My Theory On Predicting Long Term Range Breakout

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http://www.elitetrader.com/vb/showthread.php?s=&postid=870478#post870478

Quote from achilles28:

Would I share my trading idea? My 'edge'?

No way.


There is nothing to gain and absolutely everything to lose by sharing.

What do I gain by sharing an edge? Putting money in another traders pocket? That warm fuzzy feeling from being a 'nice guy'?

Like another poster mentioned, there are better ways to act charitably then enriching other traders with my hard work.

True, many ET members couldn't achieve profitability with a cash cow system even if it was spelled out for them.

But how many more members and lurkers who DON'T post could make that system profitable? Or code it and resell it? Only to have it resold again and again?

That’s a fantastic money maker right there - if a mechanical edge existed in the public domain and one had the programming skills to black box it. Or start a signals service. Or sell to a hedge fund. etc etc. Free money.

Discussing general market observations is a different idea entirely and something I’m open to.

Btw, thanks to Steve46, Acrary and others for pushing the importance of dependence and serial correlation in successful strategies. Those posts served to confirm my 'ideas' of market behavior.


On the other hand, if you're inclined to share an edge and regard 'cagey' traders – like me - paranoid for protecting an idea they unduly feel would 'self destruct' in the public domain, more power to you.

To each his own.


Btw, the idea that sharing an edge is an innocuous and harmless endeavor because ‘everything has been done under the sun’ is a red herring.

Every profitable strategy may have very well been conceived. But that DOES NOT mean each of those ideas has been completely defined and detailed in the public domain. Many of those profitable strategies are kept secret for good reason.

Honestly ask yourself if you developed a strategy that turned 5 grand in 5 million (im not saying I have), would you ‘share it’? LOL!!

And if you do manage to create an exceptional edge, what are the chances members of an internet chat board struggling for profitability can contribute anything meaningful to it??

Honestly.
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The problem with this seems to be that the "fundamentals" which are in trade in the forex are changes in interest rates.

And people respond to "anticipated" changes, not actual changes, usually.

This is all just doing trend-following well, right?

Central banks seem to have alot of serial correlation, so it's not unreasonable.
 
Quote from achilles28:

For myself, this theory could be applied to a type of 'fundamental' based filter that would engage after a period of
1) daily rangy trading
2) that corresponds with unchanged pair fundamentals

When fundamentals begin diverging a range bound period, entries for a trend following system can be put on.


I dont have the computing skills to test this yet. But in theory, the idea should hold.
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Is there anybody who could point me to learn some knowledge and skills about computerised backtesting of a trading system that use (quantitative?) "fundamentals" and "a type of fundamental based filters"?

Your help would be highly appreciated. Thanks in advance!

PS: My purpose of this backtesting is just for fun (of course you know that), seriously, "As opposed to getting into nitty gritty specifics about something thats actually proven.", that means some important input for the required backtesting will be unknown. :cool:


Quote from achilles28:

Point taken. But I think this little discussion we're throwing around falls more into this category re above:

"Discussing general market observations is a different idea entirely and something I’m open to. "

As opposed to getting into nitty gritty specifics about something thats actually proven.
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