Reality based coin-tosser method that beats 95% of traders in the world.

Trader666 · Oct 23, 2009

LMAO!!!! Projecting your inadequacies on me won't make you profitable... nor will grasping at straws which: 1) you're doing in this post because you know nothing about me and 2) you're doing in this thread because you know nothing about trading. Good luck, loser

Quote from Whisky:

It seems that "understanding price action" hasn't helped you much...as yesterday you were running Montecarlos for a 50-50 coin tosser and posting them on this 95% LOSERS thread.

When are you going to run the Montecarlos with the modified EXITS suggested?. Eh DOUCHE2?

Not man enough to apologize either. uh?

I bet you take your losses like a DOUCHE2 as well. Are you into watersports as well as it seems you like pissing on others, or that's only when you are too nervous to place a trade?.

sosueme · Oct 23, 2009

Quote from Mike805:

There is no advantage in employing correlated models/instruments other than when you're right - you're right big time (vice versa for losses). This is one execution model out of about 30, so while this one may take up to 200 correlated trades all losing/winning together, the other models will have just as many trades trying to exploit a different dynamic. The less correlation among independent models the better.

I figure 80% of the products I trade display a similar price characterisitc, hence the need for limits on model trading activity.

Some days, all all models just rock and I'm having a very good day, other days they cancel each other out (P/L wise) and I'm flat or moderately positive. Occasionally nothing works and I'm losing a good chunk. Overall, the combined equity curve from everything is very smooth. No one model can hurt the overall performance.

It really depends on the market dynamic...

Many thanks, seems like you have found a method of spinning straw into gold and no wonder you do not want to release details.

I am somewhat surprised you are not running the Euro and Asian markets at night since you are automated.

What about forex, are you cleaning up there as well.

sosueme

Whisky · Oct 23, 2009

Quote from Mike805:

See the previous attachments. This model was originally constructed for a portfolio, hence its individual behavior will be different across CL, TF, YM, AD, equities etc. When looking at the portfolio results I have a ton of trades and a smoother curve, but when looking at individual products the curves are rougher as the model is not "fit" to individual products, but rather for all products with non-product-specific conditions.

The 5min chart is just what I had up, its not time frame dependent.

Can you generate an equity curve with these conditions?:

If Flat:

Only enter the first trade on whatever instrument that triggers in a portfolio of very liquid instruments, no more.

You can enter a second trade on whatever instrument triggers, after the first trade is liquidated. Set the risk at the same amount.

How many trades do you come up with in 12 years with the above conditions?.

i.e.: No simultaneous diversification of risk.

Trader666 · Oct 23, 2009

WOW!!! This is hilarious coming from you, Jack, given how many times you've TRAPPED YOURSELF with delusional claims of grandeur (like routinely making 3X daily range in ES)!!!!

Quote from jack hershey:

Intelligent people do not get caught in traps, usually.

Whisky · Oct 23, 2009

Quote from MAESTRO:

In any not Normally Distributed stochastic process (i.e. price fluctuations in the markets) the number of zero crossings is less then normal and deviation is wider than normal. The difference = your profit. It is that simple!

Thanks for the arc sin law thingee. It sounds awfully familiar to "cut your losses short, and let your profits run". I.e.: It's all about exits.

MAESTRO · Oct 23, 2009

Quote from Whisky:

Thanks for the arc sin law thingee. It sounds awfully familiar to "cut your losses short, and let your profits run".

Exactly! Itâs just a mathematical formalization of an old traders' wisdom. Nassim Taleb runs this algorithm too.

Mike805 · Oct 23, 2009

Quote from sosueme:

Many thanks, seems like you have found a method of spinning straw into gold and no wonder you do not want to release details.

I am somewhat surprised you are not running the Euro and Asian markets at night since you are automated.

What about forex, are you cleaning up there as well.

sosueme

Thanks but it is never easy. I have drawdowns just like every one else and one always wonders when the edge will disappear. There is no such thing as easy money in this business. No model is perfect and I've had some awful down days (9/29/2008 was my worst in recent memory...). When things go wrong, they go wrong quick and its painful...

I want to move into foreign markets, but, that presents a challenge I don't have time for yet.

I do trade currency futures, never forex.

Mike805 · Oct 23, 2009

Quote from Whisky:

Can you generate an equity curve with these conditions?:

If Flat:

Only enter the first trade on whatever instrument that triggers in a portfolio of very liquid instruments, no more.

You can enter a second trade on whatever instrument triggers, after the first trade is liquidated. Set the risk at the same amount.

How many trades do you come up with in 12 years with the above conditions?.

i.e.: No simultaneous diversification of risk.

Hmmm, so take one trade, exit it and only then take another? Serial only, no-parallel is what you're saying?

Interesting. I'll give that a try.

Whisky · Oct 23, 2009

Quote from Mike805:

Hmmm, so take one trade, exit it and only then take another? Serial only, no-parallel is what you're saying?

Interesting. I'll give that a try.

Yes. Serial, at the highest frequency possible, without diversification. Taking about same risk per trade. See how many trades per year, and draw equity curve for 12 years, then we try to apply Money Management. Pick the most liquid instruments only.

wutang · Oct 23, 2009

Quote from MAESTRO:

Exactly! Itâs just a mathematical formalization of an old traders' wisdom. Nassim Taleb runs this algorithm too.

Very interesting. So does that mean a stop loss is fixed and purely a function of money management? And if it doesn't get hit you have some sort of signal for a reversal which gets you out with a profit?