New book on how traders are beating the HFT guys

Pjort said:
No time for backtesting, just do it... If it works it works as one guy in the book says, I recall....
More...

Trading without backtesting first is like jumping off a plane at 10.000 feet and saying "Gee, I wonder, is that a parachute or a backpack on my back? Oh well, I will find out soon, if it works it works..."
 
xelite777 said:
Trading without backtesting first is like jumping off a plane at 10.000 feet and saying "Gee, I wonder, is that a parachute or a backpack on my back? Oh well, I will find out soon, if it works it works..."
More...


Yeah, I should have back-tested the RAES arb for a while before jumping in.
 
I haven't read the book yet (just ordered it today) so I can't comment yet on what the traders in the book were referring to. It is very difficult to backtest a setup that a discretionary trader is looking for. For a systematic trader you need to back test but I don't believe you do need it for a discretionary trader. Instead, a discretionary trader might start with trading 100 shares of a setup and as he feels that its working slowly increase share size. If it doesn't work he moves on. The testing is done in the market...nothing can be more realistic than that.
 
drownpruf said:
Yeah, I should have back-tested the RAES arb for a while before jumping in.
More...

The probleme with arb trading is that it does not last long for the retail trader, sooner or later "Big Money" will notice what you are doing and will ALWAYS find a way to stop you from eating their lunch.

Unless you are one of them, of course.
 
textrader4 said:
For a systematic trader you need to back test but I don't believe you do need it for a discretionary trader.
More...

Of course you also need to backtest a discretionary system!

Just open your charting software, go back 10 or 15 years back, and start testing from let's say January 2, 2000, daily chart after daily chart, or whatever your time frame is, making sure you hide the data you are trying to predict.

Repeat this process after each buy/sell signal then see if you could have made a profit with no benefit of the hindsight, fictional trade after fictional trade, up to April 2014.
 
drownpruf said:
That was (if in reference to me) the RAES inter-exchange arbitrage on the single-name vol with multiple listings. The biggest trade was COMS (3Com) options prior to the Palm spinoff. Huge volume and an average +ev of $17 per car, $340 on a 20-lot minimum, and as fast as you could click the mouse. The party lasted a lot longer than a week, but I got into it very late. It was the trading in COMS that caused the OCC to initiate a halt whenever a quote was crossed. Then they hit us with fees, but it was over by then. Jerry Putnam wasn't in COMS as far as I know.

http://business.highbeam.com/435571/article-1G1-77105340/cboe-taxes-raes-bandits-cancellations

My apologies to Daal for not editing my piece... entirely not his fault as he asked me many times over a 6 month period.
More...

Drownfurw:
Thank you for the elaborating the story I myself mentioned so imprecise, I just really don't understand all its technicalities. Though a crazys story. The trader himself had people from his office to manually multiple the trade setup, getting the most money out of it as long as the setup worked. (hed had some carpel tunnel syndrome) Because of that he couldn't keep it as his own secret... (not because of the carpel syndrome, LOL)
Though probably some other persons/companies also figured the setup out simultaneously with.
 
xelite777 said:
Of course you also need to backtest a discretionary system!

Just open your charting software, go back 10 or 15 years back, and start testing from let's say January 2, 2000, daily chart after daily chart, or whatever your time frame is. Then see if you could have made a profit with no benefit of the hindsight, fictional trade after fictional trade, up to April 2014.
More...


I don't know of one successful discretionary trader who trades from chart-data.
 
Pjort said:
Drownfurw:
Thank you for the elaborating the story I myself mentioned so imprecise, I just really don't understand all its technicalities. Though a crazys story. The trader himself had people from his office to manually multiple the trade setup, getting the most money out of it as long as the setup worked. (hed had some carpel tunnel syndrome) Because of that he couldn't keep it as his own secret... (not because of the carpel syndrome, LOL)
Though probably some other persons/companies also figured the setup out simultaneously with.
More...

I was/am the guy (atticus).
 
textrader4 said:
I haven't read the book yet (just ordered it today) so I can't comment yet on what the traders in the book were referring to. It is very difficult to backtest a setup that a discretionary trader is looking for. For a systematic trader you need to back test but I don't believe you do need it for a discretionary trader. Instead, a discretionary trader might start with trading 100 shares of a setup and as he feels that its working slowly increase share size. If it doesn't work he moves on. The testing is done in the market...nothing can be more realistic than that.
More...

Thats exactly what the traders in the book mostly thought about it. I guess this approach favor my own trading style. And then probably a one easy reason for me to like the book. And then we got subjective about the matter, all the suddenly...

Thanks for sharing my interest about the book...
 
You must log in or register to reply here.
Back
Top