Murray Ruggiero's Dynamic Open™ Resurrects One of The Most Powerful Trading Methods of All Time

Murray Ruggiero said:
Not True, I did the analysis for another earlier project with Pinnacle data. We merge the Pit and electronic data and it happened between 2007 and 2009 depending on the market, so starting in 2010 is reasonable. If I backtested for 6 years you would of said I picked the right period curve fitting why not 7 years or 5 years. Also until the pit's closed the pit open offers a physiological crutch.

I also want to make a point Dynamic open was designed using Price/Volume relationship to simulate the pattern of the old Pit not by backtesting results.
More...

Back-testing results are very impressive. Any results of walk-forward testing, or forward testing you can share with us, Murray?
 
Here are my problems with this type of promotion..

ORB--- how robust are the results on a large portfolio of uncorrelated global futures contracts? How sensitive are they to parameter changes? How realistic are results when accounting for slippage and commission?
If the edge exists still why haven't much bigger funds arbed it away?

What is the anomaly that ORB traders are trying to exploit? I understand Marks Fishers point on % of time high or low of the day is set in first n-minute of trading compared to normal distribution. Its very skewed to beginning of the day. Does that still stand? Or did electronic markets change that? Did you find that famous U shape volume pattern has become more normally distributed?
I find it 10x more interesting if you actually explained what the anomaly is, then some magic entry backtest you over-optimized.
Did you test the orb to be a :
a) % of n-day $volume(contract * price) or contract volume ?
b) n-day look back peak volume time as new open?
c) Williams GSV with time filter ? EI take trades only if the GSV is breached in 10min from open.
d) Have you tried "TIME" exits like Mark Fisher uses?

NOBODY DOES detailed research.... Its terrible!
As an example here is a paper on ORB tested on 2 markets... REALLY?? 2 markets!!!!
http://www.christianlundstrom.com/2013/06/18/day-trading-profitability-across-volatility-states/

1> Almost everything in public domain sux. That's %99.99 of systems, tips, opinions etc.
2> Why not take a few people under your wing and make them super wealthy with your systems, instead of selling them to thousands that wont follow them anyways ?
3> I looked at Tuttle Tactical Asset Management Funds that you consult and develop strategies for with $160mil under management, and their numbers are rough. Aggressive fund returned -15% for 2015 and is down 8% so far this year. No good, granted numbers are only for 2 years. I think all their funds and ETF's are negative since inception. Perhaps a rough start ?
 
slavduja said:
Here are my problems with this type of promotion..

ORB--- how robust are the results on a large portfolio of uncorrelated global futures contracts? How sensitive are they to parameter changes? How realistic are results when accounting for slippage and commission?
If the edge exists still why haven't much bigger funds arbed it away?

What is the anomaly that ORB traders are trying to exploit? I understand Marks Fishers point on % of time high or low of the day is set in first n-minute of trading compared to normal distribution. Its very skewed to beginning of the day. Does that still stand? Or did electronic markets change that? Did you find that famous U shape volume pattern has become more normally distributed?
I find it 10x more interesting if you actually explained what the anomaly is, then some magic entry backtest you over-optimized.
Did you test the orb to be a :
a) % of n-day $volume(contract * price) or contract volume ?
b) n-day look back peak volume time as new open?
c) Williams GSV with time filter ? EI take trades only if the GSV is breached in 10min from open.
d) Have you tried "TIME" exits like Mark Fisher uses?

NOBODY DOES detailed research.... Its terrible!
As an example here is a paper on ORB tested on 2 markets... REALLY?? 2 markets!!!!
http://www.christianlundstrom.com/2013/06/18/day-trading-profitability-across-volatility-states/

1> Almost everything in public domain sux. That's %99.99 of systems, tips, opinions etc.
2> Why not take a few people under your wing and make them super wealthy with your systems, instead of selling them to thousands that wont follow them anyways ?
3> I looked at Tuttle Tactical Asset Management Funds that you consult and develop strategies for with $160mil under management, and their numbers are rough. Aggressive fund returned -15% for 2015 and is down 8% so far this year. No good, granted numbers are only for 2 years. I think all their funds and ETF's are negative since inception. Perhaps a rough start ?
More...

And crickets....
 
slavduja said:
3> I looked at Tuttle Tactical Asset Management Funds that you consult and develop strategies for with $160mil under management, and their numbers are rough. Aggressive fund returned -15% for 2015 and is down 8% so far this year.
More...
In fairness to Dr Ruggiero, he's promoting his software tools here, not his asset management firm.
 
Deuteronomy_24_7 said:
In fairness to Dr Ruggiero, he's promoting his software tools here, not his asset management firm.
More...

If his best methods, which are used to manage real money, cant make a profit, then what are the chances for the cheap stuff he is prepared to sell for a few hundred bucks.
 
Last edited:
Deuteronomy_24_7 said:
It's 'Tuttle Asset Management' not 'Ruggiero Asset Management.' I doubt he has any control over the portfolio.
More...

Well he says he has designed their core trading systems.

"Design and Development the core trading technologies and main consultant on development of trading strategies used for tactical asset management. Tuttle Wealth management current has over 160 million dollars under management, trading strategies which I have consulted on their design and implementation."
 
You must log in or register to reply here.
Back
Top