Intraday reversal strategy (CL) - comments welcome

[bwolinsky]

The typical response to any criticism despite welcoming comments is denial.

 

[dom993]

Quote from bwolinsky:

The typical response to any criticism despite welcoming comments is denial.

The problem is A) you are making grand statements without giving any explanation to support these statements and B) you discuss anything except the specific aspect I am seeking feedback on.

This isn't a thread for anyone to prove anything ... but I would really appreciate if someone could give me pertinent feedback on the recent drawdown characteristics.

 

[dom993]

Quote from bone:

Well, the lack of relevant feedback should be very informative to you if you are not blind to the message about your strategy.

Alternatively, pleased be advised that Kase Pivots, Jan Arps, DiNapoli, Andrews Pitchforks, or any the generic swing reversal studies that I am aware of on LIVE intraday CL Nymex data is a shit show.

Linda B. Ratschke uses combination studies for specific timeframes to make it work - provided she believes the market is not trending ( that's a trick ). It takes alot of experience to make it work, because you will get your ass handed to you and give alot/most/all of it back when the market finds a new trading range and value/control area.

My advice would be to use it in conjunction with MP, and not keep going to the well when the market is persistently finding fresh highs or lows.

And you'll still get sodomized.

But go ahead and try.

What's obvious is that you are lacking anything pertinent to say on the topic of interest. Why don't you keep quiet then?

 

[dom993]

Quote from austinp:

You are describing a very common trap-spring price pattern I've traded for a few years now... it's one core component of how markets move based on computer programs clearing stops one direction and then v-turn reversing abruptly the opposite.

The overall setup is what we label "key-reverse" sequences. You will not be able to automate it based on system language alone, because the 1-2-3 structure of the general pattern is too varied. But once you define the parameters on a discretionary basis, it is money $$$

Thanks, it is nice to know I am not the only one to see & trade this pattern.

You'd be surprised with what I can do in automation ... and probably even more when I tell you all the strategy is done using Ensign DYOs - but this isn't on topic, is it?

The real topic is, how far from the mean can drawdown go - and recover (assuming a valid strategy)?

 

[dom993]

Quote from HurricaneUS:

oh what the hell....I'll throw you a bone...no pun intended...

dump the mechanical systems because they will always fail....you don't have the programming experience or resources necessary for a reliable automated system


Why do mechanical systems ultimately fail for retail traders no matter how much effort they put into them?

Because they will always lack context. You can't really program context into a mechanical system (unless maybe you have deep pockets like goldman sachs).

What is context?
I'll leave you to ponder this question...but i'll get you at least started with some pieces....momentum....intuition......etc...etc..etc

Wow, you really helped ... I like your remake of the EMG classic

"mechanical systems will always fail - they just fail"

 

[bone]

Quote from dom993:

Thanks, it is nice to know I am not the only one to see & trade this pattern.

That is not what you said in your opening post:

Quote from dom993:

I am quite concerned by the amount & the duration of the recent drawdown period. I did MC sim using the trade distribution up to the start of the drawdown, for a number of trades corresponding to what happened since (108 trades) ... the 7,000 drawdown is 4 std-dev away from the mean, and the drawdown duration itself (96 trades) is 8 std-dev away from the mean. But I really lack experience to interpret these figures, and I would appreciate your comments/feedback.

So, BS on you. You don't trade it. And you are sceptical of a pattern you see, and you are rightfully terrorized by the predictable drawdowns experienced by your simulation efforts to date regarding the system, you post it for the world to see, invite criticism, and then shoot everyone down who tries. Why bother ?

 

[tobbe]

Quote from Zr1Trader:

False,

Read WRBtraders hammer thread and program that come back with your report thanks! Too many moving parts , context, news, supply /demand zones on various timeframes. Entry , exit. Way too complex. Not saying one day it can't be done, but not today.

WRB is a vet and I'm sure he can explain better if you want to contact him about trying to automate some of his methods. Many have tried and failed miserably yet he trades with only a few loss days a year.

My question was -- can you teach a method to someone else if you can't program it? Of course the task of programming a system can be daunting, but if you can't explain the "rules" to something as stupid as a computer, how can you explain them to a fellow human?

OP, sorry for posting OT. I wouldn't trust MC analysis for anything .

 

[tobbe]

Quote from austinp:
what cannot be written by anyone who frequents a public message board is the complex nuances of management for the various scenarios involved with this equation.

So it's them complex nuances of management that makes the system profitable?

Quote from austinp:
The human mind can watch what unfolds, how it unfolds and most importantly, how it is filtered by other key price measurement tools.

I still don't see how a computer would fail at observing the exact same things if you told it to. Unless of course, "what unfolds, how it unfolds and how it's filtered" aren't exact rules but "intuition" - but then again, you can't teach that either which was my point to begin with.

Just sayin'.

 

[dom993]

Quote from bone:

Why bother ?

Exactly! You have nothing to say on the topic of interest, so shut-up - there is nothing wrong for you to stay out of this thread, you have nothing to prove, and nothing for me either.

 

[sheepsucker]

Hi,

I have actually seen a similar thing in a strategy of mine, not the same instrument but in a correlated one.

Some general comments:
It appears based on your comments and the results, there could be an element of curve-fitting present.
However, there could be an edge, BUT maybe it is not as big or reliable as the backtests indicate.

Hope this helps a bit!