The consequences of giving away the holy grail

[Trading Education Buyer]

Those numbers and this chart is not possible, there is a minimum of entropy in any market that's impossible to avoid either your results are fake or you're going to blow up.

concentrate on calculated risk taking in col a and b.


The Winner sees an answer for every problem;
The Loser sees a problem for every answer.

Winners see the potential;
Losers see the past.

Winners see the possibilities;
Losers see the problems.

The Winner always has a program;
The Loser always has an excuse.

The Winner says, "It may be difficult, but it is possible";
The Loser says, "It may be possible, but it is too difficult".

 

[wintergasp]

View attachment 167007

concentrate on calculated risk taking in col a and b.


The Winner sees an answer for every problem;
The Loser sees a problem for every answer.

Winners see the potential;
Losers see the past.

Winners see the possibilities;
Losers see the problems.

The Winner always has a program;
The Loser always has an excuse.

The Winner says, "It may be difficult, but it is possible";
The Loser says, "It may be possible, but it is too difficult".

My friend. I manage a book of 500m$ on commodity options.

Entropy is a technical issue you can't solve, it's just the way the market move. This has nothing to do with being a winner or a loser.

 

[fordewind]

What an asylum!

 

[Trading Education Buyer]

My friend. I manage a book of 500m$ on commodity options.

Entropy is a technical issue you can't solve, it's just the way the market move. This has nothing to do with being a winner or a loser.

You are assuming , I trade like everyone else in the market.You are assuming I will dance to the tune of the market.I don't and if a trade does not it my risk criteria , I don't trade.

I trade formulas

A wise trader makes his own decisions, an ignorant trader follows the public opinion , masses and market ....because he knows no better.

 

[fordewind]

My friend. I manage a book of 500m$ on commodity options.

Entropy is a technical issue you can't solve, it's just the way the market move. This has nothing to do with being a winner or a loser.

What Entropy has to do with the market moves?

 

[Trading Education Buyer]

What Entropy has to do with the market moves?

https://www.vocabulary.com/dictionary/entropy

The idea of entropy comes from a principle of thermodynamics dealing with energy. It usually refers to the idea that everything in the universe eventually moves from order to disorder, andentropy is the measurement of that change.

market changes and reverts to norm

In market disorder ,premiums go up in high volatility , premiums go down in low volatility.buy low sell high/LOW RISK HIGH REWARD is all I care about.

What is it that you are trying to tell me , that I already don't know?I am a listener

PLease talk to me in simple language what problems am I going to face ?premium volatility, slippage , low liquidity or what?

 

[fordewind]

https://www.vocabulary.com/dictionary/entropy

The idea of entropy comes from a principle of thermodynamics dealing with energy. It usually refers to the idea that everything in the universe eventually moves from order to disorder, andentropy is the measurement of that change.

market changes and reverts to norm

In market disorder ,premiums go up in high volatility , premiums go down in low volatility.buy low sell high/LOW RISK HIGH REWARD is all I care about.

What is it that you are trying to tell me , that I already don't know?I am a listener

PLease talk to me in simple language what problems am I going to face ?premium volatility, slippage , low liquidity or what?

It`s not about disorder,but the real idea is that everything is fading not going from order to disorder.Two big differencies.

If you want to apply Entropy to the market then think that what goes up will eventually fade and what goes down will eventually fade.You call it buy low sell high and sell high and buy low.This demonstrates the propensity for majority of the traders with this kind of thinking to focus on mean reversion as a key technique in their trading,which in turn allows the 'Grail holders' to position themselves against such individuals.

Now you want to know what you will face.To know what you`ll face you take N - Days window for the instrument you trade and the net positioning of......ooops.....(i`m afraid of the consequences of revealing the Grail),and realize that years and years of "studying" the market was pretty much a waste of time.Sad isn`t it?

 

[wintergasp]

What Entropy has to do with the market moves?

Entropy is a numerical measure in communication theory. It is a indication as to the amount of noise that you can find in a data serie.

When designing a systematic trading approach, it is interesting to have an idea of the "randomness" of your market, this later on helps you determine whether some of your parameters may be over-fitted, under-fitted or within a safe zone.

A good starting paper: http://astarte.csustan.edu/~tom/SFI-CSSS/info-theory/info-lec.pdf

In financial market data, as opposed to many other data serie, you will find a very high entropy - or a very high amount of "noise", "randomness".

Randomness limits your capacity to generate absolute performance. Some quants are better than others, but you will always have a limit to generating performance due to the noise of the market. For having designed and managed a lot of systems, using both simple processes and complicated optimization processes, for continually discussing with other quants who manage real money and do real research; I can tell you with certainty that your equity curve, with your average trade profit in tick, is not possible in any futures market.

If you had a bit more volatility in your equity curve, there could be a "maybe" discussion but don't be fool and believe that hedge funds hire only dumb quants and that it would be the reason why nobody has a sharpe ratio higher than 1 over ten years... make it 1.5-1.7 for smaller funds.

You will never find anyone with experience and real money to back you with those numbers but I encourage you to trade it live for a while as @fordewind says and we should discuss this again in 6-18 months.

 

[Trading Education Buyer]

Thank you fordewind and wintergrasp

I trade German 30 , it's volatility and behaviour has not changed for 30 years .It gives weekly low to high range of 400 ticks .I have been trading it for 3 years without a formula , the results without a formula are no good, so I had to prepare a formula to deal with Entropy

So I know I can extract 200 ticks a week.I don't want to come to a forum and have any negative people block my rational brain from doing it.

I am getting on backtests approximately 10,000 ticks from several formulas

We can talk in 6 months .

 

[fordewind]

Entropy is a numerical measure in communication theory. It is a indication as to the amount of noise that you can find in a data serie.

When designing a systematic trading approach, it is interesting to have an idea of the "randomness" of your market, this later on helps you determine whether some of your parameters may be over-fitted, under-fitted or within a safe zone.

A good starting paper: http://astarte.csustan.edu/~tom/SFI-CSSS/info-theory/info-lec.pdf

In financial market data, as opposed to many other data serie, you will find a very high entropy - or a very high amount of "noise", "randomness".

Randomness limits your capacity to generate absolute performance. Some quants are better than others, but you will always have a limit to generating performance due to the noise of the market. For having designed and managed a lot of systems, using both simple processes and complicated optimization processes, for continually discussing with other quants who manage real money and do real research; I can tell you with certainty that your equity curve, with your average trade profit in tick, is not possible in any futures market.

If you had a bit more volatility in your equity curve, there could be a "maybe" discussion but don't be fool and believe that hedge funds hire only dumb quants and that it would be the reason why nobody has a sharpe ratio higher than 1 over ten years... make it 1.5-1.7 for smaller funds.

You will never find anyone with experience and real money to back you with those numbers but I encourage you to trade it live for a while as @fordewind says and we should discuss this again in 6-18 months.

To reduce on Entropy then is the RTH dimension,or 'active trading hours' ,as they say.