Serious Question
- Thread starter Real Money
- Start date
I once caused a court reporter to crack up a *very* serious (read: "haughty") hearing room one time when, in the course of a response under cross, I used the term heteroskedasticity. Now, the regulatory community is rather small, so the judges, lawyers, *Court*reporters*, primary staffers -- all know each other. And all knew this gal to be a serious, sturdy professional. (And she could swear like a sailor, too -- so you never gave her any guff. Big farm girl. In a dress. Amy[!!] was her name.)
Well, the cross exam is going back and forth, back and forth -- like a verbal tennis match. I actually forget the subject, but it must've had something to do with forecasts, and errors were mentioned, and I described some part of my answer with "heteroskedasticity"....
No sooner did I get the word out than Amy tilts her head to look at me and out comes a loud "HhhHUH??" And she was always SO calm and always SO professional, and she stops the place cold and it *erupts* with laughter. I'mmmmm cracking up just thinking about it.
There were some chuckles (and a few groans) in that staid environment over the years, but none produced the raucous laughter of
"...heteroskedasticity..."
"HhhHUH??"
Too many smart people at ET...way over my head.
wrbtrader
James Harris Simons is a mathematician of the first rank.
If Simmons were here he would agree that the theory is being misapplied.
My comment was directed at the conclusions that many who back test are making. I never said that all back testing is idiocy.
I myself check that my method is working at the end of each day, and have looked at many, many historical data to make sure the record is consistent with the premises of the model.
Hi thanks for commenting. This is my current plan.
I have every Friday off at my current job. It's not ideal but I can test the method and sim trade IB TWS for now until I get more practice (still ironing out stupid mistakes). Pretty slow going when you can only do this once a week though. It seems like my skill as a trader (not related to getting an edge) is my weakest link even now.
The funny thing is, it's the edge that's hard to get. The trading skill takes a lot of practice and you have to be really smart, but a real edge is almost impossible to find.
I scoured the internet for many years. I've read all the books, all the magazines, learned everything I could about the market. I searched all over the internet. My conclusion is that there is less than 0.01% of real edge available to the public. The internet forums where professionals comment are what helped me the most.
Even after so much time invested in this, I never gave up on trading futures for a living some day.
The reason this is so hard is because people don't want the public to know how to do this.
The industry is full of Nondisclosure Agreements (NDA), Non-Compete, and "Trade Secrets" I have learned. The proprietary trading firms and investment banks are very serious about protecting their businesses. And especially wary, it would seem, of any potential competition coming from their own employees!
The SEC and CFTC have records of anybody who has ever worked in the industry. This explains why finding an edge is so elusive.
There is plenty of low hanging fruit with equity index futures (ES, NQ, YM, etc) using 15 min, 30 min and hourly time frames while using higher time frames for additional filters. Not too hard to automate either.
I don't any reason to pick one. Do them all.
Sure, a simple SMA crossing strat will work some times. Not all that dependable, though. Now if you cross volume weighted moving averages, one maybe 3 bars and one 5 or 6, you get a pretty good indicator and even that is still nothing to base a strategy on, though it does offer a high degree of confirmation. Price alone is just a shadow of what price with volume will tell you. No way I would trade solely on SMA crossing. Add ATR or better yet, relative ATR into the mix and you might have something
Right, at 10% a day you would corner the worlds money supply. To be take seriously by a pro trader or firm you need to run it live with at least $25k for 2-3 years.
The compounding calculator has your system making $2,697,470,166,789,066 your first year starting with your $100k you claim to have. You said it is not worth your time - well that says a lot.
Backtesting/optimizing has the benefit of hindsight. Don't be that naive newbie that thinks they have decoded Matrix, your only fooling yourself.
Anyone these days can hit pay dirt playing around with optimizing backtesting - its the fools gold that most find amusing, some take it way to seriously.[/QUOTE]
LOL I was going to point out how ridiculous those expectations were but was too busy to start messing with the Python. I had assumed the first year net would be in the high Billions or low Trillions. I was off by a bit on that estimate, I see.
Any single day where I do 10% will be cause for a party. I haven't even come close, so far. 1% would be satisfying, and yield about 891% over a year, if I could keep that up. Consistently doing .5% would triple my account in a year. Not bad, that. So why don't we all triple our accounts every year? Mostly because consistently making .5% a day every day for a 220 day trading year is not easy to do. It won't be done with a strategy that relies on SMA crossover. And certainly not 10% per day, consistently.
Crossed SMA, EMA, MVWAP, mix n match combinations. short term, long term, have all been used. Yet nobody has become a quadrillionaire using them. @Real Money, can you explain why? Or why keeping a $50k full time job is more important than becoming the world's first quadrillionaire yourself?
Simple python:
a = 100000 # account size on day 1
for number in range(220):
a = a*1.1
print(number+1) # prints nth day
print(a) #prints new balance
The last two lines of output (commas added by me, for readability)
220
127,758,773,776,444.48
Right, at 10% a day you would corner the worlds money supply. To be take seriously by a pro trader or firm you need to run it live with at least $25k for 2-3 years.
The compounding calculator has your system making $2,697,470,166,789,066 your first year starting with your $100k you claim to have. You said it is not worth your time - well that says a lot.
Backtesting/optimizing has the benefit of hindsight. Don't be that naive newbie that thinks they have decoded Matrix, your only fooling yourself.
Anyone these days can hit pay dirt playing around with optimizing backtesting - its the fools gold that most find amusing, some take it way to seriously.[/QUOTE]
LOL I was going to point out how ridiculous those expectations were but was too busy to start messing with the Python. I had assumed the first year net would be in the high Billions or low Trillions. I was off by a bit on that estimate, I see.
Any single day where I do 10% will be cause for a party. I haven't even come close, so far. 1% would be satisfying, and yield about 891% over a year, if I could keep that up. Consistently doing .5% would triple my account in a year. Not bad, that. So why don't we all triple our accounts every year? Mostly because consistently making .5% a day every day for a 220 day trading year is not easy to do. It won't be done with a strategy that relies on SMA crossover. And certainly not 10% per day, consistently.
Crossed SMA, EMA, MVWAP, mix n match combinations. short term, long term, have all been used. Yet nobody has become a quadrillionaire using them. @Real Money, can you explain why? Or why keeping a $50k full time job is more important than becoming the world's first quadrillionaire yourself?
Simple python:
a = 100000 # account size on day 1
for number in range(220):
a = a*1.1
print(number+1) # prints nth day
print(a) #prints new balance
The last two lines of output (commas added by me, for readability)
220
127,758,773,776,444.48
I seem to recall various threads that have come up in the past with this same type of question. I have nothing to offer personally, but there probably were some good responses to those past threads -- so you might want to try search for them.
Perhaps I should revise the profit estimates for my more discerning colleagues.
Back of the envelope estimates I had done (nothing rigorous mind you) had my trading netting roughly 1.5~2% on NOTIONAL EXPOSURE. This was not that hard to do after a while.
For what it's worth I'm posting a summary of Aug 16 my IB demo log.
The trades were mostly 1 lots sent with small time between them. I'm trying to do this without doing anything unrealistic that would give me a big sim-to-real-life-fill result discrepancy.
Thanks for reading my thread.
Oh and a word on sim trading. I have gone from a total failure in sim trading to a complete rock star comparatively. It made me, literally. Those who talk trash on sim trading are very likely just showing off or have really big egos and no interest in helping others. But, you do have to lose some money in live trading before you will take the sim trading seriously.
If you look at the summary, I ended up paying almost $900 in commissions for the trades. I am trading both long and short as well as both at the same time. You can do this if your edge is big enough, but you have to know if and when the market is about to move.
Back of the envelope estimates I had done (nothing rigorous mind you) had my trading netting roughly 1.5~2% on NOTIONAL EXPOSURE. This was not that hard to do after a while.
For what it's worth I'm posting a summary of Aug 16 my IB demo log.
The trades were mostly 1 lots sent with small time between them. I'm trying to do this without doing anything unrealistic that would give me a big sim-to-real-life-fill result discrepancy.
Thanks for reading my thread.
Oh and a word on sim trading. I have gone from a total failure in sim trading to a complete rock star comparatively. It made me, literally. Those who talk trash on sim trading are very likely just showing off or have really big egos and no interest in helping others. But, you do have to lose some money in live trading before you will take the sim trading seriously.
If you look at the summary, I ended up paying almost $900 in commissions for the trades. I am trading both long and short as well as both at the same time. You can do this if your edge is big enough, but you have to know if and when the market is about to move.
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I can show you sim account trades that are even better than yours on the track record. It means diddly-squat, Live is what matters, not sim.
And if you are paying that much in commissions trading one lots, you might be overtrading. But hey, march on.