Mental Ceilings and self fulfilling prophesies
- Thread starter Girlpower
- Start date
OK Folks,
Since I don't want to be a spoilsport, and give DT-waw some samples on the way, I'll give you a brief peek into one of my trading systems.
This is one of the systems I'm currently using in order to build my "elite" hedge fund. I generally run 10 different systems at all times, next to my discretionary trading. My systems include 1-minute, 3-minute, 5-minute, 10-minute and 15-minute timeframes.
I don't trade daily systems (anymore), since I don't like overnight exposure. However, quite often I will take a position through overnight on the 10-and-15-min systems, since the signals tend to be strong.
Anyway, this is the ESU3 5-Min on Friday, August 9, 2003, under one of my systems named LBC-HIAP-AD-RV-TR0BT83-V239.1-X9-TF5M. But let's just call it "The 11th System".
By the way, the "HIAP" stands for "Human Intelligence Analysis Project" and is about one of my theories of essentially predicting people's stupidity, but also the drivers of fear, greed, the cause of reversals and other distinctive market actions. "HIAP" has now become "AHIAP", with the extra A standing for "Advanced", since I just had a major behavioural research breakthrough, making the HIAP systems essentially obsolete. This particular system was in fact my 239th system of the HIAP category! A lot of systems got dumped in the process, though
As you can see, the system performed even under the extreme conditions of this very rangebound day.
The system is very adaptive- It trades both in trending as well as oscillating conditions, which makes it exceptional.
System Specs:
System Style: Both Reversal & Trend. Identifies Trend changes early / as they happen by utilizing volume accumulation percentage, trix momentum divergence, money flow, CCI, chaikin level peaks & divergences. Since the underlying systems are mainly oscillator-based, we can call it a reversal / oscillator system.
TimeFrame: 5min
Trades/Month: >100 / 4-5 per day
Backtest Hitrate: 84% (5 weeks)
Current Fwdtest / Actual trade Hitrate: 71% (12 days / 43 trades)
Backtest annualized % return: 2,630%
Forward Test ann.% return so far: 1,205%
Annualized returns calculated on margin of $5,000 per contract
The secret to the success of the system is not the high hitrate, but the small adaptive (initial) stop-loss regime.
I have systems with a hitrate of only 32% that still outperform this system! They do it with even tinier stoplosses (tiny= 0.3 - 0.7 ATR!). Hitrate is basically insignificant, unless you have an ego problem.
Basically, it is a reversing signal system that has you in either a short or long pos at all times. However, the advanced money management parameters are what causes more than 70% of the performance returns of this system. Not only is it reversal-based,
but it also trails every winning trade with painstakingly attuned fibonacci-based trailing stops, most suitable for this particular market, plus it has target profit stops to lock in and close exceptionally quick moves / profitable trades! This is what makes all the difference. The system has both adaptive (ATR-based) trailing fib stops and profit targets, as soon as a trade is entered! In fact, the money management models, which have been painstakingly attuned to this particular futures contract, increase the %return of this system by the factor 6.5! Meaning, the system would yield less than 200% p.a.
The system is designed to account for very pessimistic slippage and commission factors. Slippage/Comm. are accounted to be 1pt per trade!
Only if the system considers the gain worthwhile despite the 1pt initial setback, will it consider entry. Today, under mean conditions, the system yielded (as seen) a total of 11.75pts minimum (mid-to-end-sectioning trigger bars!) After all this,
plus deducting my aggressive total of 8pts in S/C, the total would still have been 3.75 pts. I expect an excellent system to net a mimum 3-5 pts per day before using it under real trading conditions.
You may have wondered here, thinking all I do is trading discretionarily. This is not the case. I studied systems for years, and still do, next to my disc. trading. I run 10 systems n'sync during the day as a balance to my disc. trading. I hardly pay any attention to my trading systems, though. I tune them, yes, but essentially, when a signal fires, I look at it, execute with, whatever, a few contracts, and then go back to my 'real' trading.
This is my '11th system', which is why you're allowed to see some inside details of it. It's essentially coming up for 'obsolescence'... However, I won't answer too many questions about the inside details - As you might understand
But despite all that - Pardon me to say this - but at the end of the day, this is just a lame trading system, and every trading system is lame. Trading discretionarily can outperform this by far. The system is still based on singular kinds of setups, so it can never possibly exploit all forms of market opportunities, the way a discretionary trader easily can.
Trading mechanically is so inferior - You can't consider market action, bias, T&S, depth - The potential of discretionary trading is limitless. While mechanical trading seems easier and like less work, it comes at a large price. You will never achieve exceptional results with a system. I have tried everything, and I doubt anybody but a knock-out veteran systems wizard can outperform my systems at this stage. Still, even a halfway good discretionary trader can beat the crap out of them. Just look at Jack Hershey, who considers 300% of the daily range a reasonable return on the ES. A mech system will never be able to do this - However, at this stage I start to believe that a continuous, comprehensive, fractal discretionary approach can achieve this, although I'm still faaaar away from Jack/bubba7's performance...
But I'm working on it...
Please find attached a 3-day chart of that system (the last 3 days), with the equity curve below.
~Scientist
Since I don't want to be a spoilsport, and give DT-waw some samples on the way, I'll give you a brief peek into one of my trading systems.
This is one of the systems I'm currently using in order to build my "elite" hedge fund. I generally run 10 different systems at all times, next to my discretionary trading. My systems include 1-minute, 3-minute, 5-minute, 10-minute and 15-minute timeframes.
I don't trade daily systems (anymore), since I don't like overnight exposure. However, quite often I will take a position through overnight on the 10-and-15-min systems, since the signals tend to be strong.
Anyway, this is the ESU3 5-Min on Friday, August 9, 2003, under one of my systems named LBC-HIAP-AD-RV-TR0BT83-V239.1-X9-TF5M. But let's just call it "The 11th System".
By the way, the "HIAP" stands for "Human Intelligence Analysis Project" and is about one of my theories of essentially predicting people's stupidity, but also the drivers of fear, greed, the cause of reversals and other distinctive market actions. "HIAP" has now become "AHIAP", with the extra A standing for "Advanced", since I just had a major behavioural research breakthrough, making the HIAP systems essentially obsolete. This particular system was in fact my 239th system of the HIAP category! A lot of systems got dumped in the process, though
As you can see, the system performed even under the extreme conditions of this very rangebound day.
The system is very adaptive- It trades both in trending as well as oscillating conditions, which makes it exceptional.
System Specs:
System Style: Both Reversal & Trend. Identifies Trend changes early / as they happen by utilizing volume accumulation percentage, trix momentum divergence, money flow, CCI, chaikin level peaks & divergences. Since the underlying systems are mainly oscillator-based, we can call it a reversal / oscillator system.
TimeFrame: 5min
Trades/Month: >100 / 4-5 per day
Backtest Hitrate: 84% (5 weeks)
Current Fwdtest / Actual trade Hitrate: 71% (12 days / 43 trades)
Backtest annualized % return: 2,630%
Forward Test ann.% return so far: 1,205%
Annualized returns calculated on margin of $5,000 per contract
The secret to the success of the system is not the high hitrate, but the small adaptive (initial) stop-loss regime.
I have systems with a hitrate of only 32% that still outperform this system! They do it with even tinier stoplosses (tiny= 0.3 - 0.7 ATR!). Hitrate is basically insignificant, unless you have an ego problem.
Basically, it is a reversing signal system that has you in either a short or long pos at all times. However, the advanced money management parameters are what causes more than 70% of the performance returns of this system. Not only is it reversal-based,
but it also trails every winning trade with painstakingly attuned fibonacci-based trailing stops, most suitable for this particular market, plus it has target profit stops to lock in and close exceptionally quick moves / profitable trades! This is what makes all the difference. The system has both adaptive (ATR-based) trailing fib stops and profit targets, as soon as a trade is entered! In fact, the money management models, which have been painstakingly attuned to this particular futures contract, increase the %return of this system by the factor 6.5! Meaning, the system would yield less than 200% p.a.
The system is designed to account for very pessimistic slippage and commission factors. Slippage/Comm. are accounted to be 1pt per trade!
Only if the system considers the gain worthwhile despite the 1pt initial setback, will it consider entry. Today, under mean conditions, the system yielded (as seen) a total of 11.75pts minimum (mid-to-end-sectioning trigger bars!) After all this,
plus deducting my aggressive total of 8pts in S/C, the total would still have been 3.75 pts. I expect an excellent system to net a mimum 3-5 pts per day before using it under real trading conditions.
You may have wondered here, thinking all I do is trading discretionarily. This is not the case. I studied systems for years, and still do, next to my disc. trading. I run 10 systems n'sync during the day as a balance to my disc. trading. I hardly pay any attention to my trading systems, though. I tune them, yes, but essentially, when a signal fires, I look at it, execute with, whatever, a few contracts, and then go back to my 'real' trading.
This is my '11th system', which is why you're allowed to see some inside details of it. It's essentially coming up for 'obsolescence'... However, I won't answer too many questions about the inside details - As you might understand
But despite all that - Pardon me to say this - but at the end of the day, this is just a lame trading system, and every trading system is lame. Trading discretionarily can outperform this by far. The system is still based on singular kinds of setups, so it can never possibly exploit all forms of market opportunities, the way a discretionary trader easily can.
Trading mechanically is so inferior - You can't consider market action, bias, T&S, depth - The potential of discretionary trading is limitless. While mechanical trading seems easier and like less work, it comes at a large price. You will never achieve exceptional results with a system. I have tried everything, and I doubt anybody but a knock-out veteran systems wizard can outperform my systems at this stage. Still, even a halfway good discretionary trader can beat the crap out of them. Just look at Jack Hershey, who considers 300% of the daily range a reasonable return on the ES. A mech system will never be able to do this - However, at this stage I start to believe that a continuous, comprehensive, fractal discretionary approach can achieve this, although I'm still faaaar away from Jack/bubba7's performance...
But I'm working on it...
Please find attached a 3-day chart of that system (the last 3 days), with the equity curve below.
~Scientist
Now here is the same system's equity curve over the same timeframe WITH the advanced money management models, all parameters tweaked, but not optimized in a way that would inhibit future performance...
Notice how smooth the equity curve is now. Plus, the gains are increased by factor 6.5!
That's what I call an equity curve
~Scientist
Notice how smooth the equity curve is now. Plus, the gains are increased by factor 6.5!
That's what I call an equity curve
~Scientist
Hey Scientist, I like your enthusiasm for the markets just try not to burn out with this stuff keep it up though. And ignore all these "Elite Trader" negative blow hards who believe that their experience or their current trading realilty has ANYTHING to do with other traders potential or realities. These guys are talking out of there a%%es. We all know who they are. They are the ET regulars and make it what it is today .
-----------
The market isn't imposing any limits on your potential performance. The markets provide you with opportunities day in and day out to put on or take off a trade. I say don't impose any self restricting "mental ceilings" because that is just in your head, definately not in the movement of markets.
keep it up though. And ignore all these "Elite Trader" negative blow hards who believe that their experience or their current trading realilty has ANYTHING to do with other traders potential or realities. These guys are talking out of there a%%es. We all know who they are. They are the ET regulars and make it what it is today . -----------
The market isn't imposing any limits on your potential performance. The markets provide you with opportunities day in and day out to put on or take off a trade. I say don't impose any self restricting "mental ceilings" because that is just in your head, definately not in the movement of markets.
http://www.elitetrader.com/vb/showthread.php?s=&threadid=19359
interesting results in there...
Best
Natalie
interesting results in there...
Best
Natalie
Scientist,
Congratulations on demolishng a straw man of your own creation. I believe the point we made was that virtually no one has made these superhero returns OVER A PERIOD OF YEARS. Not days. Certainly not in backtesting. OVER A PERIOD OF YEARS.
Congratulations on demolishng a straw man of your own creation. I believe the point we made was that virtually no one has made these superhero returns OVER A PERIOD OF YEARS. Not days. Certainly not in backtesting. OVER A PERIOD OF YEARS.
Dear Brother AAA,
As much as value you for all your great contributions to this board over time, as well as being one of the most credible ET members, I must strongly disagree with your notion. Because this guy is the opposite of what I just described you as.
Straw man? That's not funny. This guy takes every chance to lift his leg on me. Every single chance.
I have nothing against constructive criticism, but why should I tolerate, not to even mention take insults, slander, destruction of my threads and ridicule of sincere and honest posts, on a consistent and never-ending basis?
He's asked for war, and he laughed at me. The just wait patiently for their time to come, because the tables turn eventually to those who know. I assume you know that well. The pen is mightier than the proverbial sword. His sword is wearing blunt.
I proposed peace to him on SEVERAL occassions, and he didn't accept. Is it my fault? Let me ask again: Is it my fault? You can volunteer to act as a mediator on this dispute if you like, but I am still waiting for his apologies. If he won't bother, he'll end in the realms of FPC & Co, with all the other flamers.
I'd just like to let you know that I just got 3(!) PM's from people congratulating me on these posts regarding DT-waw. I cannot sanely assume that this is coincidence at all. As you can also see, by reading this thread, he's already made some unpopular statements here, which obviously weren't appreciated. Keep the good threads clean, please.
So much for the straw man issue.
All the Best, Brother AAA
~The Scientist
P.S: And by the way, I gave DT lots of constructive and potentially very helpful information in the last few posts, out of generosity and pity to him. I'm not even getting your point. Although aggressive (with good reason), I replied to all his implications, and told him how he could do it better. This is something DT-waw has NEVER attempted. If he knows to use this well, it might transform his life as a trader. After all, he obviously doesn't seem very happy where he is right now. It's not my fault alone. It's up to him.