mark brown said he found the holy grail.
- Thread starter trend2009
- Start date
Just ran across this interview with Ann Barnhardt, the commodity futures trader who famously shut down her firm just weeks ago out of a complete lack of confidence in the political and financial systems in which she operated. Basically saying about the CME what MB mentions above.
This scares me.
http://www.netcastdaily.com/broadcast/fsn2011-1201-1.mp3
Kel08,
Holding a losing position in hopes that it will revert can work if the initial deviation was caused by an exogenous shock. Exogenous shocks are usually short term in nature.
However, for the market to deviate from its expected path for 4 months is long term. Some fundamental market dynamic has changed.
The way you described your situation, it was as if, you were running a black box where you were unaware of the logic of your indicators.
Once you start generating a series of losses, most would immediately investigate each loss to determine why actual was deviating from expected. This is related to
âI think I also asked this question of Lawrence Chan sometime back and he suggested that you could see the trading statistics deteriorate well before the system blew up but to be honest I didn't fully understand what he meant.â
Again - Without additional information on the market, time period traded, and system used, additional insight can not be provided.
Holding a losing position in hopes that it will revert can work if the initial deviation was caused by an exogenous shock. Exogenous shocks are usually short term in nature.
However, for the market to deviate from its expected path for 4 months is long term. Some fundamental market dynamic has changed.
The way you described your situation, it was as if, you were running a black box where you were unaware of the logic of your indicators.
Once you start generating a series of losses, most would immediately investigate each loss to determine why actual was deviating from expected. This is related to
âI think I also asked this question of Lawrence Chan sometime back and he suggested that you could see the trading statistics deteriorate well before the system blew up but to be honest I didn't fully understand what he meant.â
Again - Without additional information on the market, time period traded, and system used, additional insight can not be provided.
I didn't listen to the link provided. I did go out to Ann's website - http://barnhardt.biz/ She is eccentric, however, she does have the balls to say some things that ring true.
I can confirm this behaviour do exist on many models.
Lawrence,
I am not saying that it never works. I am saying that without knowing more about the type of model you are talking about it is a broad generalization.
Holding on to a large loss might recoup if the loss was generated by a short term event. Hence better advise for short term trading models - day//week.
Without knowing anything more - would you give this advise to someone who told you that his model generated large losses 4 months in a row?
Better advise is to examine losing trades and try and determine what is different between these trades and trades done during the testing period. Why would you not want to do this?
I am not saying that it never works. I am saying that without knowing more about the type of model you are talking about it is a broad generalization.
Holding on to a large loss might recoup if the loss was generated by a short term event. Hence better advise for short term trading models - day//week.
Without knowing anything more - would you give this advise to someone who told you that his model generated large losses 4 months in a row?
Better advise is to examine losing trades and try and determine what is different between these trades and trades done during the testing period. Why would you not want to do this?
RE: Barnhardt interview
Here is the transcript
http://www.financialsense.com/contributors/2011/12/02/ann-barnhardt/interview-transcript
ok as I read the transcript again she really seems extreme as others have said ....but...
For me the points I would be concerned with is:
are segregated accounts truly segregated. Are they in Tbills as is traditional when not used to offset positions - obviously that was not the case at MF Global. Somebody should be going to jail there.
The Federal Reserve gave MF Global coveted status of primary dealer - reserved for only firms with impeccable reputation - ha!
Since this is a self regulating industry - it was the primary responsibility of the CME to ensure segregation of clients accounts - somehow they failed - they should have known.,
What is the CME doing freezing accounts some with open positions and not allowing clients to close out these positions under such extreme considtions - costing clients even more money.
Is this happening elsewhere - how do I know - what is the extent of broker ties to other derivatives as Barnhardt alludes
Also to what extent is the following true which Barnhardt also mentioned: bankruptcy "reform" law in 2005 placed derivative claims in front of depositors in a business failure - including a bank failure.
I thought the following was a good non-emotional article:
http://www.economicpopulist.org/content/when-even-clearing-houses-start-malfunction
Here is the transcript
http://www.financialsense.com/contributors/2011/12/02/ann-barnhardt/interview-transcript
ok as I read the transcript again she really seems extreme as others have said ....but...
For me the points I would be concerned with is:
are segregated accounts truly segregated. Are they in Tbills as is traditional when not used to offset positions - obviously that was not the case at MF Global. Somebody should be going to jail there.
The Federal Reserve gave MF Global coveted status of primary dealer - reserved for only firms with impeccable reputation - ha!
Since this is a self regulating industry - it was the primary responsibility of the CME to ensure segregation of clients accounts - somehow they failed - they should have known.,
What is the CME doing freezing accounts some with open positions and not allowing clients to close out these positions under such extreme considtions - costing clients even more money.
Is this happening elsewhere - how do I know - what is the extent of broker ties to other derivatives as Barnhardt alludes
Also to what extent is the following true which Barnhardt also mentioned: bankruptcy "reform" law in 2005 placed derivative claims in front of depositors in a business failure - including a bank failure.
I thought the following was a good non-emotional article:
http://www.economicpopulist.org/content/when-even-clearing-houses-start-malfunction
not answering for lawrence but - we are trying to give some general advice. some fit all that works for me lawrence and rick saidenberg some pretty notable systems people.
your question about 4 months in a row - yes i did that it was over 6 months in a row. we are not talking about bank cd interest paid monthly here. that shit happens, so you need to be prepared for drawdowns if you system trade.
plus in the heat of the battle is not the time to stop and analyse - so you analyze what do you do stop trading? would you twiddle your thumbs and what will happen the system will then have a string of winners as you set there with no money on the position.
this is what we are trying to tell you.
not that anything is wrong with trying to figure out what went wrong, just don't stop trading the model on a down note cause odds are it will sync back up and you will be devastated even more.
m
your question about 4 months in a row - yes i did that it was over 6 months in a row. we are not talking about bank cd interest paid monthly here. that shit happens, so you need to be prepared for drawdowns if you system trade.
plus in the heat of the battle is not the time to stop and analyse - so you analyze what do you do stop trading? would you twiddle your thumbs and what will happen the system will then have a string of winners as you set there with no money on the position.
this is what we are trying to tell you.
not that anything is wrong with trying to figure out what went wrong, just don't stop trading the model on a down note cause odds are it will sync back up and you will be devastated even more.
m