Imaginary "Don't risk your money on myths"

[Argent]

Quote from trader#21:

+1

And as for you, your + only means that you can't think for yourself and have nothing ora-ginal to add.

 

[kut2k2]

Quote from Argent:

To give you an idea where we are going, the code to implement the simple hypothesis test "does price move tradably after retracing to the open?" requires 130 lines of fairly compact code in EasySignal's Formula Script (efs). How long does it take to learn to knock out code like that quickly every day so you can test a couple of brain farts every day? Don't ask. I imagine that the majority who consider it decide "I'll stick to intuitive trading."

Argent, what do you think of using a spreadsheet as a backtest platform? I've had some mixed success, but mainly due to my recent discovery that I was measuring price noise all wrong and I have to reformulate my metric. That of course is not a limitation of the platform, just my own myopia on a fundamental trading component. Your inputs welcome.

 

[Argent]

Quote from bwolinsky:

Well, most likely it is a program you already had, but I'm sure if there are paramters involved it can produce profitable results. However, I doubt it will be robust, by definition any statistically signifcant strategy having at least 100 trades, and positive overall expectancy from pessimistic projections.

What is your time period and how much data and what type of data do you plan to use?

Sorry, forgot to answer the last question. The time period is one minute. The data is EasySignal OHLC. No volume or market internals or anything else. As much data as ET thinks I should. EasySignal's data goes further back than I usually care to test.

 

[Argent]

Quote from kut2k2:

Argent, what do you think of using a spreadsheet as a backtest platform? I've had some mixed success, but mainly due to my recent discovery that I was measuring price noise all wrong and I have to reformulate my metric. That of course is not a limitation of the platform, just my own myopia on a fundamental trading component. Your inputs welcome.

I have never tried it, not being an Excel wizard. The thought of the sheet sizes required is daunting. Interesting that you need to measure noise, whatever that is. I never found that to be helpfool.

 

[Samsara]

Quote from intradaybill:

You are overestimating your capabilities. It's like saying because people designed an airplace, you can do better flying. The strategy generators depend on input data and they have their own problems, like data snooping, fitting, etc. that should be dealt with but as more data are available, day after day, the potential increases.

It is simply humanly impossible to run all the ideas you tried in the past on a backtester to see if significance changed due to new historical data.

Hiowever, you are free to believe what you want. I just tried to warn you that backtesting idea after idea is like buying lottery tickets and waiting for the drawing. As we speak, I have three fast computers crunching numbers using one program that generates simple strategies. There would be no way to do this job even in a hundred years manually.

I'm taking 0 positions, so allow me to hazard an illustration. The patterns intradaybill locates are akin to:
<iframe width="560" height="349" src="http://www.youtube.com/embed/WImWuxHbQCw" frameborder="0" allowfullscreen></iframe>

Whereas Argent sees:
<iframe width="425" height="349" src="http://www.youtube.com/embed/Fgwr3wrenkQ" frameborder="0" allowfullscreen></iframe>

The only difference is bill holds them to be mutually exclusive in their ability to produce certain effects. Perhaps they are, but it's more likely his domain knowledge has been honed so tightly to only see the fleeting hardcore dubstep funk in the noise versus the sloshing of bacteria in the bowels of an oil tanker.

 

[Argent]

As a reminder, here is the code structure:

//retrace to open system structure
//variable declarations
//function declarations
//set up chart parameters
//backtesting code
{
//determine the time
//initialize variables
//establish trade day validity
//test for time window
{
//trade loop
{
//set up trade entry conditions
//entry code
//stop loss code
//profit stop code
//end of day exit code
//profit calculation and "helper" code
}
}
}

Let's start at the top. Anyone care to suggest what variables we need to test the hypothesis that a retrace to the open is tradeable?

 

[Argent]

Quote from Samsara:

I'm taking 0 positions, so allow me to hazard an illustration. The patterns intradaybill locates are akin to:
<iframe width="560" height="349" src="http://www.youtube.com/embed/WImWuxHbQCw" frameborder="0" allowfullscreen></iframe>

Whereas Argent sees:
<iframe width="425" height="349" src="http://www.youtube.com/embed/Fgwr3wrenkQ" frameborder="0" allowfullscreen></iframe>

The only difference is bill holds them to be mutually exclusive in their ability to produce certain effects. Perhaps they are, but it's more likely his domain knowledge has been honed so tightly to only see the fleeting hardcore dubstep funk in the noise versus the sloshing of bacteria in the bowels of an oil tanker.

Thank you, Sam and Sara, I listen to classical music while I watch the market, trade or code.

 

[Samsara]

Quote from Argent:

Thank you, "Sara, I listen to classical music while I watch the market, trade or code.

Now, we all know no real Texan would be caught dead admitting to that. Better fire a few rounds at those birds in your garden.

 

[Argent]

Quote from Samsara:

Now, we all know no real Texan would be caught dead admitting to that. Better fire a few rounds at those birds in your garden.

Hadda pop a bobcat inna ass t'other day. Nayber hadda pop a cougar. Wife says we shud feedum. Feedum whut, ah sez, yer dam cat?

 

[Argent]

Apropos that we are approaching a retrace to the open. Stumbled and fumbled past all those Fibs and Dows Blowinski doesn't believe in.