Quote from jack hershey:
At that time there was a question of whether indicators worked.
Scott posted a display
I annotated it correctly.
Then Scott and I engaged in starteing to put together the building blocks.
I posted the intial flow sheet to establish when signals could be read and when they could not. This was the initial position/intraday trading level. Level I.
We agreed on a systematic way to communicate using e-mails and the telephone. It involved, text, logic flow sheets, displays of charts and an Excel record keeping system to keep track of degrees of freedom and the logic relationships of the degrees of freedom (a generation breakdown).
I did post the four principles involved in this type of finite math work. It was deleted almost immediately by a moderator. At that point our team of four participants went underground using e-mails and phone calls.
Levels II through VI built on the deleted principles post.
Three two-line indicators were used for this intraday trading approach. Not much is published on the two-line indicator utility nor is there much published on how to integrate an interlocking set of three two-line indicators.
Wealth Lab is an incomplete system of snippets and tools. I discussed their coding system with them at exhibits, etc.. Fidelity is a sales oriented outfit mostly. It centers specifically on a CW oriented audience. This means and entry/exit orientation is the only approach that can be used in Fidelity and its products.
I notice your sales and marketing efforts here on ET are in parallel to Fidelity's.
Several years ago I made several suggestions to you to ease your transition away from the CW and toward the use of science and reason. Among other things I suggested that you make use of Bloxs (Worden Bros) to do a drag and drop of the level I of the Cash Cow and to do a useful logic set for the PVT one pager. This was to acquaint you with the Sharpe Ratios that systems built using science and reason have.
Your periodic review of an entry/exit version of something you found in ET that uses hold/reversal (Cash Cow, for you, is only a pre/post comparison of your entry/exit fidelity based snippets system that, as you say, makes no money and does not trade on an position or intraday trading basis.
To cut to the chase, the best thing you could do is code up the PVT one pager. Use a Universe that meets the prescribed criteria.
Neither Worden nor Fidelity has the capability to construct Universes. Today, anyone can go to any number of webb sites and with a few strokes get a Universe that is in an order related to "scoring". By using an Excel spread sheet a "hot List may be sorted out that tells you which stocks WILL BE going from 1 to 0 to 7.
By monitoring you have from the end of the DU to FRV transition in volume, a price count down that gives you 1 and 1/2 hours before price begins to move. This is plenty of time for even the slowest of students to be able to "get into" a hold to be able to make 50% of the 20% price volatility of any Universe listed stock.
The annualized results are found by calculating an exponent of the number of turns capital does per year. Use 240 for trading days and use 4 to 6 for the duration of trades (an average of 4 to 6 is 5). The profit per segment is as explained: 50% of 20%.
To get the multiple of initial capital to final capital, use 1 as intial capital and plug in the two values dictated above.
Use this integer result to find out what your inital capital grows to in a year. Do as many years as you wish individually. The final capital of a prior year becomes the intial capital of the next year.
To analyze a year. Make 52 Universes, one for each week. Use the software from the one pager to trade a given amount of inital capital. Do 5 to 10 years. Then find that the numbers you initially calculated have a statisitically significant connection to the test results.
At present, there is no data result on ET for this approach to trading except for one performance result I posted. The hold was 6.6 or 8.8 days (I can't remember which) and the profit per turn was 11.1% The ATS used was on a floppy disk and it originated in Sunnyvale, CA. The author stopped working and mostly travelled to trade and bird watch; he used a satelite feed.
Which confirms what I thougt at the time and explains a lot. Scottd had an in with you and three other people, they see your secrets, code it up, get to CW, then the rest of the levels are deleted.
Whatever information was in the posts to Scottd and especially deleted info makes it nearly impossible to figure out anything about your systems.
While I scanned for quantitative logic, you should know that I do optimize for sharpe ratios.
Last month, VAMI went from 1,000 in January to 2,800 by June.
The sharpe ratio I had during the time of that period was 15, and sortino was 19. Unfortunately that performance was unsustainable and coupled with the fact it's impossible to remove slippage even with a good broker now that the systems are resting in an area where they are the first tick of the bar it's been 4% per day since Monday last week, or about 50% per week.
On your system, Jack, if you still have the materials you shared with those individuals, please send them to
bwolinsky@kccapitalmanagement.com, and please know I'd only be interested in posting results, not code. The only reason I shared code last time was so people could duplicate my results using the ASCII data file I exported from Wealth Lab, and compare them with the easylanguage cash cow.
I don't know where you get the volume data for .SPX, but so much of the reason nobody believes you is because there are so few elitetraders that even bother with them. It's no wonder nobody believes you because that symbol is somewhat mysterious and the reason every ES 1 tick dumbass that thought your ATM is publicly available will just have to sit back and see if I really do ever progress beyond what's there. At this point it is impossible to progress because there is no information defined quantitatively succinctly enough to code since it has been deleted.
I could help with this, but until I have the information I need, including pseudo code, there is no way for anybody to engage in this conversation about how to progress forward because the information doesn't exist anywhere I can get to it, probably with good reason.
The idea that anybody could possibly have higher sharpes and sortinos than I had in May is laughable, and while I like the system Cash Cow, your PVT comments <b><u><i>never</b></u></i> define any of the values you're asking, making them just as unknowable as me telling you to recite <i>IQ and Income</i> without ever having seen the document.
This is what gets me so annoyed that if this information is so important to you that you want to share it, please do.
At this point, let me define what I need:
1) I have no definitions of PVT sufficient enough to create variables, inputs, or anything resembling a logical, robust system.
2) It is not clear why a bloxed parallelogram indicates market direction, and until it's backtested, it probably doesn't work very well.
3) Had I been privy to any of this information my responses would have been less harsh and probably more supportive, but if you don't get that this information you're asking me to duplicate to profit from the markets is not in any place accessible to me, can't you see why the student knows the teacher isn't really teaching?