Why can't you answer this question yourself? Just pretend you don't know the logic behind it and try to reverse engeneer based on available data.
Reverse engineering someone else's edge by analyzing open/close trades history?
- Thread starter heispark
- Start date
Hi Electric,
Imagine a system that trades multiple commodities, at odd times, with no indicators, purely price action. Sometimes trades last minutes, sometime almost 24 hours. How will you reverse engineer it???
The poster asked of it were possible. Right?
Es
Es
Not again <slaps forehead>. If I had $1 for every 'can you reverse engineer' post on ET I've seen, I'd have about $22.
No, not possible. You can work out someones 'style' from trades (basically beta, factor exposure), but not any alpha they are adding. @Option_Attack is right.
GAT
When people talk about this secret edge, so many ideas come into my head. You must either be talking about trading highly-liquid instruments, scalping for millions of units at light-speed. Or trading highly-illiquid instruments by spoofing for millions of units at supra-luminal lightspeeds and gaining profits illegally.
Maybe you are talking about 40,000,000 million shares of Amazon at .00003 per share in a dark pool, or are you are talking about 1 lot of an option or future? What defines an edge? In my world of futures, unless I am trading the maximum aggregate monthly limit lot size in a single trade, in a single day, what edge do I have, other than to be a road-block? What gives on this edge shit?
Does nobody here look at a price ladder? What is this edge I hear of all the time? Can anybody show me this edge in action on a price action, in real time?
And I can already hear the bullshit responses being formulated..."If I showed it to you, it would not be an edge," which I will call bullshit on.
Who here NEVER got a fill on their trade because their "edge" was blown? I bet ZERO. Fucking edges.
Maybe you are talking about 40,000,000 million shares of Amazon at .00003 per share in a dark pool, or are you are talking about 1 lot of an option or future? What defines an edge? In my world of futures, unless I am trading the maximum aggregate monthly limit lot size in a single trade, in a single day, what edge do I have, other than to be a road-block? What gives on this edge shit?
Does nobody here look at a price ladder? What is this edge I hear of all the time? Can anybody show me this edge in action on a price action, in real time?
And I can already hear the bullshit responses being formulated..."If I showed it to you, it would not be an edge," which I will call bullshit on.
Who here NEVER got a fill on their trade because their "edge" was blown? I bet ZERO. Fucking edges.
Only possible if the trader was showing verification of trade performance and the trades were also via automated trading system.
Not possible if the trader was only posting trades to a forum, chat room, trade room, twitter, stocktwits, tradingview, live streaming or whatever without verification.
Simply, first you need verification the trade performance is real and then you need verification the trade performance is via an automated trading system to prevent trying to reverse engineer someone that's a discretionary trader. The latter types of traders use a lot more than just a trade strategy.
You wouldn't want to waste your time & energy trying to reverse engineer something that's not real money trading ?
wrbtrader
Let me post this related question - does anyone think that there are strategies that are so unique that no one can get a general idea of what is being done? I understand you may have secret source that you might have spent years of research and backtesting to come up with. But does anyone think they discovered something that no other person or machine found yet?
In other words, you may have perfected (curve fitted?) implementation of some strategy, but the concepts are most likely well known.
In other words, you may have perfected (curve fitted?) implementation of some strategy, but the concepts are most likely well known.
Using the futures premium is too complicated for people to understand. Hilarious that people don't even think it's important.