will be similar to your open to close trade but probably larger.
One further refinement can be made. Exit at the extreme side of the congestion at the end of the am trading and reenter at the time of the pm volume BO.
I read that you are going to check back in in a week or so. Good idea.
...the only thing I am serious about is modelling manipulation in instruments derived from NDX and exploiting the results in NQ. Multiple personalities tend to emerge which are empathetic to each of the manipulation styles. They all align roughly with the sadistic-psychopathic axis, in correspondence with the personality types of the manipulators.