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Some food for thought: Eckhardt
- Thread starter tireg
- Start date
I agree lets stick with Eckhardt
A graph of his percent annual returns year by year with the annual S&P index change would be an apples to apples.
Here you would see some of the BULL and BEAR market influence. To use he lingo of Tharpe, the High Tech Bull anded in 2000 and the Terrorist Bear began subsequently. Tharp presents an 18 average for a BULL or BEAR so we are 6 years into it and we still have 12 to go. Pessimissim increased over 15% between January and July of this year.
So we are seeing how a price based system like Eckhardt's has done the usual shut down of a biased system. Why did he bias it as he did?
You can see that as a person who goes to a quant only approach, a little of the missing qual is still here.
Looking at the "business" of deploying this information power as seen by the bottom lines, the situation that is presenting itself is showing us something is there that does get better and better results as a consequence of Sullivan principles.
Lets stay with the Eckhardt stuff as you say and I agree with you that maybe at some point ET could begin to look at how to go through a generalized process to get to the higher ground. It sure ain't going to the North pole, though.
Thank you for responding to my comments. I appreciate it.
One thing about Eckhardt that is fairly clear is that he did get to a place to come to the understanding of "right". I have found and found very deeply, that the market, its quantification, and making money from it that is offered is a primal (I mean very fundamental) case of "right" as in Colbert's "truthiness".
Eckhardt remains "believable" to most observers. His "rightness" is on the mark as far as it goes.
For mean, and not going astray too much from Eckhardt, the "rights" can be defined and ranked. They are bold and clearly stated in terms of the variables of the market and the essence of those who are the participants in the markets.
Defining, ranking and doing "business" with an approach which reflects this is what make using "rights" comprehensive.
BY Eckhardt going to the emphasis on exits and setting up the right s interms of yes and no, he drove the quant to a combination of statistics and a binary context. The other half of exit, entry, was not given the same stature "rights" wise.
For me, I have a view that is binary and defined and ranked and is comprehensive; it is risk adverse in the extreme. I use "rights" comprehensively and, therefore in Eckhardt's constructs which he regards as at the North pole and getting even closer (LOL), I am in a place that will not fit on his view of the Globe.
He did not chose, purposely, to look at what the market holds and then look at how it is handed out to those who take it. Instead, he looked at defining the correct way of taking money out as a function of using facets of the price market. That is looking where he could be "right" with respect to the presence or absence of that facet or, with regard to the facet, which has only one of two possible conditions, measuring the condition that is present for that facet. Now he continually expands, by going into finer detail, binarily, where he restricts his looking. The percentages speak for themselves.
As you say another thread would be where to take up getting the job done.
A graph of his percent annual returns year by year with the annual S&P index change would be an apples to apples.
Here you would see some of the BULL and BEAR market influence. To use he lingo of Tharpe, the High Tech Bull anded in 2000 and the Terrorist Bear began subsequently. Tharp presents an 18 average for a BULL or BEAR so we are 6 years into it and we still have 12 to go. Pessimissim increased over 15% between January and July of this year.
So we are seeing how a price based system like Eckhardt's has done the usual shut down of a biased system. Why did he bias it as he did?
You can see that as a person who goes to a quant only approach, a little of the missing qual is still here.
Looking at the "business" of deploying this information power as seen by the bottom lines, the situation that is presenting itself is showing us something is there that does get better and better results as a consequence of Sullivan principles.
Lets stay with the Eckhardt stuff as you say and I agree with you that maybe at some point ET could begin to look at how to go through a generalized process to get to the higher ground. It sure ain't going to the North pole, though.
Thank you for responding to my comments. I appreciate it.
One thing about Eckhardt that is fairly clear is that he did get to a place to come to the understanding of "right". I have found and found very deeply, that the market, its quantification, and making money from it that is offered is a primal (I mean very fundamental) case of "right" as in Colbert's "truthiness".
Eckhardt remains "believable" to most observers. His "rightness" is on the mark as far as it goes.
For mean, and not going astray too much from Eckhardt, the "rights" can be defined and ranked. They are bold and clearly stated in terms of the variables of the market and the essence of those who are the participants in the markets.
Defining, ranking and doing "business" with an approach which reflects this is what make using "rights" comprehensive.
BY Eckhardt going to the emphasis on exits and setting up the right s interms of yes and no, he drove the quant to a combination of statistics and a binary context. The other half of exit, entry, was not given the same stature "rights" wise.
For me, I have a view that is binary and defined and ranked and is comprehensive; it is risk adverse in the extreme. I use "rights" comprehensively and, therefore in Eckhardt's constructs which he regards as at the North pole and getting even closer (LOL), I am in a place that will not fit on his view of the Globe.
He did not chose, purposely, to look at what the market holds and then look at how it is handed out to those who take it. Instead, he looked at defining the correct way of taking money out as a function of using facets of the price market. That is looking where he could be "right" with respect to the presence or absence of that facet or, with regard to the facet, which has only one of two possible conditions, measuring the condition that is present for that facet. Now he continually expands, by going into finer detail, binarily, where he restricts his looking. The percentages speak for themselves.
As you say another thread would be where to take up getting the job done.
Quote from tireg:
From speaking with many people, and much reading about risk, Kelly ratio cuts it too close for risk of ruin. Some people use a variation of optimal-f, which is smaller than Kelley. Ralph Vince's book Portfolio Management Formulas explains in detail this concept.
As far as knowing the distribution of odds, here's the thing: you may know that over the next 10 trades, 5 of them are likely to be winners, but you don't know in which order they will be. Would you be willing to bet full Kelly on the next few trades? That is almost guarantee for some deep drawdowns. Optimal f on the other hand, is supposed to be trade order independent. But sure, you might say. I'll just move the stop closer. But a largely unknown idea for you that I've just learned about is that the closer the stops are, they more they change the probability of the outcome - on an individual trade, as well as on a portfolio level, in a negative manner.
I refer you to this study, by Robert Macrae of Arcus Investments:
in PDF
thanks for the comments and references, i'll take a look at them.