Is it getting harder?

[YuforaCapital]

Quote from the1:

I would agree in part. I spend more time analyzing my trading results than I do analyzing the markets but I don't spend all of my time analyzing the losers. I analyze the losers, relative to the winners and I'm espcially concerned with the amount of profit that is generated for a given amount of risk assumed. The reward, or potential reward, must always be bigger than the risk or potential risk. As you would expect there's an element of art associated with this type of analysis because if my methods say a 3 point profit potential was there vs. a 1 point loss it doesn't necessarily mean that was the case.

I analyze the markets to detect subtle changes in the character of the market that lead to dramatic changes in the character of the market. Diito for my trading results. Everything has to be analyzed relative to historical performance Trading is a process of analyze, adjust, implement, and repeat, that never ends because the market character never stays the same. Suffice it to say, I don't believe the black boxes work without going through the above mentioned process. And then there's the analysis of you mental state. Does the grind ever get easy? Not a chance. That's the thing that keeps us coming back

Did LONG TERM CAPITAL MANAGEMENT have a black box? I'm quite sure they did.

 

[the1]

+1 One and only one strategy will lead to financial ruin in the long run. A mean reversion system will fail miserably when volatility dries up, which has been the case up until recently. Now a mean reversion strategy is beginning to show some promise. The correlation between moderalte to high volatility and a mean reversion strategy is very high. Likewise, a trend following strategy has a high correlation to a non-volatile market. I prefer the unit root test to determine if we are in a non-stationary environment or a trend stationary environment. When a unit root problem is present fade and exit quickly. When it is not follow and ride. Most certainly not the holy grail.

Quote from mwingo1135:

IT depends on the type of strategy. If your strategy deals with range or chaos the range in all investment markets have changed over the years.

If your strategy is dealing with trends then a trend is a trend until it bends.

I have multiple strategies. But I have a trend strategy I backtested to the 80's and it worked all the way through all the previous crashes and it works in current market.

So it depends on the type of trading your doing and range trading works in current market but you may have to readapt the strategy in later years.

 

[mdl060374]

Quote from intradaybill:

Then this should be a small size paradise. Empirical evidence says though that small size is hit harder than large size. Unless empirical evidence means nothing to you.

define "is it." If you are trading a strategy that larger players ignore, then they arent your competition.

Trading is zero-sum. Unless you show to us how one can win without someone else losing money. Your example is false because it does not consider the losers of the transactions.

I did in my example. This isnt that complicated.... Now one can say, I made moneyBUT I could have made more if I held a bit longer, but that isnt what we are arguing... both can make money..

Again, not complicated..
If I bought a stock at $1 and sell it at $5 3 months later, I made money. if a scalper buys my $5 block, and sells is at $5.10, he made a profit...

Who is the loser in this scenario?

. [/QUOTE]

 

[intradaybill]

Quote from mdl060374:

If I bought a stock at $1 and sell it at $5 3 months later, I made money. if a scalper buys my $5 block, and sells is at $5.10, he made a profit...

Who is the loser in this scenario?

The loser is he who doesn't understand that each transaction must, by defintion, involve two people.

Bye

 

[intradaybill]

Quote from januson:

A bit of a truism I think

If an equity only goes up, then each time it is traded, each owner will profit from it. Of course there will be owners that earn much or less, but no one will loose money on it.

Why do you say there are losers in a transaction?

NB: I know it's different with shorting - or is it?

Think about it: is it possible to get a profit posted in your account if nobody else loses? Where will it come from?

I don't like to start calling soem of you naive, but some people in these threads are trully naive, have no basic understanding how a back office works and how markets transact but believe instead that equities rise magically without someone losing money in the process.

Neither I have time for this. This is too basic.

Bye

 

[Occam]

Quote from intradaybill:

Think about it: is it possible to get a profit posted in your account if nobody else loses? Where will it come from?

Evidently, you're the one who needs to start doing some thinking. Yes, it is possible, and an earlier poster gave an example of precisely this scenario...

 

[Occam]

I would say it is getting harder in many "purely mechanical" strategies, as there's so much competition from algorithmic traders as transaction costs go down and systems improve. But as the short-term market approaches ever greater efficiency, it may also make other types of trading/investing more profitable, especially when it's based on factors that computers and/or equations can't yet take into account, such as a company's product lineup and outlook.

 

[mdl060374]

Quote from Occam:

Evidently, you're the one who needs to start doing some thinking. Yes, it is possible, and an earlier poster gave an example of precisely this scenario...

Lost cause. By his logic, 100% of traders are losers unless they buy the all time low and sell the all time high.

 

[stock777]

y'ever notice how many folks claim to have a 'system' that kills the market.

I've counted 32,677 in the last 10 years alone.

rarely if ever a backtest to prove it

oh yeah, that would give it away. like saying I'm really from Mars but I can't show you my spaceship.

 

[bone]

Just curious, a bit off-topic, but how does one backtest the discretionary elements of a trading system or strategy ? For example, what if the entry was discretiionary, but the exit was a rules-based mechanical expression ?