Revisiting Acrary

I am just curious:
Has anyone (or CTA/ CPO/ fund manager) done any back-testing or actual-trading performance results to show us according to the following approach/ theory that would probably require to find not only one single edge in trend trading but also additional edges in counter-trend and range-bound trading? If not, then why not?

game said:
I would trade 100% strategic and 0% tactical. By this, I mean I would diversify simple trading styles like trend, countertrend and rangebound over time and markets. I wasted too much time and effort on when to buy and when to sell. My time would've been better served asking; "should I be long, short, or flat?", for the simple strategies in multiple timeframes and markets.
Rather than compounding I would add more timeframes or markets to build the account while continually lowering the overall risk.

Acrary

There are many lessons in the above paragraph. I wanted to reflect on three of them.

1. Instead of diversifying via simultaneous long/short strategies, diversify via 'market character', i.e. Range Bound, Trend. These two can be further classified to get more precision. The big advantage of doing so is that while long/short reduces volatility by reducing overall profits, diversifying by market character can actually increase profitability (no hedging cost), while keeping volatility down as well.

2. Instead of spending valuable research time hunting for new 'edges' within limited markets, one could spend the time characterizing a vast number of markets and then applying simple strategies once compelling opportunities present themselves.

3. Diversifying across 'time periods' further reduces net volatility, while developing the trader's skill set to enter at the right time instead of waiting for some arbitrary 'bar interval' to signal confirmation.
More...
 
OddTrader said:
I am just curious:
Has anyone (or CTA/ CPO/ fund manager) done any back-testing or actual performance results to show us according to the following approach/ theory that would probably require to find not only one single edge in trend trading but also additional edges in counter-trend and range-bound trading? If not, then why not?
More...

Wouldn't make any difference whether they did or not. If the backtest is done by computer, the trader generally finds when he begins trading it for real that the results are very different from what he expected. Even if by some rare chance they aren't, the system has to be changed whenever the backtested system begins to fail, which can be more often than expected.

As for actual performance, past performance, as you may have heard, is no guarantee of future results. So even if the performance results were spectacular, that doesn't mean that they would match the following year's results. Or the following month's. Or the following week's.

Then of course there are the inherent difficulties in defining "trend" and "range", which would be necessary before defining "range-bound" and "counter-trend".

Which is why at least some people seek edges that are at the core of continuously-adaptable systems. Those don't have to be changed.
 
dbphoenix said:
Which is why at least some people seek edges that are at the core of continuously-adaptable systems. Those don't have to be changed.
More...

If my memory this time is correct (usually not), I recall the above was also mentioned by Acrary for his development work-in-progress. Sounds good.
 
Miller said Wednesday on CNBC's "Closing Bell." "you can throw a dart at the market and about anything you hit is gonna go up the next six months."

:eek:
 
"Perception is reality" is clearly an incorrect statement. This can be proven simply by finding one or more instances where perception differs from reality, and reality wins out. A simple test - find a thick and study concrete wall, then try to push your hand through it, while perceiving that the wall doesn't exist. If perception is reality, then you should be able to push your hand through the wall.

Another absurdity - this would imply that reality would not exist, if living beings did not exist or lost their ability to perceive. Therefore either the universe in its earliest moments was a living being (highly unlikely), or the universe didn't exist until the first living being with perception abilities came into being. Clearly, acrary's investment banker friend was not skilled at forming definitions or understanding the clear meaning of words.

A more accurate statement would be to say that perception can sometimes influence reality. While that's correct, the far more common state of affairs is reality forming perception. Also, perception is itself part of objective reality. If you have a theory of the world that does not take into account the role of perceptions in influencing behaviour, then your theory sucks.

This is a classic case of taking a limited truth - that perception sometimes influences some aspects of reality - and distorting it by taking it to a ludicrous extreme (that perception IS reality). Just another example of sloppy thinking and lax language.
 
dbphoenix said:
For all of our study of the economy and companies, it is subjective perception -- not objective reality -- that sets stock prices.

-- Don Luskin[/I][/INDENT]
More...

Wrong - it is supply and demand which sets stock prices. Perception influences that, but so does objective reality - especially since objective reality is one of the primary influences on perception.

Examples: if a company is losing $10 billion per month, and has $1 million left in the bank, the stock is unlikely to avoid going to zero. If a stock pays a dividend of $10, it is unlikely to trade below $10. If someone launches a takeover at $50 per share, the stock is unlikely to trade at $20.

If subjective perception was all that mattered, things like arbitrage would not exist. Settlement and delivery contract specifications would not matter.
 
Ghost of Cutten said:
Wrong - it is supply and demand which sets stock prices. Perception influences that, but so does objective reality - especially since objective reality is one of the primary influences on perception.
More...

And buyers buy -- demand -- and sellers sell -- supply -- according to their perceptions of value.
 
You must log in or register to reply here.
Back
Top