The Implications Of Schindler and VN

[zzz123]

Every failed mechanical system suggest there should have another profitable one, I.e. a failed trend follower system suggest there should have a successful counter trend system.

Every system have payout and payback time, instead of sucking in DD, another way is to try to timing the payout and payback time, hold and fold accordingly, I.e. running several different type of system at the same time, and score their performance, if trend follower starts to fall, maybe it is the time to fold, if all trend follower system failed , maybe it is the time to pick it up again, in this case use other systems as leading indicator of your system, it starts to become common practices, am I right?

Rotation your method, common sense can go a long way, I.e. for stock market, last year a trend follower method can be used, but this year, based on fundamental, and market behavior, it appears to be a volatile market( market move in a wide range fast and slow), so a volatility method can be used instead, or use it as a hedge., just some random thought, I can be totally wrong.

 

[piezoe]

I don't know the answers to those really good questions raised by Pabst, but i would challenge anyone to find a single example of high leverage and outsized returns, not just good returns but terrifically good returns, where true staying power has been demonstrated. From my own observations it would seem that anytime you have big-time leverage combined with monstrous returns its time to cash in your chips, because tomorrow you won't be so lucky.

Is there any reason to think that one can violate the risk-reward correlation using a mechanical system?

Quote from Pa(b)st Prime:

Although I publicly broke the Niederhoffer blow up on ET well before any other media, message board or blogging source, I claim no knowledge of what's going on at Schindler Trading. I only know what I've read here. In fact outside of ET I've never heard of Schindler. While one can't help but revel in Vic's demise, if Aaron's story is true the feeling is quite the opposite. Schindler seems like a nice guy who tried hard to make his fund work. Alas, his drawdowns were massive.

The breakdown of these two fund managers has broad ranging implications. If two men of indisputable intelligence, training, education and trading experience can both come to the conclusion that mechanical systems don't work, then what to make of the backtesting crowd? Would Vic and Aaron be alive if they'd hung out with Woody? Or Jack? Subscribed to TS?

We're talking about two guys savvy enough that they have backtested everything under the sun. Yet they made a decision that selling premium was virtually the only way to cheat a negative expectancy.

All of which begs the question, are systematic results fallacious? Does any traditional indicator "system" generate profits over an infinite span? Is it even possible for such a system to exist given the constant transition between trend and chop?

 

[nitro]

Quote from zzz123:

... common sense can go a long way....

"Common sense is very uncommon." - Horace Greeley

nitro

 

[Cutten]

Quote from BJL:

Sure, explain this to the owners of Google.

Are you saying that profits don't get competed away when the business method is easily replicable?

 

[Bob111]

http://www.schindlertrading.com/index.php?page=performance
looks like performance page is gone...

 

[psytrade]

Quote from Cutten:

Are you saying that profits don't get competed away when the business method is easily replicable?

Or Renaissance, D.E Shaw, SAC, Citadel.....

 

[BJL]

Quote from Cutten:

Are you saying that profits don't get competed away when the business method is easily replicable?

Quite so.

Even then, although the methods seem to be easy to replicate, it's not quite so easy in practice. But that's another discussion.

 

[BJL]

Quote from piezoe:

I don't know the answers to those really good questions raised by Pabst, but i would challenge anyone to find a single example of high leverage and outsized returns, not just good returns but terrifically good returns, where true staying power has been demonstrated. From my own observations it would seem that anytime you have big-time leverage combined with monstrous returns its time to cash in your chips, because tomorrow you won't be so lucky.

Is there any reason to think that one can violate the risk-reward correlation using a mechanical system?

Violating the risk-reward relationship is not the same of sustainable high leverage and outsized returns.

The former is attainable, the latter clearly not.

 

[Lawrence Chan]

Guys,

Running hedge fund is a very competitive business nowadays.

In old days, the investors will stick to their trusted fund manager in BOTH good times and bad.

Now, if a fund is not up for the year, many simply will pull out of the fund. Causing those who stayed with the fund with adverse effects if open positions are held.

That alone, put infinite amount of stress on fund managers to perform, and sometimes, violating their own risk management rules, to get by.

I am not trying to say that is the right thing to do. I am saying it is this kind of investors driving the industry now. Sad, but true.

 

[IV_Trader]

Quote from Lawrence Chan:

Guys,

Running hedge fund is a very competitive business nowadays.

In old days, the investors will stick to their trusted fund manager in BOTH good times and bad.

Now, if a fund is not up for the year, many simply will pull out of the fund. Causing those who stayed with the fund with adverse effects if open positions are held.

That alone, put infinite amount of stress on fund managers to perform, and sometimes, violating their own risk management rules, to get by.

I am not trying to say that is the right thing to do. I am saying it is this kind of investors driving the industry now. Sad, but true.

but of course…it’s a customer fault !